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

Christian Pierdzioch, Monique Reid and Rangan Gupta

No 21/2014, Working Papers from Stellenbosch University, 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)
Date: 2014
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (3)

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https://www.ekon.sun.ac.za/wpapers/2014/wp212014/wp-21-2014.pdf First version, 2014 (application/pdf)

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)
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