This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Giampiero M. Gallo () (Università degli Studi di Firenze, Dipartimento di Statistica "G. Parenti")
Clive W.J. Granger () (Department of Economics, University of California, San Diego)
Yongil Jeon () (Center for Basic Research in the Social Sciences, Harvard University)

Additional information is available for the following registered author(s):

Abstract

This paper presents evidence, using data from Consensus Forecasts, that there is an 'attraction' to conform to the mean forecasts; in other words, views expressed by other forecasters in the previous period influence individuals' current forecast. The paper then discusses-and provides further evidence on-two important implications of this finding. The first is that the forecasting performance of these groups may be severely affected by the detected imitation behavior and lead to convergence to a value which is not the 'right' target. Second, since the forecasts are not independent, the common practice of using the standard deviation from the forecasts' distribution as if they were standard errors of the estimated mean is not warranted.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ds.unifi.it/ricerca/pubblicazioni/working_papers/2001/wp2001_01.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" in its series Econometrics Working Papers Archive with number wp2001_01.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 24 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:fir:econom:wp2001_01

Contact details of provider:
Postal: Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy
Phone: +39 055 4237211
Fax: +39 055 4223560
Web page: http://www.ds.unifi.it/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Margherita Velucchi).

Related research
Keywords: Multistep forecast Consensus forecast Preliminary data.

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Victor Zarnowitz & Louis A. Lambros, 1987. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. John R. Graham, 1999. "Herding among Investment Newsletters: Theory and Evidence," Journal of Finance, American Finance Association, vol. 54(1), pages 237-268, 02. [Downloadable!] (restricted)
  3. Batchelor, Roy & Dua, Pami, 1998. "Improving macro-economic forecasts: The role of consumer confidence," International Journal of Forecasting, Elsevier, vol. 14(1), pages 71-81, March. [Downloadable!] (restricted)
  4. Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June. [Downloadable!] (restricted)
  5. David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias In Macroeconomic Forecasts," The Quarterly Journal of Economics, MIT Press, vol. 114(1), pages 293-318, February. [Downloadable!] (restricted)
  6. Swanson, N.R., 1996. "Forecasting Using First Available Versus Fully Revised Economic Time Series data," Papers 4-96-7, Pennsylvania State - Department of Economics.
    Other versions:
  7. Owen Lamont, 1995. "Macroeconomics Forecasts and Microeconomic Forecasters," NBER Working Papers 5284, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. David E. Runkle, 1998. "Revisionist history: how data revisions distort economic policy research," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12. [Downloadable!]
  9. Davies, Anthony & Lahiri, Kajal, 1995. "A new framework for analyzing survey forecasts using three-dimensional panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 205-227, July. [Downloadable!] (restricted)
  10. Granger, Clive W J, 1996. "Can We Improve the Perceived Quality of Economic Forecasts?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 455-73, Sept.-Oct. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jonas Dovern & Ulrich Fritsche, 2008. "Estimating fundamental cross-section dispersion from fixed event forecasts," Macroeconomics and Finance Series 200801, Hamburg University, Department Wirtschaft und Politik. [Downloadable!]
    Other versions:
  2. Cameron A. Shelton, 2007. "The Information Content of Elections and Varieties of the Partisan Political Business Cycle," Wesleyan Economics Working Papers 2007-003, Wesleyan University, Department of Economics. [Downloadable!]
  3. Jordi Pons-Novell, 2004. "Behavioural biases among interest rate forecasters?," Applied Economics Letters, Taylor and Francis Journals, vol. 11(5), pages 319-321, April. [Downloadable!] (restricted)
  4. Kajal Lahiri & Gultekin Isiklar & Prakash Loungani, 2006. "How quickly do forecasters incorporate news? Evidence from cross-country surveys," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 703-725. [Downloadable!]
  5. Michael Groemling, 2005. "Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler," Departmental Discussion Papers 123, University of Goettingen, Department of Economics. [Downloadable!]
  6. Serena Ng & Matt Shum, 2007. "Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers," Advances in Economic Analysis & Policy, Berkeley Electronic Press, vol. 7(1), pages 1801-1801. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? All bibliographic data on IDEAS has been put in the public domain by the publishers.

This page was last updated on 2008-8-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.