Forecaster (Mis-)Behavior
研究发现专业预测者会过度修正其宏观经济预期，且这种过度修正掩盖了对公共信号过度反应和反应不足并存的现象。该发现对现有理论提出挑战，并提出了一个包含过度自信的噪声理性预期扩展模型来解释数据。
Abstract We document two stylized facts in expectational survey data. First, professional forecasters overrevise their macroeconomic expectations. Second, such overrevisions mask evidence of both over- and underreactions to public signals. We show that the first fact is inconsistent with standard models of noisy rational expectations, but consistent with behavioral and strategic models. The second fact, in contrast, presents a puzzle for existing theories. We propose an extension of noisy rational expectations that allows forecasters to be overconfident in their information. We show that this feature when combined with the endogeneity of public signals leads to over- and undereactions consistent with the data.