Program > Papers by speaker > Winkler Fabian

We document how disagreement in macroeconomic expectations comoves across variables. We directly use individual response data in the Survey of Professional Forecasters to estimate a three-dimensional dynamic factor model with Bayesian methods. The extracted factors are interpreted through a semi-structural model where heterogenous expectations arise because of dispersed information. Up until the Great Moderation, the factors describe disagreement about the supply side of the economy, while in recent years and particularly during the Great Recession, disagreement about the demand side of the economy has become more important. Disagreement about the course of monetary policy seems to play a minor role in the data.