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Noisy information and fundamental disagreement

Andrade, Philippe; Crump, Richard K.; Eusepi, Stefano; … - 2013

We study the term structure of disagreement of professional forecasters for key macroeconomic variables. We document a … of disagreement differs markedly across variables: the term structure is downward-sloping for real output growth …, relatively flat for CPI inflation, and upward-sloping for the federal funds rate; 3) disagreement is time varying at all horizons …

Persistent link: https://www.econbiz.de/10010222893

Biased Surveys

Valchev, Rosen; Gemmi, Luca - National Bureau of Economic Research - 2023

expectations, the information precision and the degree of disagreement …

Persistent link: https://www.econbiz.de/10014337840

Is there hope for the expectations hypothesis?

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2024

Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work evaluating the EH generally assumes either full-information...

Persistent link: https://www.econbiz.de/10014519064

Randomizing Endowments : An Experimental Study of Rational Expectations and Reference-Dependent Preferences

Goette, Lorenz - 2014

An important advance in the study of reference-dependent preferences is the discipline provided by coherent accounts of reference point formation. Kőszegi and Rabin (2006) provide such discipline by positing a reference point grounded in rational expectations. We examine the predictions of...

Persistent link: https://www.econbiz.de/10013043666

Rational Belief Bubbles

Sohn, H. - 2018

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, it is possible to hold more than one (small-r) “rational” expectation. When rational...

Persistent link: https://www.econbiz.de/10012919580

Diverse risk preferences and heterogeneous expectations in an asset pricing model

Gomez, Thomas; Piccillo, Giulia - 2019

We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...

Persistent link: https://www.econbiz.de/10012157926

Rational belief bubbles

Sohn, Hyun-U; Sornette, Didier - 2020

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

Persistent link: https://www.econbiz.de/10012181099

Rational overconfidence and social security

Krabbe Nielsen, Carsten - 2014

Is an assumption of bounded rationality needed to explain Social Security and other mandatory pension plans? In this contribution we argue that when rational agents hold inconsistent expectations such programs may be justified. Two of the features that distinguish Social Security and many other...

Persistent link: https://www.econbiz.de/10011774418

Bayesian learning and expectations formation : anything goes

Albert, Max - 1996

The paper proves that the Bayesian approach to learning and expectations formation implies no propositions that could conceivably be refuted by observation. For a (non-expanding) universe infinite in time but finite at any point of time, it is shown that by a suitable choice of priors, any...

Persistent link: https://www.econbiz.de/10009499955

Robustly optimal monetary policy in a microfounded new keynesian model

Adam, Klaus; Woodford, Michael - 2012

We consider optimal monetary stabilization policy in a New Keynesian model with explicit microfoundations, when the central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy that will be as good as possible in the case of any...

Persistent link: https://www.econbiz.de/10011489843