What Can Survey Forecasts Tell Us About Informational Rigidities? [report]

Olivier Coibion, Yuriy Gorodnichenko
2008 unpublished
A lot. We derive a number of common and conflicting predictions from models in which agents face information constraints, then use surveys of forecasts from professional forecasters, consumers, firms and central bankers to assess their validity. Our key contribution is to document that in response to shocks, mean forecasts fail to completely adjust on impact, leading to statistically and economically significant deviations from the null of full information. The dynamic process followed by
more » ... s followed by forecast errors after a shock is consistent with the predictions of models of information rigidities. In addition, we illustrate how the conditional responses of forecast errors and disagreement among agents can be used in conjunction with survey data of agents' forecasts to differentiate between some of the most prominent models of information rigidities.
doi:10.3386/w14586 fatcat:retddgzzxbb7vj4ri7l5ggfzku