We study the rationality of the inflation forecasts of the central banks of Argentina, Brazil, Chile, and Mexico. We reject rationality under a symmetric (Chile is an exception) but not under an asymmetric loss function. An overprediction implies a larger loss than an underprediction. We also...

Based on the approach advanced by Elliott et al. [Elliott, G., Komunjer, I., Timmermann, A., 2005. Estimation and testing of forecast rationality under flexible loss. Review of Economic Studies 72, 1107–1125], we studied whether the inflation and output growth projections published by the...

The Livingston survey data are used to investigate whether economists’ forecasts are consistent with the Taylor principle. Consistency with the Taylor principle is strong for academics and Federal Reserve economists, and less strong for private-sector economists.

We use the Livingston survey data to study whether forecasters of the S&P 500 stock price index herd. Our results imply that forecasters do not herd. Rather, we find that forecasters anti-herd. Anti-herding is less prevalent among academics and Federal Reserve economists. Forecaster anti-herding...

Yes, they are! We find that although there is a surprisingly high dispersion of individual forecasts and some dissent on the Federal Funds target, the FOMC’s individual behavior is well described by a Taylor-type rule.

We show that growth and unemployment forecasts submitted by individual FOMC members do not exhibit herding behavior, while the inflation forecasts show strong evidence of anti-herding. Interestingly, anti-herding is more important for non-voting members than for voters.

We analyze more than 40,000 forecasts of the annual growth rate of the money supply, the inflation rate, and the growth rate for eleven Asian–Pacific countries between 1994 and 2011. We document that forecasters believe in nominal effects of future monetary policy.

We provide empirical evidence on the Lucas Supply Function based on actual inflation surprises for 19 industrial economies. Our results show that the inflation surprise positively correlates with the output gap and that this relationship is negatively related to inflation variability.

We investigate the determinants of forecast heterogeneity in the JPY/USD market using panel data from Consensus Economics. We find that past exchange-rate volatility increases forecast dispersion, while foreign exchange intervention of the Japanese Ministry of Finance dampens expectation...