Forecaster efficiency, accuracy and disagreement: evidence using individual-level survey data

Clements, M. ORCID: https://orcid.org/0000-0001-6329-1341 (2022) Forecaster efficiency, accuracy and disagreement: evidence using individual-level survey data. Journal of Money, Credit and Banking, 54 (2-3). pp. 537-568. ISSN 1538-4616 doi: 10.1111/jmcb.12867

Abstract/Summary

Theories of expectations formation sometimes suppose that agents make efficient forecasts given their information sets. We use individual-level data to test whether survey respondents forecasts are efficient. We assess whether there are systematic differences between forecasters in terms of their degrees of contrarianism, and the accuracy of their forecasts, and whether these are explicable by inefficiencies in the use of information. We find that forecaster inefficiency cannot explain persistence in levels of disagreement across forecasters, but there is evidence that the inefficient use of information is responsible for persistent differences in accuracy across forecasters.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/93811
Identification Number/DOI	10.1111/jmcb.12867
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Wiley
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