Time-varying information rigidities and fluctuations in professional forecasters' disagreement

Using survey data of US professional forecasters, this paper assesses how forecasters' inattentiveness evolves over time and the implications for fluctuations in dispersion among forecasts. To this end, I employ a time-varying structural VAR model consisting of dispersion among forecasters and the 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 GDP growth forecasts. I find, however, that countercyclicality in the professional forecasters' forecast revisions, rather than information stickiness, is the main driver of countercyclical fluctuations in disagreement.