While stock market expectations are among the most important primitives of portfolio choice models, their measurement has proved challenging for some respondents. We argue that the magnitude of measurement error in subjective expectations can be used as an indicator of the degree to which...

While stock market expectations are among the most important primitives of portfolio choice models, their measurement has proved challenging for some respondents. We argue that the magnitude of measurement error in subjective expectations can be used as an indicator of the degree to which...

While stock market expectations are among the most important primitives of portfolio choice models, their measurement has proved challenging for some respondents. We argue that the magnitude of measurement error in subjective expectations can be used as an indicator of the degree to which...

While stock market expectations are among the most important primitives of portfolio choice models, their measurement has proved challenging for some respondents. We argue that the magnitude of measurement error in subjective expectations can be used as an indicator of the degree to which...

In this study we present a geometric approach to proxy economic uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based uncertainty indicators derived from business and consumer surveys...

Information-theoretic methods have recently been proposed for the simultaneous recovery of investors’ beliefs about future macroeconomic and financial outcomes and their risk preferences from observed asset prices. These methods estimate beliefs and preferences to minimize the statistical...

Financial derivatives linked to the median, which is the 50%-th percentile of a distribution, have not been extensively studied in realistic models of financial markets, as such derivatives simply did not exist until recently. The Libor reform that brought a seismic change to the interest rate...

A growing literature uses now widely available data on beliefs and expectations in the estimation of structural models. In this chapter, we review this literature, with an emphasis on models of individual and household behavior. We first show how expectations data have been used to relax strong...

The increase in the price of gold between 2002 and 2011 appears to be a candidate for a potential asset price ‘bubble', suggesting that chartists (feedback traders) were highly active in the gold market during this period. Hence, this paper develops and tests empirically several models...

A growing literature uses now widely-available data on beliefs and expectations in the estimation of structural models. In this chapter, we review this literature, with an emphasis on models of individual and household behavior. We first show how expectations data have been used to relax strong...