Goldstein, Nathan; Gorodnichenko, Yuriy - National Bureau of Economic Research - 2022
We propose a model where forecasters have access to noisy signals about the future (forward information). In this … setting, information varies not only across agents but also across horizons. As a result, estimated persistence of forecasts …-sectional variation in professional forecasts is driven by forward information. We propose a simple method for extracting the forward …