Augmented Information Rigidity Test

2021 ◽  
Author(s):  
Tucker McElroy ◽  
Xuguang Simon Sheng
Keyword(s):  
2015 ◽  
Vol 105 (8) ◽  
pp. 2644-2678 ◽  
Author(s):  
Olivier Coibion ◽  
Yuriy Gorodnichenko

We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidity. Applying this approach to US and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process. (JEL C53, D83, D84, E13, E31, E37)


2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zidong An ◽  
Joao Tovar Jalles

PurposeThis paper contributes to shed light on the quality and performance of US fiscal forecasts.Design/methodology/approachThe first part inspects the causes of official fiscal forecasts revisions by Congressional Budget Office (CBO) between 1984 and 2016 that are due to technical, economic or policy reasons.FindingsBoth individual and cumulative means of forecast errors are relatively close to zero, particularly in the case of expenditures. CBO averages indicate net average downward revenue and expenditure revisions and net average upward deficit revisions. Focusing on the causes of the technical component, the authors uncover that its revisions are quite unpredictable, which cast doubts on inferences about fiscal policy sustainability that rely on point estimates. Comparing official with private-sector (consensus) forecasts, despite the informational advantages CBO might have, one cannot unequivocally say that one or the other is more accurate. Evidence also seems to suggest that CBO forecasts are consistently heavily biased toward optimism while this is less the case for consensus forecasts. Not only is the extent of information rigidity is more prevalent in CBO forecasts but also evidence seems to indicate that consensus forecasts dominate CBO in terms of information content.Originality/valueThe authors provide a detailed analysis on US fiscal forecasts both using revenue and expenditure and decomposing forecast errors into several explanatory components. Moreover, the authors compare official with private-sector (consensus) forecasts and assess which one is better or preferred.


2018 ◽  
Vol 2018 (335) ◽  
Author(s):  
Akihisa Shibata ◽  
◽  
Mototsugu Shintani ◽  
Takayuki Tsuruga ◽  
◽  
...  

2013 ◽  
Vol 29 (4) ◽  
pp. 605-621 ◽  
Author(s):  
Prakash Loungani ◽  
Herman Stekler ◽  
Natalia Tamirisa

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