Professionals Inflation Forecasts: The Two Dimensions Of Forecaster Inattentiveness
研究了专业预测者通胀预测误差的结构，提出注意力不足的新维度，即预测者在形成多期预测时对通胀动量的感知，并用美国调查数据实证检验了包含两个维度的预测误差模型。
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.