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Do US Macroeconomic Forecasters Exaggerate Their Differences?

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  • Michael P. Clements

    (ICMA Centre, Henley Business School, University of Reading)

Abstract

Application of the Bernhardt, Campello and Kutsoati (2006) test of herding to the calendar-year annual output growth and inflation forecasts suggests forecasters tend to exaggerate their differences, except at the shortest horizon when they tend to herd. We consider whether these types of behaviour can help to explain the puzzle that professional forecasters sometimes make point predictions and histogram forecasts which are mutually inconsistent.

Suggested Citation

  • Michael P. Clements, 2014. "Do US Macroeconomic Forecasters Exaggerate Their Differences?," ICMA Centre Discussion Papers in Finance icma-dp2014-10, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-dp2014-10
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    Cited by:

    1. Michael P. Clements, 2018. "Do Macroforecasters Herd?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 265-292, March.
    2. Meade, Nigel & Driver, Ciaran, 2023. "Differing behaviours of forecasters of UK GDP growth," International Journal of Forecasting, Elsevier, vol. 39(2), pages 772-790.
    3. Yanwei Jia & Jussi Keppo & Ville Satopää, 2023. "Herding in Probabilistic Forecasts," Management Science, INFORMS, vol. 69(5), pages 2713-2732, May.
    4. Cole, Stephen J. & Milani, Fabio, 2021. "Heterogeneity in individual expectations, sentiment, and constant-gain learning," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 627-650.
    5. Monique Reid & Pierre Siklos, 2024. "Firm Level Expectations and Macroeconomic Conditions: Underpinnings and Disagreement," CAMA Working Papers 2024-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Guido Schultefrankenfeld, 2020. "Appropriate monetary policy and forecast disagreement at the FOMC," Empirical Economics, Springer, vol. 58(1), pages 223-255, January.
    7. Goldstein, Nathan & Zilberfarb, Ben-Zion, 2021. "Do forecasters really care about consensus?," Economic Modelling, Elsevier, vol. 100(C).

    More about this item

    Keywords

    Macro-forecasting; imitative behaviour; histogram forecasts; point predictions.;
    All these keywords.

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