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Verfasst von:Dovern, Jonas [VerfasserIn]   i
 Hartmann, Matthias [VerfasserIn]   i
Titel:Forecast performance, disagreement, and heterogeneous Signal-to-Noise ratios
Verf.angabe:Jonas Dovern and Matthias Hartmann
Verlagsort:Heidelberg
Verlag:University of Heidelberg, Department of Economics
E-Jahr:2016
Jahr:February 20, 2016
Umfang:1 Online-Ressource (15 Seiten)
Gesamttitel/Reihe:Discussion paper series / Universität Heidelberg, Department of Economics ; No. 611
Abstract: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.
DOI:doi:10.11588/heidok.00020429
URL:kostenfrei: Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-204291
 kostenfrei: Volltext: http://hdl.handle.net/10419/162954
 kostenfrei: Volltext: https://doi.org/10.11588/heidok.00020429
 kostenfrei: Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/20429/
 kostenfrei: Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/20429/1/dovern_hartmann_2016_dp611.pdf
 DOI: https://doi.org/10.11588/heidok.00020429
 10419/162954
URN:urn:nbn:de:bsz:16-heidok-204291
Datenträger:Online-Ressource
Sprache:eng
Sach-SW:disagreement
 expectations
 imperfect information
 signal-to-noise ratio
Form-SW:Arbeitspapier
 Graue Literatur
K10plus-PPN:857215922
Verknüpfungen:→ Übergeordnete Aufnahme
 
 
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