Time-Varying Information Rigidities and Fluctuations in Professional Forecasters' Disagreement

Using the survey data of U.S. professional forecasters, this paper assesses how their inattentiveness evolve over time and its implications for fluctuations in dispersion among their forecasts. To do so, I employ a time-varying structural VAR consisting of dispersion among forecasters and absolute value of their mean forecast revision. The results show that the level of information inattentiveness about inflation increases monotonically from the early 1980s, while a procyclical information stickiness is identified for the GDP growth forecasts. I find, however, that countercyclicality in the professional forecasters' revision of their forecasts is the main driver of countercyclical fluctuations in disagreement, rather than information stickiness