Handbook of economic expectations:
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London, United Kingdom
Academic Press
[2023]
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| Beschreibung: | Enthält Literaturangaben und Index |
| Beschreibung: | xxvi, 847 Seiten Diagramme 24 cm |
| ISBN: | 9780128229279 |
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| 245 | 1 | 0 | |a Handbook of economic expectations |c edited by Rüdiger Bachmann (University of Notre Dame, Notre Dame, IN, United States), Giorgio Topa (Federal Reserve Bank of New York, New York, NY, United States), Wilbert van der Klaauw (Federal Reserve Bank of New York, New York, NY, United States) |
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| adam_text | Contents Contributors........................................................................................................................................ Preface................................................................................................................................................. xix xxv PART 1 EXPECTATION ELICITATION_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ Household surveys and probabilistic questions.......................................... 3 Wändi Bruine de Bruin, Alycia Chin, Jeff Dominitz, and Wilbert van der Klaauw 1.1 History and motivation for measuring household economic expectations .... 1.1.1 Why economists started to elicit qualitative subjective expectations . . 1.1.2 Why economists started to elicit subjective probabilities ..................... 1.1.3 Widespread adoption of subjective probability elicitation..................... 1.1.4 Main takeaway .......................................................................................... 1.2 Methodological considerations when developing surveys of expectations .... 1.2.1 Survey pretesting........................................................................................ 1.2.2 Panel vs. cross-sectional surveys ............................................................. 1.2.3 Main takeaway .......................................................................................... 1.3 Insights and methodological advances ................................................................. 1.3.1 Point forecasts versus probabilistic
expectations..................................... 1.3.2 Question wording and framing of point forecasts.................................. 1.3.3 Introductory framing for probabilistic expectations questions.............. 1.3.4 Rounding, bunching and ambiguity ........................................................ 1.3.5 Use of visual response scales.................................................................... 1.3.6 Elicitation of probability distributions .................................................... 1.3.7 Fitting distributions and measuring uncertainty ..................................... 1.3.8 Density-based forecasts versus point forecasts....................................... 1.3.9 Individual differences in expectations and uncertainty .......................... 1.3.10 Use of expectations data in economic analysis....................................... 1.3.11 Main takeaway .......................................................................................... 1.4 Concluding remarks................................................................................................ References............................................................................................................... 3 3 4 5 9 10 10 12 13 14 14 14 15 16 17 17 21 22 22 23 24 25 25 CHAPTER 1 CHAPTER 2 Firm surveys ........................................................................................... Kai Carstensen and Rudiger Bachmann 2.1 Introduction............................................................................................................. 2.2
Quantification of qualitative survey answers........................................................ 2.3 Historic business expectation surveys in the U.S.................................................. 2.3.1 Surveys of the general business outlook................................................. 2.3.2 Business investment surveys ................................................................... 2.3.3 Findings of the early literature................................................................. 33 33 34 35 36 37 38 V
vi Contents 2.4 2.5 2.6 2.7 2.8 CHAPTERS Ongoing business expectation surveys in the U.S................................................. 2.4.1 Manufacturing Business Outlook Survey................................................ 2.4.2 CFO Survey .............................................................................................. 2.4.3 Survey of Business Uncertainty................................................................ 2.4.4 Business Inflation Expectations Survey .................................................. 2.4.5 ManpowerGroup Employment Outlook Survey ..................................... 2.4.6 Management and Organizational Practices Survey................................ 2.4.7 Small Business Economic Trends Survey................................................ Firm surveys in Europe ......................................................................................... 2.5.1 Germany: ifo surveys................................................................................. 2.5.2 France: INSEE survey............................................................................... 2.5.3 Italy: from ISCO to Istat .......................................................................... 2.5.4 UK: CBI Industrial Trends Survey........................................................... 2.5.5 European harmonization of business surveys......................................... Firm surveys in Japan: the TANKAN.................................................................. International
