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Scattered Fiscal Forecasts

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Author Info

  • Georg Stadtmann

    ()
    (Europa-Universität Viadrina and University of Southern Denmark)

  • Christian Pierdzioch

    ()
    (Helmut-Schmidt-University)

  • Jan Ruelke

    ()
    (WHU - Otto Beisheim School of Management)

Abstract

The banking debacle of 2007/2008 and the Greek sovereign debt crisis have witnessed that forecasts of government balances play a major role for how participants in financial markets assess the sustainability of government budget deficits. But how do forecasters form their government-balance forecasts? Do forecasters deliver unbiased forecasts? Our results imply that they do not. On the contrary, using more than 100,000 forecasts of government balances for 38 countries we report strong evidence of forecaster anti-herding, i.e. forecaster scatter their projections around the consensus forecast.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P230.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 3 ()
Pages: 2558-2568

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Handle: RePEc:ebl:ecbull:eb-11-00353

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Related research

Keywords: Government balance; Survey data; Forecasting;

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References

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  1. Nickel, Christiane & Rother, Philipp & Rülke, Jan C., 2009. "Fiscal variables and bond spreads: evidence from eastern European countries and Turkey," Working Paper Series 1101, European Central Bank.
  2. Lamont, Owen A., 2002. "Macroeconomic forecasts and microeconomic forecasters," Journal of Economic Behavior & Organization, Elsevier, vol. 48(3), pages 265-280, July.
  3. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
  4. Aggarwal, Raj & Mohanty, Sunil, 2000. "Rationality of Japanese macroeconomic survey forecasts: empirical evidence and comparisons with the US," Japan and the World Economy, Elsevier, vol. 12(1), pages 21-31, January.
  5. Pierdzioch, Christian & Rülke, Jan Christoph & Stadtmann, Georg, 2010. "New evidence of anti-herding of oil-price forecasters," Energy Economics, Elsevier, vol. 32(6), pages 1456-1459, November.
  6. Aggarwal, Raj & Mohanty, Sunil & Song, Frank, 1995. "Are Survey Forecasts of Macroeconomic Variables Rational?," The Journal of Business, University of Chicago Press, vol. 68(1), pages 99-119, January.
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Cited by:
  1. Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Forecasting metal prices: Do forecasters herd?," Discussion Papers 325, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.

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