Anchoring Effect on Macroeconomic Forecasts : A Heterogeneity Approach

With respect to the rational expectation hypothesis, some previous studies adopted a behavioral perspective to explain why forecast biases occur. One widely-discussed behavioral bias in forecasting is the anchoring and adjustment heuristics. This paper proposes a two-anchor heterogeneity model to simultaneously estimate the anchoring biases in individual and consensus forecasts. The results show that the previous individual forecast and consensus forecast anchor the forecasts of the U.S. macroeconomic series. Generally, forecasters slowly adjust their prior belief and behave stubbornly. Moreover, the individual forecaster also presents substantial and heterogeneous anchoring bias. A robustness analysis using Eurozone data is consistent with the findings mentioned above.