We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...

We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...

We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and time (T) dimensions and varying degrees of...

In this paper, we use high-frequency transaction data to develop a weekly tracker for private consumption expenditures. Furthermore, we apply the transaction data in a nowcasting experiment and compare their performance with other, readily available indicators that are regularly linked to...

There is a lively debate on the persistence of the current banking crisis' impact on GDP. Impulse Response Functions (IRF) estimated by Cerra and Saxena (2008) suggest that the effects of earlier crises were long-lasting. We show that standard estimates of IRFs are highly sensitive to...

Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP,...

We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of "imperceptibility." Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we...

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate...