2022
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1162/rest_a_01210
Tobias Broer et al., « Forecaster (Mis-) behavior », HALSHS : archive ouverte en Sciences de l’Homme et de la Société, ID : 10.1162/rest_a_01210
We document two stylized facts in expectational data. First, professional forecasters overrevise their macroeconomic expectations. Second, such overrevisions mask evidence of both over- and underreactions to public signals. We show that the first fact is inconsistent with standard models of noisy rational expectations, but consistent with behavioral and strategic models. The second fact, in contrast, presents a puzzle for existing theories. We propose an extension of noisy rational expectations that allows forecasters to be overconfident in their information. We show that this feature when combined with the endogeneity of public signals leads to over- and undereactions consistent with the data.