Modeling Judgment in Macroeconomic Forecasts

Macroeconomic forecasts and microeconomic forecasters

In the presence of principal-agent problems, published macroeconomic forecasts by professional economists may not measure expectations. Forecasters may use their forecasts in order to manipulate beliefs about their ability. I test a cross-sectional implication of models of reputation and information-revelation. I find that as forecasters become older and more established, they produce more radi...

Perspectives on Evaluating Macroeconomic Forecasts

Macroeconomic Forecasts: Betraying Us When Most Needed

Aggregate Dispersion in Economists’ Opinion on Macroeconomic Forecasts∗

I construct a novel measure of aggregate dispersion in economists’ opinion on macroeconomic forecasts. The measure aggregates dispersion across relevant economic releases over one week and is used to predict stock returns in the subsequent week. I provide evidence that higher aggregate dispersion predicts lower future stock market returns by 27 basis points in the subsequent week. The impact is...

Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments

Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that perspective. The literature on forecast evaluation predominantly assumes that macroeconomic forecasts are gene...