The Factor Structure of Disagreement

We estimate a Bayesian three-dimensional dynamic factor model on the individual forecasts in the Survey of Professional Forecasters. The factors extract the most important dimensions along which disagreement comoves across variables. We interpret our results through a generic dispersed information model. The two most important factors in the data describe disagreement about aggregate supply and demand, respectively. Up until the Great Moderation, supply disagreement was dominant, while in recent decades and particularly during the Great Recession, demand disagreement was most important. By contrast, disagreement about monetary policy shocks seems to play a minor role in the data.

我们针对专业预测者调查（Survey of Professional Forecasters）中的个体预测结果，估计了贝叶斯三维动态因子模型（Bayesian three-dimensional dynamic factor model）。该模型提取出各变量间预测分歧协同变动的核心维度。我们借助通用分散信息模型对研究结果进行阐释。样本中的两个核心因子分别对应总供给与总需求相关的预测分歧。在大缓和（Great Moderation）时期之前，总供给相关的预测分歧占据主导地位；而在近几十年，尤其是大衰退（Great Recession）期间，总需求相关的预测分歧则成为最主要的分歧。相较而言，针对货币政策冲击的预测分歧在样本中仅发挥次要作用。