Testing the rationality of Japanese GDP forecasts: the sign of forecast revision matters

This paper analyzes the rationality of Japanese GDP forecasts of individual economists. It finds that Japanese forecasters are pessimistic (optimistic) when their forecast revisions (FRs) are positive (negative), and that they always over-react to new information. Across forecasters, the magnitude o...

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Bibliographic Details
Published in:Journal of economic behavior & organization 2003-02, Vol.50 (2), p.263-269
Main Author: Ashiya, Masahiro
Format: Article
Language:English
Subjects:
Economic behaviour
Economic forecasts
Economic organization
Economic theory
Forecast
Forecasts
GDP
Gross Domestic Product
Optimism
Organization theory
Over-reaction
Rational expectation
Rational expectations
Rationality
Reputation
Reputations
Studies
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Summary:This paper analyzes the rationality of Japanese GDP forecasts of individual economists. It finds that Japanese forecasters are pessimistic (optimistic) when their forecast revisions (FRs) are positive (negative), and that they always over-react to new information. Across forecasters, the magnitude of average FR is not correlated with the magnitude of average forecast errors (FE). These results together are consistent with neither the rational expectations hypothesis nor reputation models with rational and strategic forecasters.
ISSN:0167-2681
1879-1751
DOI:10.1016/S0167-2681(02)00051-3