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Do Macroforecasters Herd?
Author(s) -
CLEMENTS MICHAEL P.
Publication year - 2018
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12460
Subject(s) - herding , herd behavior , inflation (cosmology) , herd , econometrics , economics , variety (cybernetics) , statistics , mathematics , geography , biology , ecology , physics , theoretical physics , forestry
We show that typical tests of whether forecasters herd will falsely indicate herding behavior for a variety of types of behavior and forecasting environments that give rise to disagreement among forecasters. We establish that forecasters will appear to herd if differences between them reflect noise as opposed to private information, or if they arise from informational rigidities. Noise can have a behavioral interpretation and if so will depend on the behavioral model under consideration. An application of the herding tests to U.S. quarterly survey forecasts of inflation and output growth data 1981–2013 does not support herding behavior.