Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel
February 12, 2014
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Summary
We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.
Subject: Econometric analysis, Economic theory, Estimation techniques, Expenditure, Public expenditure review, Rational expectations
Keywords: aggregation bias, data set, density estimate, Estimation techniques, forecast behaviour, forecast data, forecast revision, growth forecasts, information rigidity, OLS estimator, Public expenditure review, Rational expectations, Rational inattention, real-time data vintage, rigidity coefficient, smoothing parameter, standard deviation, WP
Pages:
24
Volume:
2014
DOI:
Issue:
031
Series:
Working Paper No. 2014/031
Stock No:
WPIEA2014031
ISBN:
9781484305201
ISSN:
1018-5941
