Authors: Richard K. Crump, Stefano Eusepi, Emanuel Moench, and Bruce Preston
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Staff Reports
How Do We Learn About the Long Run?
Number 1150
April 2025
April 2025
JEL classification: D83, D84
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.
Author Disclosure Statement(s)
Richard Crump
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Stefano Eusepi, Emanuel Moench, and Bruce Preston. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Stefano Eusepi
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Richard Crump, Emanuel Moench, and Bruce Preston. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Emanuel Moench
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Richard Crump, Stefano Eusepi, and Bruce Preston. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Bruce Preston
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Richard Crump, Stefano Eusepi, and Emanuel Moench. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Stefano Eusepi, Emanuel Moench, and Bruce Preston. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Stefano Eusepi
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Richard Crump, Emanuel Moench, and Bruce Preston. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Emanuel Moench
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Richard Crump, Stefano Eusepi, and Bruce Preston. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Bruce Preston
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “How Do We Learn about the Long Run?,” joint with Richard Crump, Stefano Eusepi, and Emanuel Moench. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Suggested Citation:
Crump, Richard K., Stefano Eusepi, Emanuel Moench, and Bruce Preston. 2024. “How Do We Learn About the Long Run?” Federal Reserve Bank of New York Staff Reports, no. 1150, April. https://doi.org/10.59576/sr.1150
Crump, Richard K., Stefano Eusepi, Emanuel Moench, and Bruce Preston. 2024. “How Do We Learn About the Long Run?” Federal Reserve Bank of New York Staff Reports, no. 1150, April. https://doi.org/10.59576/sr.1150
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