Meade, Nigel and Driver, Ciaran (2023) 'Differing behaviours of forecasters of UK GDP growth.' International Journal of Forecasting, 39 (2). pp. 772-790.
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Abstract
The literature suggests that the dispersion of agents’ forecasts of an event flows from heterogeneity of beliefs and models. Using a data set of fixed event point forecasts of UK GDP growth by a panel of independent forecasters published by HM Treasury, we investigate three questions concerning this dispersion: (a) Are agent’s beliefs randomly distributed or do agents fall into groups with similar beliefs? (b) as agents revise their forecasts, what roles are played by their previous and consensus forecasts? and (c) is an agent’s private information of persistent value? We find that agents fall into four clusters, a large majority, a few pessimists, and two idiosyncratic agents. Our proposed model of forecast revisions shows agents are influenced positively by a change in the consensus forecast and negatively influenced by the previous distance of their forecast from the consensus. We show that the forecasts of a minority of agents significantly lead the consensus.
| Item Type: | Journal Article |
|---|---|
| Keywords: | GDP forecasts, Fixed event forecasting, Herding, Cluster analysis, Granger causality |
| SOAS Departments & Centres: | Departments and Subunits > School of Finance & Management |
| ISSN: | 01692070 |
| Copyright Statement: | This is the version of the article accepted for publication in International Journal of Forecasting published by Elsevier (2022), available at: https://doi.org/10.1016/j.ijforecast.2022.02.005 © 2022. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ Re-use is subject to the publisher’s terms and conditions |
| DOI (Digital Object Identifier): | https://doi.org/10.1016/j.ijforecast.2022.02.005 |
| Date Deposited: | 19 Apr 2022 11:32 |
| URI: | https://eprints.soas.ac.uk/id/eprint/37068 |
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