Rational bias in macroeconomic forecasts / David Laster, Paul Bennett, In Sum Geoum.
Tipo de material: TextoSeries Staff reports ; n. 21Detalles de publicación: New York, N.Y. : Federal Reserve Bank of New York, 1997Descripción: 46 pTema(s): Clasificación CDD:- 338.5442 21
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Documento | Biblioteca Manuel Belgrano | F 338.5442 L 19675 F (Navegar estantería(Abre debajo)) | Enlace al recurso | Disponible | 19675 F |
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F 338.544 V 14994 F Dynamic regression analysis and forecasting with microcomputers : | F 338.5442 E 17947 Forecasting national activity using lots of international predictors : an application to New Zealand / | F 338.5442 K 14511 F Optimal rational expectations | F 338.5442 L 19675 F Rational bias in macroeconomic forecasts / | F 338.5442 R 18856 F Un modelo de predicción del estimador mensual industrial (EMI) | F 338.5442 S 15819 Factor forecasting using international targeted predictors : | F 338.5442 V 13814 F Business cycle analysis and forecasting with modern control theory |
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This paper develops a model of macroeconomic forecasting in which the wages firms pay their forecasters are a function of their accuracy as well as the publicity they generate for their employers by being correct. In the resulting Nash equilibrium, forecasters with identical models, information, and incentives nevertheless produce a variety of predictions in order to maximize their expected wages. In the case of heterogeneous incentives, the forecasters whose wages are most closely tied to publicity, as opposed to accuracy, produce the forecasts that deviate most from the consensus. We find empirical support for our model using a twenty-year panel of real GNP/GDP forecast data from the survey Blue Chip Economic Indicators. Although the consensus outperforms virtually every forecaster, many forecasters choose to deviate from it substantially and regularly. Moreover, the extent of this deviation varies by industry in a manner consistent with our model.
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