cooperation...................................................................................... 2.7.1 Centre for International Research on Economic Tendency Surveys ... 2.7.2 OECD and UN ......................................................................................... Conclusion ............................................................................................................ References............................................................................................................... 41 41 42 43 44 45 45 46 47 47 54 55 56 57 60 61 61 61 62 63 Surveys of professionals............................................................................................. 71 Michael P. Clements, Robert W. Rich, and Joseph S. Tracy 3.1 3.2 3.3 3.4 Surveys of professional forecasters ..................................................................... 3.1.1 Interest and attractiveness of eliciting professional forecasters’ expectations ................................................................................ 3.1.2 Surveys of professional forecasters ........................................................ 3.1.3 Nature of survey expectations and concepts........................................... Point and density forecasts: data features, measures, and properties ............... 3.2.1 Background................................................................................................. 3.2.2 Point forecasts............................................................................................ 3.2.3 Density
forecasts........................................................................................ 3.2.4 A closer look at disagreement and uncertainty....................................... Evaluation of forecaster performance.................................................................. 3.3.1 Data revisions ............................................................................................ 3.3.2 Rationality/efficiency of point forecasts.................................................. 3.3.3 Scoring rules............................................................................................... 3.3.4 Using the probability integral transform to assess density forecast coverage....................................................................................... 88 3.3.5 Balanced vs. unbalanced panels................................................................ 3.3.6 Are some forecasters better than others? ................................................ 3.3.7 Professionals versus models (and other sourcesof forecasts) ................ Consistency of point and density forecasts.......................................................... 3.4.1 Calculating bounds on the central moments of histograms ................... 3.4.2 Nature of loss functions - symmetric vs. asymmetric............................ 71 71 72 73 73 73 76 78 82 85 85 86 87 89 89 90 91 91 92
Contents 3.4.3 Rounding of point and density forecasts................................................. 3.5 Conclusion .............................................................................................................. Appendix 3.A Appendix table: surveys of professional forecasters......................... References............................................................................................................... vii 92 93 94 100 Survey experiments on economic expectations.................................................. Andreas Fuster and Basit Zafar 107 4.1 Introduction.............................................................................................................. 4.2 Why (field) experiments on expectations? ........................................................... 107 108 108 110 110 110 113 113 117 118 119 120 120 121 122 122 124 126 127 CHAPTER 4 4.3 4.4 4.5 4.6 4.2.1 Understanding decision-making............................................................... 4.2.2 Understanding expectation formation...................................................... Information provision experiments........................................................................ 4.3.1 Design basics ............................................................................................ 4.3.2 Expectations and behavior........................................................................ 4.3.3 Examples ................................................................................................... Methodological
issues............................................................................................ 4.4.1 Within-subject or between-subject design?............................................. 4.4.2 Eliciting perceptions about the provided information............................ 4.4.3 Eliciting higher-order moments............................................................... 4.4.4 Information content and presentation...................................................... 4.4.5 Where and how to run these surveys?...................................................... Extensions and alternative approaches................................................................. 4.5.1 Moving beyond exogenously provided information .............................. 4.5.2 Alternatives to information provision experiments................................ Directions for future work..................................................................................... References............................................................................................................... PART 2 EXPECTATIONS AS DATA_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ What do the data tell us about inflation expectations? .................................... Francesco D’Acunto, Ulrike Malmendier, and Michael Weber 133 5.1 Introduction.............................................................................................................. 5.2 Datasources ............................................................................................................ 133 135 135 136 136 137 138
141 141 142 144 144 147 147 CHAPTERS 5.2.1 Michigan Survey of Consumers.............................................................. 5.2.2 New York Fed Survey of Consumer Expectations.................................. 5.2.3 European Commission Consumer Survey............................................... 5.2.4 Ad-hoc surveys......................................................................................... 5.2.5 Comparing elicited inflation expectations across surveys ..................... 5.3 Stylized facts............................................................................................................ 5.3.1 Time-series facts....................................................................................... 5.3.2 Cross-sectional facts ................................................................................. 5.3.3 Term-structure facts................................................................................... 5.3.4 Households versus professional forecasters ........................................... 5.4 Determinants of inflation expectations................................................................. 5.4.1 Exposure to price signals..........................................................................
