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...

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....

Based on the approach advanced by Elliott, Komunjer, and Timmermann (2005), we analyzed whether the loss function of a sample of exchange-rate forecasters is asymmetric in the forecast error. Using forecasts of the dollar/euro exchange rate, we found that the shape of the loss function varies...

We analyze whether exchange-rate forecasters herd. To this end, we lay out two widely studied theoretical models of forecaster herding. The models illustrate why forecasters may herd. We then empirically analyze whether forecasts of the Yen/ Dollar, Swiss franc/Dollar, German mark/Dollar, and...

We used Wall Street Journal survey data for the period 2006 - 2010 to analyze whether forecasts of house prices and housing starts provide evidence of (anti-)herding of forecasters. Forecasts are consistent with herding (anti-herding) of forecasters if forecasts are biased towards (away from)...

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...

Using survey forecasts of a large number of Asian, European, and South American emerging market exchange rates, we studied empirically whether evidence of herding or antiherding behavior of exchange-rate forecasters can be detected in the cross-section of forecasts. Emerging market exchange-rate...