Do Current Account Forecasters Herd? – Evidence from the Euro Area and the G7 Countries

Michael Frenkel, Jan Christoph Rülke and Lilli Zimmermann ()

No 11-01, WHU Working Paper Series - Economics Group from WHU - Otto Beisheim School of Management

Abstract: We use data from the Consensus Economics Forecast Poll to analyze how current account forecasters form expectations. Our results suggest that forecasts do not satisfy traditional unbiasedness and orthogonality criteria for forecast rationality. In addition, we find anti-herding behavior among forecasters for the euro area and G7 countries. We also show that the cross-sectional heterogeneity in anti-herding is associated with cross-sectional heterogeneity in forecast accuracy. More specifically, we find some evidence indicating that forecasters who tend to herd provide more accurate forecasts than their colleagues who follow an anti-herding strategy.

JEL-codes: C33 D84 F17 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2011-01
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Published Review of International Economics, Volume 20, Number 2, 1 May 2012, pp. 221-236(16)

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Persistent link: https://EconPapers.repec.org/RePEc:whu:wpaper:11-01

DOI: 10.1111/j.1467-9396.2012.01018.x

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