viii Contents 5.5 5.6 CHAPTER 6 5.4.2 The role of the lifetime experiences and neuroplasticity....................... 5.4.3 The role of cognition and human frictions .............................................. 5.4.4 The role of the media and communication ............................................. Inflation expectations and economic choices ...................................................... 5.5.1 Intertemporal consumption and saving choices....................................... 5.5.2 Financing current consumption: mortgages andborrowing.................... 5.5.3 Investment and savings decisions............................................................. Conclusion and outlook......................................................................................... References............................................................................................................... 148 151 152 153 153 154 156 156 158 Housing market expectations ................................................................................... 163 Theresa Kuchler, Monika Piazzesi, and Johannes Stroebel 6.1 6.2 6.3 6.4 6.5 CHAPTER? Measuring expectations........................................................................................ 6.1.1 Surveys about housing market expectations........................................... 6.1.2 Nonsurvey measures of housing market expectations............................ Determinants of expectations and expectations heterogeneity.......................... 6.2.1
Extrapolation............................................................................................... 6.2.2 Personal experiences.................................................................................. 6.2.3 Social interactions...................................................................................... 6.2.4 Ownership status........................................................................................ 6.2.5 Determinants of higher moments of belief distribution.......................... The effects of expectations on individual housing market behavior................. 6.3.1 Homeownership decisions......................................................................... 6.3.2 Mortgage choice ........................................................................................ House price expectations and aggregate economic outcomes .......................... 6.4.1 The housing boom of the late 1970s......................................................... 6.4.2 The housing boom of the early 2000s....................................................... Conclusion ............................................................................................................ References............................................................................................................... 165 165 168 168 172 173 174 176 177 178 178 179 181 182 183 185 189 Expectations in education.......................................................................................... 193 Pamela Giustinelli 7.1 7.2 7.3
Introduction............................................................................................................ Survey expectations about monetary outcomes of schooling............................. 7.2.1 Are elicited earningsexpectations meaningful? ..................................... 7.2.2 Patterns and heterogeneity of earnings expectations............................. 7.2.3 Perceived monetary returns to schooling ............................................... 7.2.4 Perceived earnings risk ............................................................................ 7.2.5 Beliefs about population earnings .......................................................... 7.2.6 Are elicited earnings expectations rational?........................................... 7.2.7 Other labor market outcomes................................................................... 7.2.8 Monetary costs ......................................................................................... Survey expectations about nonmonetary outcomes of schooling....................... 7.3.1 Are elicited probabilities meaningful? Rational? ................................... 7.3.2 Academic performance, study effort, and ability.................................... 193 195 195 197 198 199 200 202 202 202 203 203 204
Contents ix 7.3.3 “Enjoying” education and other nonmonetary outcomes....................... 7.3.4 Nonmonetary outcomes in the labor and marriage markets................... 7.3.5 Attainment and dropout............................................................................ 7.3.6 Education plans.......................................................................................... 7.3.7 Parental approval and parental beliefs .................................................... 7.4 Analysis of schooling decisions with survey expectations................................. 7.4.1 Monetary returns and risks........................................................................ 7.4.2 Monetary costs ......................................................................................... 7.4.3 Nonmonetary factors: ability, taste, and beyond.................................... 7.4.4 Parents and family decision-making........................................................ 7.4.5 Peer effects................................................................................................ 7.4.6 Centralized school choice ........................................................................ 7.5 Analysis of expectation formation and learning ................................................. 7.5.1 Earnings .................................................................................................... 7.5.2 Academic performance ............................................................................ 7.6 Conclusion
