Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data

Christian Pierdzioch, Monique Reid () and Rangan Gupta
Additional contact information
Monique Reid: Department of Economics, Stellenbosch University

No 201455, Working Papers from University of Pretoria, Department of Economics

Abstract: We use South African survey data to study whether short-term inflation forecasts are unbiased. Depending on how we model a forecaster’s information set, we find that forecasts are biased due to forecaster herding. Evidence of forecaster herding is strong when we assume that the information set contains no information on the contemporaneous forecasts of others. When we randomly allocate forecasters into a group of early forecasters who can only observe the past forecasts of others and late forecasters who can observe the contemporaneous forecasters of their predecessors, then evidence of forecaster herding weakens. Further, evidence of forecaster herding is strong and significant in times of high inflation volatility. In time of low inflation volatility, in contrast, forecaster anti-herding seems to dominate.

Keywords: Inflation rate; Forecasting; Forecaster Herding (search for similar items in EconPapers)
JEL-codes: C53 D82 E37 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2014-10
New Economics Papers: this item is included in nep-afr, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Inflation forecasts and forecaster herding: Evidence from South African survey data (2016)
Working Paper: Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201455

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().