Buchumschlag

Forecast performance, disagreement, and heterogeneous Signal-to-Noise ratios

Weitere Versionen anzeigen (1)

We propose an imperfect information model for the expectations of macroeconomic forecasters that explains differences in average disagreement levels across forecasters by means of cross sectional heterogeneity in the variance of private noise signals. We show that the forecaster-specific signal-to-n...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Dovern, Jonas (Verfasst von) , Hartmann, Matthias (Verfasst von)
Dokumenttyp: Buch/Monographie Arbeitspapier
Sprache:Englisch
Veröffentlicht: Heidelberg University of Heidelberg, Department of Economics February 20, 2016
Schriftenreihe:Discussion paper series / Universität Heidelberg, Department of Economics No. 611
In: Discussion paper series (no. 611)

DOI:10.11588/heidok.00020429
Schlagworte:
Arbeitspapier
Graue Literatur
Online-Zugang:Resolving-System, kostenfrei, Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-204291
Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/162954
Resolving-System, kostenfrei, Volltext: https://doi.org/10.11588/heidok.00020429
Verlag, kostenfrei, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/20429/
Verlag, kostenfrei, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/20429/1/dovern_hartmann_2016_dp611.pdf
Volltext
Verfasserangaben:Jonas Dovern and Matthias Hartmann
Beschreibung
Zusammenfassung:We propose an imperfect information model for the expectations of macroeconomic forecasters that explains differences in average disagreement levels across forecasters by means of cross sectional heterogeneity in the variance of private noise signals. We show that the forecaster-specific signal-to-noise ratios determine both the average individual disagreement level and an individuals' forecast performance: forecasters with very noisy signals deviate strongly from the average forecasts and report forecasts with low accuracy. We take the model to the data by empirically testing for this implied correlation. Evidence based on data from the Surveys of Professional Forecasters for the US and for the Euro Area supports the model for short- and medium-run forecasts but rejects it based on its implications for long-run forecasts.
Beschreibung:Online Resource
DOI:10.11588/heidok.00020429

Ähnliche Einträge