............................................................................................................ References............................................................................................................... 205 205 206 207 207 208 208 210 211 212 213 214 215 215 216 217 220 Mortality and health expectations........................................................................... 225 CHAPTER 8 Péter Hudomiet, Michael D. Hurd, and Susann Rohwedder Introduction............................................................................................................ Methods ................................................................................................................. 8.2.1 Measurement error, focal answers, and rounding .................................. 8.2.2 Biases in small and large probabilities................................................... 8.2.3 Jointly modeling objective and subjective expectations......................... 8.3 Survival expectations............................................................................................. 8.3.1 Properties .................................................................................................. 8.3.2 Flatness bias in survival expectations...................................................... 8.3.3 Determinants of survival expectations ................................................... 8.3.4 The effect of survival expectations on economic and health outcomes . 8.4 Health
expectations............................................................................................... 8.4.1 Moving to a nursing home....................................................................... 8.4.2 Expectations about medical expenditures............................................... 8.4.3 Substance use ........................................................................................... 8.4.4 Expectations about cognitive decline and dementia ............................. 8.4.5 Other health expectations......................................................................... 8.5 Conclusion ............................................................................................................ Appendix 8.A Estimation of a rounding model of survival expectations................ Appendix 8.B Additional tables ................................................................................ References............................................................................................................... 8.1 8.2 CHAPTER 9 Expectations in development economics................................................................... 225 227 227 228 229 231 231 232 235 236 238 238 239 242 243 244 245 246 253 254 261 Adeline Delavande 9.1 Introduction.............................................................................................................. 9.2 Measuring probabilistic expectations insurveys in developing countries........... 261 262
Contents x 9.3 9.4 9.5 9.6 CHAPTER 10 10.1 10.2 10.3 10.4 10.5 10.6 10.7 10.8 10.9 10.10 10.11 10.12 1 Deceased. 9.2.1 Percent chance format............................................................................... 9.2.2 Physical objects as visual aid.................................................................... 9.2.3 Interactive touchscreen ............................................................................. 9.2.4 Proportion of people (like you) ............................................................... 9.2.5 Phone interviews........................................................................................ 9.2.6 Eliciting subjective distribution of beliefs................................................ 9.2.7 Point expectations..................................................................................... 9.2.8 Piloting, interviewers’ training and other considerations....................... Patterns of answers ................................................................................................ 9.3.1 Respect of basic properties of probabilities ........................................... 9.3.2 Expectations and respondents’ characteristics ....................................... 9.3.3 Accuracy of elicited expectations............................................................. 9.3.4 Heterogeneity in beliefs............................................................................. Applications ............................................................................................................ 9.4.1
Health......................................................................................................... 9.4.2 Education ................................................................................................... 9.4.3 Parental investment in children ............................................................... 9.4.4 Migration, income, and the labor market ................................................ 9.4.5 Agricultural inputs and outputs ............................................................... 9.4.6 Conflicts and natural disasters................................................................. 9.4.7 Information experiments .......................................................................... Datasets..................................................................................................................... Conclusions.............................................................................................................. References............................................................................................................... 262 262 263 263 264 265 266 267 268 268 269 269 270 270 271 274 277 278 278 279 279 282 282 285 Retirement expectations ........................................................................................ Gábor Kezdi1՜ and Matthew D. Shapiro 293 Introduction .............................................................................................................. Theoretical framework............................................................................................
