On the Origins of Forecast Walk-Downs: A Macro-to-Micro Perspective
研究发现GDP增长预测存在类似卖方分析师盈利预测的下调现象，且宏观预测的下调部分源于经济衰退比复苏更陡峭导致的预测难度反周期变化，表明预测下调不一定源于策略性偏差。
We document a walk-down in gross domestic product (GDP) growth projections that is akin to that in sell-side analysts’ earnings forecasts. While the walk-down in earnings forecasts has been generally attributed to the strategic interplay between corporate managers and sell-side analysts, professional macro forecasters affiliated with the Federal Reserve are less susceptible to outside pressure. Our evidence shows that countercyclical variation in forecasting difficulty, due to asymmetry in the steepness of economic downturns relative to upturns, is relevant in explaining the walk-down in macro forecasts. Without rejecting the expectations game between managers and sell-side analysts, our article offers a more auspicious characterization of forecast walk-downs whereby such patterns can surface even without conditioning on strategic incentives for bias. An overarching implication is that research on the properties of sell-side analysts’ forecasts should consider strategic incentives for bias interacted with information about the state of the economy and heterogeneity in the cyclical exposure of individual firms.