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Les Prévisions des Prévisionnistes Professionnels? Perou, 2009-2017

Barrera, Carlos (2022): Les Prévisions des Prévisionnistes Professionnels? Perou, 2009-2017.

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This paper studies the sluggish adjustment of professional forecasters' forecasts. It starts from the model proposed by Jain(2012,2018) and then it corrects a small error in a derivation step of the first-order conditions associated with her sequential optimization problems. This allows to extend her model to consider a set of initial (a priori) announced forecasts and a discount rate as relevant parameters, as well as to increase the maximum forecasting horizon from H = 4 quarters to an arbitrarily greater integer (e.g., H = 24 months). The extended model's parameters are estimated with the announced inflation forecasts provided by professional forecasters to Consensus Economics, Inc. for the Peruvian economy (2009-2017). We find that few professional forecasters consider the goal of forecast precision as important for their announced forecasts. These results underline the relevance of determining which of these 'forecasters' really behave as forecasters, in the sense of giving due importance to the goal of forecast precision.

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