Measuring retirement age expectations.................................................................. Eliciting a planned or expected retirement age.................................................... Subjective retirement probability........................................................................... Predicting retirement: subjective probability predictions and predictive analytics .................................................................................................................. Subjective work probability predictions among non-full-time worker respondents ............................................................................................................. Research on the quality of retirement age expectations....................................... Potential uses of retirement age expectations ............................................... Research with retirement age expectations asthe left-hand-side variable........... Research with retirement age expectations asthe right-hand-side variable .... Using conditional subjective work probability predictions to estimate effects on retirement ................................................................................................. 315 293 294 296 297 299 306 309 310 311 312 314
Contents 10.12.1 Conditioning versus subjectivity in general .......................................... 10.13 Conclusions.............................................................................................................. References............................................................................................................... CHAPTER 11 11.1 11.2 11.3 11.4 11.5 The macroeconomic expectations of firms ................................................ Bernardo Candía, Olivier Coibion, and Yuriy Gorodnichenko Introduction.............................................................................................................. Surveys of firms’ macroeconomic expectations .................................................. Properties of firms’ macroeconomic expectations................................................ 11.3.1 Mean inflation forecasts............................................................................ 11.3.2 Disagreement about inflation................................................................... 11.3.3 Short and long-run expectations.............................................................. 11.3.4 Inattention to inflation and monetary policy.......................................... 11.3.5 The joint formation of beliefs................................................................... Do firms’ macroeconomic expectations matter?.................................................. 11.4.1 Firms’ inflation expectations and the expectations-augmented Phillips
curve.............................................................................................. 348 11.4.2 Randomized control trials ....................................................................... Conclusion .............................................................................................................. References............................................................................................................... xi 317 317 319 321 321 323 328 330 334 337 338 344 347 348 351 351 CHAPTER 12 Firm expectations about production and prices: facts, determinants, and effects............................................................................. 355 Benjamin Born, Zeno Enders, Gernot J. Muller, and Knut Niemann 12.1 Introduction............................................................................................................ 12.2 Surveying firm expectations................................................................................. 12.2.1 Background................................................................................................ 12.2.2 Example: the ifo Business Expectations Panel ...................................... 12.3 Stylized facts.......................................................................................................... 12.4 Expectation formation.......................................................................................... 12.4.1 Determinants of expectations................................................................... 12.4.2 Over- and underreaction to news
............................................................ 12.5 Firm expectations and firm decisions.................................................................. 12.5.1 The effect of firm expectations................................................................ 12.5.2 Firm-level uncertainty and firm decisions............................................... 12.6 Conclusion ............................................................................................................ References.................................................................. 355 357 357 358 362 368 370 372 375 375 376 378 379 Expectations of financial market participants ........................................... 385 Anthony Μ. Diercks and Haitham Jendoubi Introduction............................................................................................................ Distinctions across surveys ................................................................................. Examples of surveys of financial market participants....................................... 13.3.1 Survey of Primary Dealers and Survey of Market Participants ........... 13.3.2 Blue Chip Survey ..................................................................................... 13.3.3 Consensus Economics.............................................................................. 385 386 393 393 397 399 CHAPTER 13 13.1 13.2 13.3
xii Contents 13.4 13.5 13.6 13.3.4 Surveys administered in other jurisdictions .......................................... Some advantages and uses of surveys.................................................................. 13.4.1 Risk premiums ........................................................................................ 13.4.2 Types of questions that are best answered by surveys.......................... 13.4.3 Surveys as model inputs.................................................................... Drawbacks of surveys ........................................................................................... 13.5.1 Distributional inconsistencies ................................................................ 13.5.2 Sample ...................................................................................................... 13.5.3 Rationality and rigidities......................................................................... 13.5.4 Forecast/revision smoothing .................................................................. Conclusion ............................................................................................................. References............................................................................................................... 399 400 400 401 403 405 405 405 406 406 407 408 PART 3 EXPECTATIONS AND ECONOMIC THEORY_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ CHAPTER 14 14.1 14.2 14.3 14.4 14.5 14.6 CHAPTER 15 Measuring market expectations .............................................................. 413 Christiane Baumeister
