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1、BIASESINMACROECONOMICFORECASTS:IRRATIONALITYORASYMMETRICLOSS?GrahamElliottAllanTimmermannUniversityofCalifornia,SanDiegoUniversityofCalifornia,SanDiegoIvanaKomunjerUniversityofCalifornia,SanDiegoAbstractEmpiricalstudiesusingsurveydataonexpectationshavefrequentlyo
2、bservedthatforecastsarebiasedandhaveconcludedthatagentsarenotrational.Weestablishthatexistingrationalitytestsarenotrobusttoevensmalldeviationsfromsymmetriclossandhencehavelittleabilitytotellwhethertheforecasterisirrationalorthelossfunctionisasymmetric.Wequantifyt
3、hetrade-offbetweenforecastinefficiencyandasymmetriclossleadingtoidenticaloutcomesofstandardrationalitytestsandexplorenewandmoregeneralmethodsfortestingforecastrationalityjointlywithflexiblefamiliesoflossfunctionsthatembedsquaredlossasaspecialcase.Empiricalapplicati
4、onstosurveydataonforecastsofrealoutputgrowthandinflationsuggestthatrejectionsofrationalitymaylargelyhavebeendrivenbytheassumptionofsquaredloss.Moreover,ourresultssuggestthatagentsareaverseto“bad”outcomessuchaslower-than-expectedrealoutputgrowthandhigher-than-expec
5、tedinflationandthattheyincorporatesuchlossaversionintotheirforecasts.(JEL:C22,C53,E37)1.IntroductionExpectationsplayakeyroleineconomicanalysis,affectingthedecisionsofhouseholds,firms,andpolicymakers.Thisinturnhasimportantconsequencesformacroeconomicdynamicsasemphas
6、izedforinstancebyFriedman(1968)andLucas(1973).Howagentsformexpectationsand,inparticular,whethertheyarerationalandefficientlyincorporateallavailableinformationintotheirfore-castsisthusaquestionoffundamentaleconomicimportance.UltimatelythisAcknowledgments:CarlosCapi
7、stranandGrayCalhounprovidedexcellentresearchassistance.Wethanktheeditor,JordiGalí,twoanonymousreferees,KenArrow,DeanCroushore,EdSchlee,CliveGranger,MordecaiKurz,PrestonMcAfee,AdrianPagan,HalWhite,andseminarparticipantsattheNSF/Pennconference2003,UTS,UNSW,Rice,Tex
8、asA&M,U.TexasAustin,Caltech,USC,UCLA,Duke,andStanfordforinsightfulcomments.ElliottandKomunjerarewiththeDepartmentofEconomicsatUCSD;TimmermannisatboththeRadySch
