On the herding instinct of interest rate forecasters

Ronald Bewley () and Denzil Fiebig
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Ronald Bewley: The University of New South Wales, Sydney 2052, Australia

Empirical Economics, 2002, vol. 27, issue 3, 403-425

Abstract: It is not uncommon to observe the published forecasts of economic commentators closely bunched together over long periods of time. In our case, the phenomenon is observed for eight national panels of economists who report monthly forecasts. A framework is developed that conveniently nests within it several simple, yet plausible forecasting rules, and allows us to explore the extent of the clustering phenomenon.

Keywords: Clustering of forecasts; forecast accuracy; panel data (search for similar items in EconPapers)
JEL-codes: C33 C53 (search for similar items in EconPapers)
Date: 2002-04-26
Note: received: June 1999/Final version received: February 2001
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Citations: View citations in EconPapers (23)

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