Paper #1898

Títol:

Lumpy forecasts

Autors:

Isaac Baley i Javier Turen

Data:

Desembre 2024

Resum:

Professional forecasters adjust their inflation forecasts in a distinctly lumpy pattern, making infrequent but substantial revisions. Strategic concerns play a significant role - forecasters are more likely to adjust, and by larger amounts, when their forecasts deviate from the consensus. Using a fixed-event forecasting framework, we document the impact of lumpiness and consensus pressure on forecast adjustments. Our quantitative model, which integrates Bayesian belief updating with forecast revision costs and strategic concerns, not only replicates the observed lumpiness in survey data but also sheds light on forecasters' apparent overreactions to new information. This structured framework enables us to "cleanse" forecasts, isolating the underlying inflation beliefs that drive these forecasts.

Paraules clau:

forecasting, survey of professional forecasters, overreaction, consensus, forecast revision costs, forecast stability, strategic concerns, Bayesian learning, fixed-event forecasts

Codis JEL:

D80, D81, D83, D84, E20, E30

Àrea de Recerca:

Macroeconomia i Economia Internacional

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