On the herding instinct of interest rate forecasters |
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| Authors: | Ronald Bewley Denzil G. Fiebig |
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| Affiliation: | (1) The University of New South Wales, Sydney 2052, Australia (e-mail: r.bewley@unsw.edu.au), AU;(2) The University of New South Wales, Sydney 2052, Australia (e-mail: d.fiebig@unsw.edu.au), AU |
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| Abstract: | ![]()
It is not uncommon to observe the published forecasts of economic commentators closely bunched together over long periods of time. In our case, the phenomenon is observed for eight national panels of economists who report monthly forecasts. A framework is developed that conveniently nests within it several simple, yet plausible forecasting rules, and allows us to explore the extent of the clustering phenomenon. First version received: June 1999/Final version received: February 2001 |
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| Keywords: | : Clustering of forecasts forecast accuracy panel data |
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