We study the loss function of 15 European governments as implied by their budget balance forecasts. Results suggest that the shape of the loss function varies across countries. The loss function becomes more asymmetric as the forecast horizon increases and in advance of parliamentary election....

The U.S. subprime mortgage crisis has witnessed that house prices may have a profound effect on the economy. A key question for researchers and policymakers is what can be learnt from forecast changes in house prices. We use survey data from the WSJ forecast poll to analyze this question....

With regard to interest rate forecasts, earlier researchers have found mixed evidence of forecaster herding. Using the Livingston survey data, we reexamined the case for forecaster herding. We did not find evidence of forecaster herding. On the contrary, we found strong evidence of forecaster...

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...

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 suggest a simple test of whether an inflation target anchors private-sector inflation expectations. The test is easy to compute and it is robust to various sources of misspecification. The test may be a useful alternative to dispersion measures commonly studied in research on inflation...

Using forecasts of exchange rates of the Brazilian real and the Mexican peso against the US dollar, we analyze the symmetry of the loss function of exchange-rate forecasters and the rationality of their forecasts. Symmetry of the loss function can be rejected for some forecasters but not all....

We analyze more than 20,000 forecasts of nine metal prices at four different forecast horizons. We document that forecasts are heterogeneous and report that anti-herding appears to be a source of this heterogeneity. Forecaster anti-herding reflects strategic interactions among forecasters that...

We study whether forecasts of the rate of change of the price of oil are rational. To this end, we consider a model that allows the shape of forecasters’ loss function to be studied. The shape of forecasters’ loss function may be consistent with a symmetric or an asymmetric loss function. We...