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How do agents form macroeconomic expectations? : evidence from inflation uncertainty

Wang, Tao - 2024 - Last updated: February 16, 2024

This paper studies the behaviors of uncertainty through the lens of several popular models of expectation formation. The full-information rational expectations model (FIRE) predicts that both the ex ante uncertainty and the variance of ex post forecast errors are equal to the conditional...

Persistent link: https://www.econbiz.de/10014475397

Measuring Uncertainty Based on Rounding : New Method and Application to Inflation Expectations

Binder, Carola Conces - 2017

Although uncertainty plays an important role in economic decisionmaking, empirical measures of individuals' uncertainty are rare. The literature on cognition and communication documents that people use round numbers to convey uncertainty. This paper introduces a method of quantifying the...

Persistent link: https://www.econbiz.de/10012972054

Economic uncertainty and subjective inflation expectations

Rossmann, Tobias - 2019

Measuring economic uncertainty is crucial for understanding investment decisions by individuals and firms. Macroeconomists increasingly rely on survey data on subjective expectations. An innovative approach to measure aggregate uncertainty exploits the rounding patterns in individuals' responses...

Persistent link: https://www.econbiz.de/10012034114

The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy

Wieland, Volker - 2010

This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...

Persistent link: https://www.econbiz.de/10013142142

The diversity of forecasts from macroeconomic models of the U.S. economy

Wieland, Volker; Wolters, Maik H. - 2010

Uncertainty ; Bayesian Estimation …

Persistent link: https://www.econbiz.de/10003973758

Structural shocks and trend inflation

Fu, Bowen; Mendieta-Muñoz, Ivan - 2023

We propose an unobserved components model with stochastic volatility and structural shocks to explore the relevant factors that influence trend inflation in the USA. Using structural shocks that incorporate a broad set of information for the US economy, we find that four structural shocks have...

Persistent link: https://www.econbiz.de/10014483507

Inflationary household uncertainty shocks

Ambrocio, Gene - 2022

I construct a novel measure of household uncertainty based on survey data for European countries. I show that household uncertainty shocks do not universally behave like negative demand shocks. Notably, household uncertainty shocks are largely inflationary in Europe. Further analysis, including...

Persistent link: https://www.econbiz.de/10012818726

Inflationary household uncertainty shocks

Ambrocio, Gene - 2020

I construct a novel measure of household uncertainty based on survey data for European countries. I show that household uncertainty shocks are not universally like negative demand shocks. Notably, household uncertainty shocks are largely inflationary in Europe. These results lend support to a...

Persistent link: https://www.econbiz.de/10012208130

Monetary policy uncertainty and inflation expectations

Arce-Alfaro, Gabriel; Blagov, Boris - 2021

Do inflation expectations react to changes in the volatility of monetary policy? Yes, but only until the global financial crisis. This paper investigates whether increasing the dispersion of monetary policy shocks, which is interpreted as elevated uncertainty surrounding monetary policy, affects...

Persistent link: https://www.econbiz.de/10012489332

The Effect of Commodity Price Shocks on Underlying Inflation : The Role of Central Bank Credibility

Davis, Scott - 2015

This paper seeks to document and explain the effect of a commodity price shock on underlying core inflation, and how … across many countries there was a break in the response of core inflation to a commodity price shock. In an earlier period, a … shock to commodity prices would lead to a large and significant increase in core inflation, but in later periods, the effect …

Persistent link: https://www.econbiz.de/10013036232