Overreaction in Macroeconomic Expectations

• 成果类型: Article
• 署名作者: Bordalo, Pedro; Gennaioli, Nicola; Ma, Yueran; Shleifer, Andrei
• 署名单位: Bocconi University; Bocconi University; Harvard University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20181219
• 发表日期: 2020
• 页码: 2748-2782
• 关键词: information; returns; prices; MARKET; biases; US

摘要

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.