Do current account forecasters herd?
- 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.
| Author: | Michael Frenkel, Jan-Christoph Rülke, Lilli Zimmermann |
|---|---|
| URN: | urn:nbn:de:hbz:992-opus4-4231 |
| Subtitle (English): | evidence from the Euro area and the G7 countries |
| Series (Serial Number): | WHU – Working Paper Series in Economics (WP 11/01) |
| Publisher: | WHU – Otto Beisheim School of Management |
| Place of publication: | Vallendar |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 2017/06/15 |
| Publishing Institution: | WHU - Otto Beisheim School of Management |
| Release Date: | 2017/06/15 |
| Tag: | Börsen-Prognostiker; Eurozone; G7-Länder; Herdentrieb Account forecaster; Euro area; G7 countries; Herding |
| Volume: | 2011 |
| Issue: | WP 11/01 |
| Page Number: | 22 |
| Institutes: | WHU Economics Group / Chair of Macroeconomics and International Economics |
| JEL-Classification: | C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C33 Models with Panel Data |
| D Microeconomics / D8 Information, Knowledge, and Uncertainty / D84 Expectations; Speculations | |
| F International Economics / F1 Trade / F17 Trade Forecasting and Simulation | |
| Licence (German): |  Copyright for this publication |
