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American Economic Journal: Macroeconomics: Vol. 3 No. 1 (January 2011)
AEJ: Macro Volume. 3, Issue 1 | 
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AEJ: Macro Forthcoming Articles
Professional Forecasters' View of Permanent and Transitory Shocks to GDP
Article Citation
Krane, Spencer D. 2011. "Professional Forecasters' View of Permanent and Transitory Shocks to GDP."
American Economic Journal: Macroeconomics,
3(1): 184-211.
DOI: 10.1257/mac.3.1.184
DOI: 10.1257/mac.3.1.184
Abstract
This paper examines how the professional forecasters comprising the
Blue Chip Economic Consensus view shocks to GDP. I use an unobserved components model of the forecast revisions to identify forecasters'
perceptions of permanent and transitory shocks to GDP. The model indicates forecasters: attribute about two-thirds of the variance in current-period revisions to permanent shocks; view the relative importance of permanent shocks similar to the estimates of some simple univariate econometric models; see high-frequency indicators of economic activity as being informative about both permanent and transitory shocks; and react to incoming data differently during periods of economic weakness. (JEL C51, C53, E23, E27, E32, E37)
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Authors
Krane, Spencer D. (Federal Reserve Bank of Chicago)
JEL Classifications
C51: Model Construction and Estimation
C53: Forecasting Methods; Simulation Methods
E23: Macroeconomics: Production
E27: Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
E32: Business Fluctuations; Cycles
E37: Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
C53: Forecasting Methods; Simulation Methods
E23: Macroeconomics: Production
E27: Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
E32: Business Fluctuations; Cycles
E37: Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
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