Logo
Munich Personal RePEc Archive

Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters

Mitchell, Karlyn and Pearce, Douglas (2015): Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters.

[thumbnail of MPRA_paper_66172.pdf]
Preview
PDF
MPRA_paper_66172.pdf

Download (841kB) | Preview

Abstract

We provide direct evidence on the sticky information model of Mankiw and Reis (2002) by examining how frequently individual professional forecasters revise their forecasts. We draw interest rate and unemployment rate forecasts from the monthly Wall Street Journal surveys conducted between 2003 and 2013. Consistent with the sticky information model we find that forecasters frequently leave their forecasts unrevised but find evidence that revision frequency increases following larger changes in the information set. We also find revision frequencies became more sensitive to new information after the 2008 financial crisis but only weak evidence that frequent revisers forecast more accurately.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.