Assessing Macro-Forecaster Herding: Modelling versus Testing

We draw on fixed-event and fixed-horizon survey expectations to better understand macro-economic forecasting behaviour. Fixed-event forecasts facilitate testing for herding behaviour,while fixed-horizon forecasts lend themselves to modelling the effects of consensus forecasts on individual forecasts. By pursuing these two approaches simultaneously for each individual forecaster, we can determine when the significance of the consensus forecasts in explaining an individuals forecasts is consistent with enhancing forecast accuracy, and when it reects strategic behaviour in response to other motives.

JEL Classification: E37.

Keywords: macro-forecasting, (anti-)herding, fixed-event forecasts, fixed-horizon forecasts.