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Professionals inflation forecasts: the two dimensions of forecaster inattentiveness

Easaw, Joshy and Golinelli, Roberto 2022. Professionals inflation forecasts: the two dimensions of forecaster inattentiveness. Oxford Economic Papers 74 (3) , pp. 701-720. 10.1093/oep/gpab012

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Abstract

This article explores professionals’ inflation forecasts, specifically the structure of their forecast error. Recent papers considering professionals’ inflation forecast have focused on the role of forecaster inattentiveness. We consider a new additional dimension of inattentiveness which is observed when forecasters form multi-period forecasts, and implicitly their perceived momentum of inflation. The present analysis introduces a novel model that is investigated empirically using survey-based data for the US. It establishes a new structure for the professionals’ forecast error accounting for both dimensions of inattentiveness, which relates respectively to forecast updating and multi-period forecasting in each period.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Additional Information: This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecom�mons.org/licenses/by/4.0/)
Publisher: Oxford University Press
ISSN: 0030-7653
Date of First Compliant Deposit: 8 March 2021
Date of Acceptance: 2 March 2021
Last Modified: 04 Jul 2022 13:45
URI: https://orca.cardiff.ac.uk/id/eprint/139324

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