Seminario CEA-MIPP - MIERCOLES 19/03/2025, 12:30 HRS - Sala BP-401- Beauchef 851 - “Lumpy Forecasts" - Javier Turén (Instituto de Economía, PUC Chile)

Tema: Lumpy Forecasts

Presenta: Javier Turén (Instituto de Economía, PUC Chile)

Professional forecasters adjust inflation forecasts in a lumpy way—forecasts are changed infrequently, and when adjusted, they are revised by a significant amount. As the forecasting horizon shrinks, the frequency of revisions, the size of revisions, and forecast errors decrease. Using a fixed-event forecasting framework, we assess the role of the consensus forecast and private information in shaping forecast revisions, both at the extensive and the intensive margins. A model of Bayesian belief formation with forecast revision costs and strategic con- cerns (i) delivers lumpy forecasts consistent with the survey evidence, (ii) rationalizes forecast efficiency tests, and (iii) generates state-dependent responses to inflation volatility. We pro- pose a two-stage procedure to cleanse lumpy forecasts and obtain a measure of underlying inflation beliefs.

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