رفتار استراتژیک اعضای هیئت مدیره کمیته بازار آزاد فدرال: شواهدی از پیش بینی های اعضا

In this paper, we use panel data to test whether Federal Open Market Committee (FOMC) board members’ forecasts are rational. Rationality is rejected in the sense that forecasts by members are heavily dependent on previous own forecasts and last consensus made in FOMC. Furthermore, we reveal the strategic behavior of FOMC board members. Forecasts by governors, who always have voting rights, agree much with the previous consensus of FOMC members’ forecasts. In contrast, non-governors, who rotate voting rights, exaggerate their forecasts: they aggressively deviate their forecasts from previous consensus. The former is herding behavior and the latter is anti-herding behavior. Our results imply that individual members behave strategically; governors want to present policy-consistent forecasts to the Congress and non-governors utilize their forecasts to influence decision making in FOMC.

This paper aims to test the rationality of inflation forecasts by Federal Open Market Committee (FOMC) board members. In particular, we focus on the strategic behavior of individual board members using panel data on inflation forecasts submitted by FOMC members prior to the semiannual monetary policy report to the Congress. In this paper, we use two concepts for testing the rationality of forecasting: anchoring and herding. The seminal study on anchoring is Tversky and Kahneman (1974), who find the possibility that decision making is not perfectly rational, but rather heuristic. Decision makers tend to use a simple rule such as anchoring, where the decision is based on some uninformative targets. 1 Tversky and Kahneman (1974) report that answers to such a simple but unfamiliar question as “What percentage of African countries is in the United Nations?” can be heavily influenced by an uninformative number suggested by the Wheel of Fortune. However, very little work has been done to analyze the presence of anchoring effects in real economic situations. Wansink et al. (1998) study the psychological process behind the purchase quantity decision and Beggs and Kathryn (2009) find anchoring effects in art auctions. Using financial data, Fujiwara et al. (2013) and Nakazono (2012) report anchoring effects of market participants in Japan.

In this paper, we use panel data to test whether Federal Open Market Committee (FOMC) board members’ forecasts are rational. We find the following two points. First, we find that rationality is rejected in the sense that forecasts by members are heavily dependent on previous own forecasts and last FOMC consensus. No strategic behavior or bounded rationality is observed from aggregate data. Second, we reveal the strategic behavior of FOMC board members. Forecasts by governors, who always have voting rights, agree much with previous consensus, while those of non-governors are exaggerated to create distance from previous consensus particularly for the longer horizon. Consequently, if non-governors believe that a higher policy rate is needed in the next meeting, they have some incentive to deviate strongly from previous consensus in order to encourage voters to increase interest rates.