-
- Pedro Bordalo
- Oxford Said Business School (email: )
-
- Nicola Gennaioli
- Università Bocconi and IGiER (email: )
-
- Yueran Ma
- Chicago Booth (email: )
-
- Andrei Shleifer
- Harvard University (email: )
説明
<jats:p> We study the rationality of individual and consensus forecasts of macroeconomic and financial variables using the methodology of Coibion and Gorodnichenko (2015), who examine predictability of forecast errors from forecast revisions. We find that individual forecasters typically overreact to news, while consensus forecasts under-react relative to full-information rational expectations. We reconcile these findings within a diagnostic expectations version of a dispersed information learning model. Structural estimation indicates that departures from Bayesian updating in the form of diagnostic overreaction capture important variation in forecast biases across different series, yielding a belief distortion parameter similar to estimates obtained in other settings. (JEL C53, D83, D84, E13, E17, E27, E47) </jats:p>
収録刊行物
-
- American Economic Review
-
American Economic Review 110 (9), 2748-2782, 2020-09-01
American Economic Association