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Jeudi 17 Novembre 2011

Philippe ANDRADE (Banque de France) présentera une communication :

"Inattentive Professional Forecasters"
avec Hervé le Bihan (Banque de France)

de 14 h à 15 h 30 en Salle S016 à l'INSEE-CREST, 15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2)).

Abstract: We use the ECB Survey of Professional Forecasters to characterize the dynamics of expectations at the micro level.
We underline two new facts the formation of expectations: forecasters (i) fail to systematically update their forecasts and (ii) disagree even when updating. Along with other regularities already documented in previous research -- predictable forecast errors and disagreement among forecasters -- , these two facts are qualitatively supportive of recent models of inattention or imperfect information. Building on these facts, we set-up and test an extended model of inattention that features both sticky information à la Mankiw-Reis and noisy information à la Sims. The model cannot quantitatively replicate the error and disagreement observed in the SPF data: given how inaccurate they are, professionals agree too much to be in line with the inattention model we test.