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Professional forecasters' expectations, consistency, and international spillovers
Author(s) -
Beckmann Joscha,
Czudaj Robert L.
Publication year - 2020
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2675
Subject(s) - survey of professional forecasters , economics , inflation (cosmology) , consistency (knowledge bases) , interdependence , econometrics , monetary policy , consensus forecast , index (typography) , interest rate , real gross domestic product , survey data collection , taylor rule , monetary economics , macroeconomics , central bank , computer science , statistics , physics , mathematics , artificial intelligence , theoretical physics , law , world wide web , political science
This paper focuses on the expectation formation process of professional forecasters by relying on survey data on forecasts regarding gross domestic product growth, consumer price index inflation and 3‐month interest rates for a broad set of countries. We examine the interrelation between macroeconomic forecasts and also the impact of uncertainty on forecasts by allowing for cross‐country interdependencies and time variation in the coefficients. We find that professional forecasts are often in line with the Taylor rule and identify significant expectation spillovers from monetary policy in the USA.