Forecaster (Mis-)Behavior

• 成果类型: Article
• 署名作者: Broer, Tobias; Kohlhas, Alexandre N.
• 署名单位: Paris School of Economics; University of Oxford
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01210
• 发表日期: 2024-09
• 页码: 1334-1351
• 关键词: sticky prices; INFORMATION; expectations; MARKET

摘要

We document two stylized facts in expectational survey data. First, professional forecasters overrevise their macroeconomic expectations. Second, such overrevisions mask evidence of both over- and underreactions to public signals. We show that the first fact is inconsistent with standard models of noisy rational expectations, but consistent with behavioral and strategic models. The second fact, in contrast, presents a puzzle for existing theories. We propose an extension of noisy rational expectations that allows forecasters to be overconfident in their information. We show that this feature when combined with the endogeneity of public signals leads to over- and undereactions consistent with the data.