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Do Current Account Forecasters Herd? – Evidence from the Euro Area and the G7 Countries

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  • Michael Frenkel
  • Jan Christoph Rülke
  • Lilli Zimmermann

Abstract

We use data from the Consensus Economics Forecast Poll to analyze how current account forecasters form expectations. Our results suggest that forecasts do not satisfy traditional unbiasedness and orthogonality criteria for forecast rationality. In addition, we find anti-herding behavior among forecasters for the euro area and G7 countries. We also show that the cross-sectional heterogeneity in anti-herding is associated with cross-sectional heterogeneity in forecast accuracy. More specifically, we find some evidence indicating that forecasters who tend to herd provide more accurate forecasts than their colleagues who follow an anti-herding strategy.

Suggested Citation

  • Michael Frenkel & Jan Christoph Rülke & Lilli Zimmermann, 2011. "Do Current Account Forecasters Herd? – Evidence from the Euro Area and the G7 Countries," WHU Working Paper Series - Economics Group 11-01, WHU - Otto Beisheim School of Management.
    • Handle: RePEc:whu:wpaper:11-01
    DOI: 10.1111/j.1467-9396.2012.01018.x
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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