The judgmental strategy of professional forecasters

We detect the forecasting bias due to strategic interaction among economic agents using a novel methodology that relies on (i) a new definition of coherence based on the Likelihood Principle; (ii) an environment named “Scoring Structure”, where a Forecast User interacts with a Forecast Producer and Reality. A formal test for the null hypothesis of coherence in the Structure is introduced. The test has good small-sample properties and behaves consistently with theoretical requirements. Three case studies support the endemic nature of the strategic judgment in empirical Macroeconomics. The economic interpretation and connections to central banking reputation are discussed.