Introduction............................................................................................................. Market expectations and the price of risk............................................................ 14.2.1 Testable implications................................................................................ 14.2.2 Some asset pricing basics.......................................................................... 14.2.3 Modeling risk premia................................................................................ Extracting measures of market expectations from asset prices.......................... 14.3.1 A general approach to identifying market expectations........................ 14.3.2 An illustration based on the oil market.................................................. Existing empirical evidence for selected markets .............................................. 14.4.1 Monetary policy expectations ................................................................ 14.4.2 Inflation expectations............................................................................... Economic applications of market-based expectation measures ........................ 14.5.1 Evaluation of economic models.............................................................. 14.5.2 Deriving shock measures......................................................................... 14.5.3 Policy analysis........................................................................................... 14.5.4 Implications for out-of-sample forecasts
.............................................. Conclusions............................................................................................................ References............................................................................................................... 413 414 414 417 418 422 422 422 426 426 427 429 429 432 435 436 437 437 Inference on probabilistic surveys in macroeconomics with an application to the evolution of uncertainty in the survey of professional forecasters during the COVID pandemic ........................................................ 443 Federico Bassetti, Roberto Casarin, and Marco Del Negro 15.1 Introduction .............................................................................................................. 15.2 Inference on probabilistic surveys ......................................................................... 15.2.1 Theinferenceproblem.............................................................................. 15.2.2 Current approaches ................................................................................... 15.2.3 A Bayesian nonparametric alternative .................................................... 443 444 444 446 449
Contents xiii Challenges in measuring uncertainty ................................................................... Heterogeneity in density forecasts ....................................................................... Pooling and consensus forecasts........................................................................... The evolution of professional forecasters’ density forecasts during the COVID pandemic..................................................................................................... 464 15.6.1 GDP growth ............................................................................................ 15.6.2 Inflation..................................................................................................... Conclusions............................................................................................................ References............................................................................................................... 455 459 462 Expectations data in asset pricing........................................................................... 477 Klaus Adam and Stefan Nagel Introduction............................................................................................................ 16.2 A general asset pricing framework...................................................................... 16.2.1 Rational expectations................................................................................ 16.2.2 Subjective beliefs in a single-period setting ......................................... 16.2.3 Subjective
beliefs in a multiperiod setting ............................................ 16.3 Empirical dynamics of investor expectations ..................................................... 16.3.1 Return and price expectations ............................................................... 16.3.2 Cash flow expectations .......................................................................... 16.3.3 Interest rate expectations........................................................................ 16.3.4 Subjective risk perceptions .................................................................... 16.4 Mapping survey expectations into asset pricing models ................................... 16.4.1 Are survey expectations risk adjusted?.................................................. 16.4.2 Measurement error and cognitive uncertainty....................................... 16.4.3 Heterogeneity and beliefs aggregation.................................................. 16.5 Models of expectations formation ....................................................................... 16.5.1 Learning about payouts.......................................................................... 16.5.2 Learning about prices ............................................................................. 16.5.3 Learning biases........................................................................................ 16.5.4 Heterogeneity .......................................................................................... 16.6 Future research directions
.................................................................................... Appendix 16.A Data sources for investor expectations............................................ References............................................................................................................... 477 478 480 481 483 488 488 490 491 492 493 493 494 495 496 497 499 500 501 502 503 503 The term structure of expectations ......................................................................... 507 Richard K. Crump, Stefano Eusepi, Emanuel Moench, and Bruce Preston Introduction............................................................................................................. Joint behavior of short- and long-term forecasts................................................. 17.2.1 Motivation: a simple model of long-termdrift ...................................... 17.2.2 A model to fit the term structure of expectations................................... 17.2.3 Mapping the model to survey forecasts ............................................ 17.2.4 Discussion................................................................................................. 17.2.5 Results ..................................................................................................... 507 509 509 511 514 515 516 15.3 15.4 15.5 15.6 15.7 CHAPTER 16 16.1 CHAPTER 17 17.1 17.2 465 468 469 473
xiv Contents Expectations and the term structure of interest rates........................................... 17.3.1 Decomposing the term structure of interest rates .................................. 17.4 The term structure of expectations in structural models...................................... 17.4.1 A general structural model....................................................................... 17.4.2 The New Keynesian model ..................................................................... 17.4.3 Implications for monetary and fiscal policy ........................................... 17.5 Conclusions and further directions........................................................................ References................................................................................................................ 521 521 528 530 532 535 536 537 Expectational data in DSGE models........................................................................... 541 17.3 CHAPTER 18 Fabio Milani 18.1 Introduction .............................................................................................................. ................................ 18.2.1 Do DSGE models generate expectations that fit observed data? ......... 18.2.2 Survey expectations to evaluate alternative frictions............................. 18.2.3 Survey expectations news shocks........................................................ 18.2.4 Survey expectations sunspots.............................................................. 18.2.5 Misspecification of expectations
