Do macro-forecasters herd?

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 (2018) Do macro-forecasters herd? Journal of Money, Credit and Banking, 50 (2-3). pp. 265-292. ISSN 1538-4616 doi: 10.1111/jmcb.12460

Abstract/Summary

We show that typical tests of whether forecasters herd will falsely indicate herding behaviour for a variety of types of behaviour and forecasting environments that give rise to disagreement amongst forecasters. We establish that forecasters will appear to herd if di¤erences between them reject noise as opposed to private information, or if they arise from informational rigidities. Noise can have a behavioural interpretation, and if so will depend on the behavioural model under consideration. An application of the herding tests to US quarterly survey forecasts of inflation and output growth data 1981-2013 does not support herding behaviour.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/72352
Identification Number/DOI	10.1111/jmcb.12460
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Wiley
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