Irrationality or Efficiency of Macroeconomic Survey Forecasts?Implications from the Anchoring Bias Test

We analyze the quality of macroeconomic survey forecasts. Recent findings indicate that theyare anchoring biased. This irrationality would challenge the results of a wide range ofempirical studies, e.g., in asset pricing, volatility clustering or market liquidity, which rely onsurvey data to capture market participants’ expectations. We contribute to the existingliterature in two ways. First, we show that the cognitive bias is a statistical artifact. Despitehighly significant anchoring coefficients a bias adjustment does not improve forecasts’quality. To explain this counterintuitive result we take a closer look at macroeconomicanalysts’ information processing abilities. We find that analysts benefit from the use of anextensive information set, neglected in the anchoring bias test. Exactly this informationadvantage drives the misleading anchoring bias test results. Second, we find that the superiorinformation aggregation capabilities enable analysts to easily outperform sophisticated timeseriesforecasts and therefore survey forecasts should clearly be favored.