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Strategic bias and popularity effect in the prediction of economic surprises
Journal of Forecasting ( IF 2.627 ) Pub Date : 2021-01-11 , DOI: 10.1002/for.2764
Luiz Félix 1, 2 , Roman Kräussl 3, 4 , Philip Stork 1, 5
Affiliation  

Professional forecasters of economic data are remunerated based on accuracy and positive publicity generated for their firms. This remuneration structure incentivizes them to stick to the median forecast but also to make bold forecasts when they perceive to have superior private information. We find that skewness in the distribution of expectations, potentially created by bold forecasts, predicts economic surprises across a wide range of US economic indicators in-sample and out-of-sample, confirming our hypothesis that forecasters behave strategically and possess private information. This strategic bias found in US economic forecasts is also exhibited in individual forecasters' data as well as in continental Europe, the United Kingdom, and Japan. We show that it has been increasing both through time and in relation to the behavioral anchor bias. Our results suggest that the pervasiveness of the biases depends on the popularity of the economic indicator being released, both in the United States and internationally.

中文翻译:

经济意外预测中的战略偏差和人气效应

经济数据的专业预测员根据为其公司产生的准确性和积极宣传获得报酬。这种薪酬结构激励他们坚持中值预测,但也会在他们认为拥有更好的私人信息时做出大胆的预测。我们发现,预期分布的偏度(可能由大胆预测造成)预测了广泛的样本内和样本外美国经济指标的经济意外,证实了我们的假设,即预测者的行为具有战略意义并拥有私人信息。美国经济预测中的这种战略偏差也体现在个别预测者的数据以及欧洲大陆、英国和日本的数据中。我们表明它随着时间的推移和与行为锚定偏差的关系一直在增加。我们的结果表明,偏见的普遍性取决于所发布的经济指标在美国和国际上的受欢迎程度。
更新日期:2021-01-11
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