Forecast Disagreement about Long-run Macroeconomic Relationships

80 Pages Posted: 23 Jun 2020 Last revised: 24 Jun 2022

See all articles by Pei Kuang

Pei Kuang

University of Birmingham

Li Tang

University of Essex

Renbin Zhang

Shandong University

Tongbin Zhang

Shanghai University of Finance and Economics

Date Written: June 8, 2022

Abstract

Using survey forecast data, this paper studies whether professional forecasters utilize long-run cointegration relationships among macroeconomic variables to forecast the future, as postulated in stochastic growth models. Significant heterogeneity exists among forecasters. The majority of the forecasters do not use these long-run relationships. The results are robust across different groups, to addressing the multiple testing problem and to allowing for structural break.

Keywords: Survey expectation, Cointegration, Disagreement

JEL Classification: D84, G22, O41

Suggested Citation

Kuang, Pei and Tang, Li and Zhang, Renbin and Zhang, Tongbin, Forecast Disagreement about Long-run Macroeconomic Relationships (June 8, 2022). Journal of Economic Behavior and Organization, Vol. 200, 2022, Available at SSRN: https://ssrn.com/abstract=3614426 or http://dx.doi.org/10.2139/ssrn.3614426

Pei Kuang

University of Birmingham ( email )

Edgbaston, Birmingham B15 2TT
United Kingdom

Li Tang

University of Essex ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

Renbin Zhang

Shandong University ( email )

shanda nanlu 27
jinan, Shandong 250100
China

Tongbin Zhang (Contact Author)

Shanghai University of Finance and Economics ( email )

777 Guoding Road
Shanghai, AK Shanghai 200433
China

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