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Heterogeneous forecasters and nonlinear expectation formation in the US stock market
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2014
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...
Persistent link: https://www.econbiz.de/10010384168
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Heterogeneous forecasters and nonlinear expectation formation in the US stock market
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2014
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...
Persistent link: https://www.econbiz.de/10010407532
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Heteroeneous forecasters and nonlinear expectation formation in US stock market
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...
Persistent link: https://www.econbiz.de/10010479018
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Rationality and Forecasting Accuracy of Exchange Rate Expectations : Evidence from Survey-Based Forecasts
Ince, Onur - 2019
We examine rationality, forecasting accuracy, and economic value of the survey-based exchange rate forecasts for 10 developed and 23 developing countries at the 3-, 12-, and 24-month horizons. Using the data from two surveys for the period from 2004 to 2012, we find strong evidence that the...
Persistent link: https://www.econbiz.de/10012903718
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Quantifying qualitative survey data : new insights on the (ir)rationality of firms' forecasts
Botsis, Alexandros; Görtz, Christoph; Sakellarēs, … - 2020
Using a novel dataset that contains qualitative firm survey data on sales forecasts as well as balance-sheet data on realized sales, we document that only major forecast errors are predictable and display autocorrelation. This result is a particular violation of the Full Information Rational...
Persistent link: https://www.econbiz.de/10012174792
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Heterogeneous expectations among professional forecasters
Conrad, Christian; Lahiri, Kajal - 2023
Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity …. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and … evidence based on the ZEW Financial Market Survey, covering the behavior of expectations heterogeneity during the recent surge …
Persistent link: https://www.econbiz.de/10014472058
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Heterogeneous expectations among professional forecasters
Conrad, Christian; Lahiri, Kajal - 2024
Macroeconomic expectations of various economic agents are characterized by substantial crosssectional heterogeneity …. This chapter focuses on heterogeneity in the expectations among professional forecasters, first presenting stylized facts …, covering the behavior of expectations heterogeneity during the recent surge in inflation in 2021 and 2022. A central finding is …
Persistent link: https://www.econbiz.de/10015084332
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Financial Econometrics - R Tutorial Guidance
Wang, Yizhi; Vigne, Samuel - 2021
Persistent link: https://www.econbiz.de/10013223934
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Expectation formation in the foreign exchange market : a time-varying heterogeneity approach using survey data
Prat, Georges; Uctum, Remzi - In: Applied economics 47 (2015) 34/36, pp. 3673-3695
Persistent link: https://www.econbiz.de/10011293469
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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation...
Persistent link: https://www.econbiz.de/10010441139