Rational Bias in Yield Curve Forecasts
分析1987-1996年蓝筹金融调查中个人对债券收益率的预测行为，发现预测者理性地过度依赖自身先前预测以模仿更有能力的预测者，且这种修正不足与预测误差正相关。
Empirical studies of forecasts often fail to reconcile the rational expectations hypothesis with a minimum mean square error objective function. Recent studies, however, have argued that observed bias may be rational in certain advising games, or for objective functions that include publicity or forecasting reputation as additional arguments. This paper analyzes multistep forecasting behavior for individuals forecasting bond yields in the Blue Chip Financial Survey over the 1987-1996 period and uncovers statistically significant evidence supportive of Ehrbeck and Waldmann's rational stubbornness. I find that forecasters rationally place too much weight on their previous forecasts in an attempt to mimic the behavior of more able forecasters (perhaps attempting to fool their clients). Jointly, I also find that this pattern of under-revision is positively correlated with mean square forecasting errors. Rational stubbornness is sensitive to the forecasting horizon as well as bond maturity. © 2001 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology