Revised April 2014
- We see the symmetry of agents as an appealing property as it is consistent with the well-documented fact that the consensus forecast is difficult to beat, i.e., that no individual forecaster has systematically better forecast performance (e.g., Bauer, Eisenbeis, Waggoner, and Zha, 2003; Stock and Watson, 2004). Moreover, Coibion and Gorodnichenko (2012a,b) provide evidence, by studying the conditional response of consensus forecast errors to shocks, that models with the aforementioned asymmetries are not consistent with the data. It is also important to point out that in our modeling setup, agents forecast an exogenous data generating process. That is, we abstract from any feedback from forecasts to outcomes in general equilibrium as well as from strategic interactions or other forms of endogenous information acquisition. While we believe that these effects may also be important, our focus is to keep the model environment as simple as possible.