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Forecasters and rationality—A comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding

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  • Fildes, Robert

Abstract

In this commentary stimulated by Fritsche et al.’s (2014) paper on “Forecasting the Brazilian Real and Mexican Peso” and the implications for forecast rationality, I first survey the literature on forecaster behaviour, and conclude that organisational and psychological factors heavily influence the characteristics of the forecasters’ errors in any particular application. Econometric models cannot decompose the error into these potential sources, due to their reliance on non-experimental data. An interdisciplinary research strategy of triangulation is needed if we are to improve both our understanding of forecaster behaviour and the value of such forecasts.

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  • Fildes, Robert, 2015. "Forecasters and rationality—A comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding," International Journal of Forecasting, Elsevier, vol. 31(1), pages 140-143.
    • Handle: RePEc:eee:intfor:v:31:y:2015:i:1:p:140-143
    DOI: 10.1016/j.ijforecast.2014.01.003
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    Cited by:

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    3. Christoph Buehren & Tim Meyer & Christian Pierdzioch, 2020. "Experimental Evidence on Forecaster (anti-) Herding in Sports Markets," MAGKS Papers on Economics 202038, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

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