The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations
本文估计了一个简化模型，发现专业预测者的预期存在粘性、外推当前信息以及依赖过去共识预测三种偏差，且偏差大小随预测期限变化。
We estimate a simple reduced-form model of expectation formation with three distinct deviations from full-information rational expectations that combines underreaction with overreaction to new information. In particular, forecasts are sticky, extrapolate the most recent news about the current period, and depend on the lagged consensus forecast about the period being forecast. We find that all three biases are present in the Survey of Professional Forecasters as well as in the Livingston Survey, and that their magnitudes depend on the forecasting horizon. We also stress the point that using the past consensus forecast to form expectations is a reasonable thing to do if a forecaster is not able to come up with full-information rational expectations all by herself. Finally, we show that forecasters that have more sticky expectations generally tend to rely less on the lagged consensus forecast but extrapolate news about the current period more.