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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

Heterogeneous forecasters and nonlinear expectation formation in the US stock market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2014

Persistent link: https://www.econbiz.de/10010407532

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

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

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

Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

Persistent link: https://www.econbiz.de/10013223934

Agent-Based Computational Economics (ACE) and African Modelling : Perspectives and Challenges

Nwaobi, Godwin Chukwudum - 2011

In recent years, the government, of African Countries has assumed major responsibilities for economic reforms and growth. In attempting to describe their economies, economists (policymakers) in many African Countries have applied certain models that are by now widely known: Linear programming...

Persistent link: https://www.econbiz.de/10013117492

Measuring biases in expectation formation

Peters, Florian; Kucinskas, Simas - 2018

We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast...

Persistent link: https://www.econbiz.de/10011869992

Policy uncertainty and information flows : evidence from pension reform expectations

Ciani, Emanuele; Delavande, Adeline; Etheridge, Ben; … - 2019

Subjective expectations about future policy play an important role in individuals' welfare. We examine how workers' expectations about pension reform vary with proximity to reforms, information cost, and aggregate information acquisition. We construct a new pan-European dataset of reform...

Persistent link: https://www.econbiz.de/10012104108

Heterogeneity in macroeconomic news expectations : a disaggregate level analysis

El Ouadghiri, Imane - 2015

Persistent link: https://www.econbiz.de/10011300869