Forecasting Housing Approvals in Australia: Do Forecasters Herd?

被引:2
作者
Pierdzioch, Christian [3 ]
Ruelke, Jan-Christoph [4 ]
Stadtmann, Georg [1 ,2 ]
机构
[1] Univ So Denmark, Dept Econ & Business, DK-5230 Odense M, Denmark
[2] European Univ Viadrina, D-15207 Frankfurt, Oder, Germany
[3] Helmut Schmidt Univ, Dept Econ, D-22008 Hamburg, Germany
[4] WHU Otto Beisheim Sch Management, Dept Econ, D-56179 Vallendar, Germany
关键词
FINANCIAL-MARKETS; PRICES; BEHAVIOR;
D O I
10.1111/j.1467-8462.2012.00676.x
中图分类号
F [经济];
学科分类号
02 ;
摘要
Price trends in housing markets may reflect herding of market participants. A natural question is whether such herding, to the extent that it occurred, reflects herding in forecasts of professional forecasters. Using more than 6,000 forecasts of housing approvals for Australia, we did not find evidence of forecaster herding. On the contrary, forecasters anti-herd and, thereby, tend to intentionally scatter their forecasts around the consensus forecast. The extent of anti-herding seems to vary over time. We also found that more pronounced anti-herding leads to less accurate forecasts.
引用
收藏
页码:191 / 201
页数:11
相关论文
共 21 条
[1]   Explaining house prices in Australia: 1970-2003 [J].
Abelson, P ;
Joyeux, R ;
Milunovich, G ;
Chung, D .
ECONOMIC RECORD, 2005, 81 :S96-S103
[2]  
[Anonymous], 2004, BIS Q REV
[3]  
[Anonymous], 2008, INT ECON ECON POL, DOI DOI 10.1007/S10368-008-0123-Y
[4]  
[Anonymous], 891 EUR CENTR BANK
[5]   Who herds? [J].
Bernhardt, Dan ;
Campello, Murillo ;
Kutsoati, Edward .
JOURNAL OF FINANCIAL ECONOMICS, 2006, 80 (03) :657-675
[6]  
Bikhchandani S, 2001, IMF STAFF PAPERS, V47, P279
[7]   The role of house prices in the monetary policy transmission mechanism in small open economies [J].
Bjornland, Hilde C. ;
Jacobsen, Dag Henning .
JOURNAL OF FINANCIAL STABILITY, 2010, 6 (04) :218-229
[8]   Money illusion and housing frenzies [J].
Brunnermeier, Markus K. ;
Julliard, Christian .
REVIEW OF FINANCIAL STUDIES, 2008, 21 (01) :135-180
[9]   An examination of herd behavior in equity markets: An international perspective [J].
Chang, EC ;
Cheng, JW ;
Khorana, A .
JOURNAL OF BANKING & FINANCE, 2000, 24 (10) :1651-1679
[10]  
Dovern J., 2012, REV EC STAT IN PRESS