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Evidence on Retrieved Context: How History Matters / William N. Goetzmann, Akiko Watanabe, Masahiro Watanabe.
- Format:
- Book
- Author/Creator:
- Goetzmann, William N.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29849.
- NBER working paper series no. w29849
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2022.
- Summary:
- This paper tests the retrieved context model of Wachter and Kahana (2019) using a long-term panel of economic forecasts by participants in the Livingston Survey. Events in historical time contribute additional explanatory power to a relative time series model. Historical precedents for current macroeconomic conditions appear to be more relevant for extreme quantile forecasts. The results are consistent with the use of the retrieved context mechanism for formulating expectations about asset prices. They also suggest that historical events, not just lagged variables in relative time, matter in economic forecasting.
- Notes:
- Print version record
- March 2022.
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