纽约联储-我们如何了解长跑？（英）

How Do We Learn About the Long Run? Richard K. Crump | Stefano Eusepi | Emanuel Moench Bruce Preston NO. 1150 APRIL 2025 How Do We Learn About the Long Run? Richard K. Crump, Stefano Eusepi, Emanuel Moench, and Bruce Preston Federal Reserve Bank of New York Staff Reports, no. 1150 April 2025 https://doi.org/10.59576/sr.1150 Abstract Using a novel and unique panel dataset of individual-level professional forecasts at short, medium, and very-long horizons, we provide new stylized facts about survey forecasts. We present direct evidence that forecasters use multivariate models in an environment with imperfect information about the current state, leading to heterogenous non-stationary expectations about the long run. We show forecast revisions are consistent with the predictions of a multivariate unobserved trend and cycle model. Our results suggest models of expectations formation which are either univariate, stationary, or both, are inherently misspecified and that macroeconomic modelling should reconsider the conventional assumption that agents operate in a well-understood stationary environment. JEL classification: D83, D84 Key words: expectations formation, shifting endpoint models, imperfect information, survey forecasts _________________ Crump: Federal Reserve Bank of New York (email: richard.crump@ny.frb.org). Eusepi: Brown University (email: stefano_eusepi@brown.edu). Moench: Frankfurt School of Finance and Management, CEPR (email: e.moench@fs.de). Preston: University of New South Wales (email: bruce.preston@unsw.edu.au). The authors would like to thank Katerina Petrova for helpful comments and discussions, and participants at the 9th Continuing Education in Macroeconometrics conference. Oliver Kim, Nick Ritter, and Ignacio Lopez Gaffney provided excellent research assistance. Eusepi and Preston thank the Australian Research Council for financial support under the grant DP210103427. This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York, the Federal Reserve System, or the Australian Research Council. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visit https://www.newyorkfed.org/research/staff_reports/sr1150.html. 1IntroductionMuth (1961) argued for a more sophisticated treatment of expectations than naive or adaptiveexpectations.He advanced the idea that firm expectations should be understood as being de-termined by the relevant economic theory characterizing the environment inhabited by decisionmakers. In the rational expectations revolution of the 1970s, this idea came to be interpreted asmodel-consistent expectations. But Muth warned that his proposal should not be interpreted asa th