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Assessing Macro-Forecaster Herding: Modelling versus Testing

Author

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  • Michael P. Clements

    (Henley Business School, University of Reading)

Abstract

We draw on fixed-event and fixed-horizon survey expectations to better understand macro-economic forecasting behaviour. Fixed-event forecasts facilitate testing for herding behaviour,while fixed-horizon forecasts lend themselves to modelling the effects of consensus forecasts on individual forecasts. By pursuing these two approaches simultaneously for each individual forecaster, we can determine when the significance of the consensus forecasts in explaining an individuals forecasts is consistent with enhancing forecast accuracy, and when it reects strategic behaviour in response to other motives.

Suggested Citation

  • Michael P. Clements, 2018. "Assessing Macro-Forecaster Herding: Modelling versus Testing," ICMA Centre Discussion Papers in Finance icma-dp2018-01, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-2018-01
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    More about this item

    Keywords

    macro-forecasting; (anti-)herding; ?xed-event forecasts; ?xed-horizon forecasts.;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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