Journal of Monetary Economics 2016 DOI: 10.1016/j.jmoneco.2016.08.007 View full text
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Philippe Andrade, Richard K. Crump, Stefano Eusepi, Emanuel Moench

Abstract: We use the term structure of disagreement of professional forecasters to document a novel set of facts: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement differs markedly across variables: it is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time-varying at all horizons, including the long run. These new facts present a challenge to benchmark models of expectation f…

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