Optimal Aggregation of Money Supply Forecasts: Accuracy, Profitability and Market Efficiency
提出一种聚合专家预测的通用方法，利用预测者群体中的信息结构规律，并应用于二十家主要证券交易商对每周货币供应变化的预测，发现该方法虽不能提高准确性，但能捕捉短期利率未完全反映的预测相关性，从而准确预测国库券及其期货在货币供应公告后的价格变动方向。
ABSTRACT We present a general procedure for aggregating expert forecasts which exploits regularities in the structure of information within the forecaster population. Specific information structures lead to aggregation methods which adjust for additive bias, differences in individual accuracy, and correlation among forecasts. As an application, we construct composite predictions of the weekly change in the money supply from forecasts made by twenty major securities dealers, for which high positive correlation is found to be a significant characteristic. Due to instability in the information structure, our methods cannot improve on the accuracy of a simple average in this case. However, they do capture information about the correlation among money supply forecasts which is not fully impounded in short‐term interest rates. Forecasts from our models accurately predict the direction of price changes for Treasury bills and Treasury bill futures after a money supply announcement.