Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Time Series D17-V1
We show that the consensus forecast can be biased if some forecasters minimize an asymmetric loss function and the DGP features conditional heteroscedasticity. The time-varying bias depends on the variance of the process. As a consequence, the information from the ex-ante variation of forecasts can be used to improve the predictive accuracy of the combined forecast. Forecast survey data from the Euro area and the U.S. confirm the implications of the theoretical model.