TY  - JOUR
AU  - Coibion,Olivier
AU  - Gorodnichenko,Yuriy
TI  - What Can Survey Forecasts Tell Us About Informational Rigidities?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14586
PY  - 2008
Y2  - December 2008
UR  - http://www.nber.org/papers/w14586
L1  - http://www.nber.org/papers/w14586.pdf
N1  - Author contact info:
Olivier Coibion
640 John Carlyle, #107
Alexandria, VA 22314
Tel: 734-834-3279
E-Mail: ocoibion@gmail.com

Yuriy Gorodnichenko
Department of Economics
530 Evans Hall #3880
University of California, Berkeley
Berkeley, CA 94720-3880
Tel: 510/643-0720
Fax: 510/642-6615
E-Mail: ygorodni@econ.berkeley.edu
AB  - This paper uses three different surveys of economic forecasts to assess both the support for and the properties of informational rigidities faced by agents. Specifically, we track the impulse responses of mean forecast errors and disagreement among agents after exogenous structural shocks. Our key contribution is to document that in response to structural shocks, mean forecasts fail to completely adjust on impact, leading to statistically and economically significant deviations from the null of full information: the half life of forecast errors is roughly between 6 months and a year. Importantly, the dynamic process followed by forecast errors following structural shocks is consistent with the predictions of models of informational rigidities. We interpret this finding as providing support for the recent expansion of research into models of informational rigidities. In addition, we document several stylized facts about the conditional responses of forecast errors and disagreement among agents that can be used to differentiate between some of the models of informational rigidities recently proposed.
ER  -