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Scattered Fiscal Forecasts

Author

Listed:
  • 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.

Suggested Citation

  • Georg Stadtmann & Christian Pierdzioch & Jan Ruelke, 2011. "Scattered Fiscal Forecasts," Economics Bulletin, AccessEcon, vol. 31(3), pages 2558-2568.
  • Handle: RePEc:ebl:ecbull:eb-11-00353
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P230.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Lamont, Owen A., 2002. "Macroeconomic forecasts and microeconomic forecasters," Journal of Economic Behavior & Organization, Elsevier, vol. 48(3), pages 265-280, July.
    4. Christiane Nickel & Philipp Rother & Jan-Christoph Ruelke, 2011. "Fiscal variables and bond spreads - evidence from Eastern European countries and Turkey," Applied Financial Economics, Taylor & Francis Journals, pages 1291-1307.
    5. 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.
    6. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, pages 714-735.
    7. 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.
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    Citations

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    Cited by:

    1. Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2012. "A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti-herding," Review of International Economics, Wiley Blackwell, pages 974-984.
    2. Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 150-158.

    More about this item

    Keywords

    Government balance; Survey data; Forecasting;

    JEL classification:

    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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