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I study the role of shocks to beliefs combined with Bayesian learning in a standard equilibrium business cycle framework. By adapting ideas from Cogley and Sargent (2008b) to the general equilibrium setting, I am able to study how a prior belief arising from the Great Depression may have...
Persistent link: https://www.econbiz.de/10010816021
We study abstract macroeconomic systems in which expectations play an important role. Consistent with the recent literature on recursive learning and expectations, we replace the agents in the economy with econometricians. Unlike the recursive learning literature, however, the econometricians in...
Persistent link: https://www.econbiz.de/10009205032
We use the term structure of disagreement of professional forecasters to document a novel set of facts: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement differs markedly across variables: it is downward sloping for real output growth,...
Persistent link: https://www.econbiz.de/10011096085
How are people financially literate in France? We address this question using the PATER survey and following the Lusardi and Mitchell (2011c) approach. We find that some subpopulations are less financially literate than others: women, young and old people as well as less-educated people are more...
Persistent link: https://www.econbiz.de/10010815966
We use the ECB Survey of Professional Forecasters to characterize the dynamics of expectations at the micro level. We find that forecasters (i) have predictable forecast errors; (ii) disagree; (iii) fail to systematically update their forecasts in the wake of new information; (iv) disagree even...
Persistent link: https://www.econbiz.de/10008764496
This paper studies the social value of information about the future when agents are rationally inattentive. In a stylized OLG model of inflation the central bank (CB) can set money supply in response to the current price. The CB has perfect foresight about the future T shocks and releases this...
Persistent link: https://www.econbiz.de/10010815968
I model the dynamics of price adjustments to news arrival in limit order markets when investors have limited attention. Because of limited attention, investors monitor news arrival imperfectly. Consequently prices reflect news with delay. This delay shrinks when investors' attention capacity...
Persistent link: https://www.econbiz.de/10010815973
This paper provides the conditions under which small enough private uncertainty on an aggregate endogenous state of the economy can invalidate uniqueness of the equilibrium. The main result is presented in a fully microfounded macroeconomic model where agents learn from arising prices. The...
Persistent link: https://www.econbiz.de/10010570083
The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...
Persistent link: https://www.econbiz.de/10009652356
This paper proposes a network formation model of an OTC derivatives market where both prices and quantities are bilaterally negociated. The key feature of the framework is to endogenize the network of exposures, the gross and net notional amounts traded and the collateral delivered through...
Persistent link: https://www.econbiz.de/10010815972