Abstract
This paper presents a cross-country horizon analysis of departures from full-information rational expectations (FIRE) among professional forecasters from 18 OECD countries. Using four well-known tests of FIRE, I find significant heterogeneity in the cross-section of results. My findings contradict the existing literature which has often generalized the direction and magnitude of departures from FIRE. I show that coexisting with these cross-country variations is a common factor in forecast errors – or a cycle of synchronized ‘mistakes’. I argue that this factor may have contributed to the one-size-fits-all approach to the characterization of the expectation formation process