Revised April 2014
- We see the symmetry of agents as an appealing property as it is
consistent with the well-documented fact that the consensus forecast is
difficult to beat, i.e., that no individual forecaster has
systematically better forecast performance (e.g., Bauer, Eisenbeis,
Waggoner, and Zha, 2003; Stock and Watson, 2004). Moreover, Coibion and
Gorodnichenko (2012a,b) provide evidence, by studying the conditional
response of consensus forecast errors to shocks, that models with the
aforementioned asymmetries are not consistent with the data. It is also
important to point out that in our modeling setup, agents forecast an
exogenous data generating process. That is, we abstract from any
feedback from forecasts to outcomes in general equilibrium as well as
from strategic interactions or other forms of endogenous information
acquisition. While we believe that these effects may also be important,
our focus is to keep the model environment as simple as possible.
No comments:
Post a Comment