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)
"Professional Forecasters' View of Permanent and Transitory Shocks to GDP."
American Economic Journal: Macroeconomics,
Model Construction and Estimation
Forecasting Methods; Simulation Methods
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications