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Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth

Michael Clements

No icma-dp2014-12, ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University

Abstract: We consider a number of ways of testing whether macroeconomic forecasters herd or anti-herd, i.e., whether they shade their forecasts towards those of others or purpose- fully exaggerate their differences. When applied to survey respondents expectations of inflation and output growth the tests indicate conflicting behaviour. We show that this can be explained in terms of a simple model in which differences between forecasters are primarily due to idiosyncratic factors or reporting errors rather than imitative behaviour. Models of forecaster heterogeneity that stress informational rigidities will also falsely indicate imitative behaviour.

New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
Date: 2014-10
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