Replication data for: Professional Forecasters' View of Permanent and Transitory Shocks to GDP

Principal Investigator(s): View help for Principal Investigator(s) Spencer D. Krane

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Project Citation:

Krane, Spencer D. Replication data for: Professional Forecasters’ View of Permanent and Transitory Shocks to GDP. Nashville, TN: American Economic Association [publisher], 2011. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114191V1

Project Description

Summary: 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)

Scope of Project

JEL Classification:
      C51 Model Construction and Estimation
      C53 Forecasting Models; Simulation Methods
      E23 Macroeconomics: Production
      E27 Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
      E32 Business Fluctuations; Cycles
      E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications

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V1 [2019-10-12]

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