........................................................... Expectational data and deviations from rational expectations ............................ 18.3.1 Adaptive learning ..................................................................................... 18.3.2 Survey expectations and sentiment.......................................................... 18.3.3 First moment vs. second moment shocks............................................... Heterogeneity in survey expectations.................................................................... Issues and limitations.............................................................................................. Conclusions and future directions ........................................................................ References............................................................................................................... 541 542 542 546 548 550 552 553 553 555 557 558 560 562 562 Expectations and incomplete markets...................................................................... 569 18.2 Expectational data in rational expectations DSGE models 18.3 18.4 18.5 18.6 CHAPTER 19 Evi Pappa, Morten 0. Ravn, and Vincent Sterk 19.1 Introduction .............................................................................................................. 19.2 The general setup..................................................................................................... 19.3 News shocks............................................................................................................ 19.3.1
Analytical insights..................................................................................... 19.3.2 Quantitative analysis................................................................................ 19.4 Channels underlying savings behavior.................................................................. 19.5 Noise shocks............................................................................................................ 19.5.1 Model......................................................................................................... 19.5.2 Estimating the parameters ........................................................................ 19.5.3 Implications .............................................................................................. 19.6 Sunspots .................................................................................................................. 19.7 Conclusions.............................................................................................................. Appendix 19.A Solutions for news shocks................................................................. Appendix 19.B Computing the Jacobians ................................................................. References............................................................................................................... 569 571 576 577 580 585 589 589 591 596 597 605 607 608 609
Contents CHAPTER 20 20.1 20.2 20.3 20.4 20.5 20.6 20.7 20.8 CHAPTER 21 21.1 21.2 21.3 21.4 XV Dampening general equilibrium: incomplete information and bounded rationality........................................................................................... 613 George-Marios Angeletos and Chen Lian Introduction............................................................................................................ Framework ............................................................................................................ 20.2.1 PE and GE in a nutshell............................................................................ 20.2.2 Micro-foundation:a simplified New-Keynesian model.......................... 20.2.3 Full Information RationalExpectations (FIRE) ..................................... 20.2.4 Beyond FIRE ........................................................................................... Incomplete information........................................................................................ 20.3.1 Removing common knowledge by adding idiosyncratic noise ........... 20.3.2 Main lesson: GE attenuation ................................................................... 20.3.3 From rational expectations to higher-order beliefs (HOBs).................. Bounded rationality............................................................................................... 20.4.1 Level-Âr Thinking....................................................................................... 20.4.2 Parenthesis: back to higher-order beliefs
............................................... 20.4.3 Reflective equilibrium and cognitive hierarchy...................................... Additional variants and dynamic extensions......................................................... 20.5.1 A bridge: heterogeneous priors, or shallow reasoning........................... 20.5.2 Dynamics I: learning................................................................................ 20.5.3 Dynamics II: forward-looking behavior................................................. 20.5.4 Cognitive discounting .............................................................................. Applications ........................................................................................................... 20.6.1 Forward guidance at the zero lower bound............................................. 20.6.2 Fiscal policy ............................................................................................. 20.6.3 Other applications..................................................................................... Discussion: similarities, differences,and empirical backdrop............................. 20.7.1 Key differences......................................................................................... 20.7.2 Empirical backdrop: underreaction in average vs individual forecasts . Conclusion ............................................................................................................. References...............................................................................................................
613 616 616 617 619 620 620 620 621 623 625 625 628 629 630 630 632 633 634 635 635 637 639 640 640 641 642 643 Expectations data in structural microeconomic models....................................... 647 Gizem Koşar and Cormac O Dea Introduction.............................................................................................................. Arnodel .................................................................................................................. 21.2.1 Specification ............................................................................................. 21.2.2 Types of expectations data....................................................................... 21.2.3 Identification and the role of expectations data...................................... 21.2.4 Estimation .................................................................................................. 21.2.5 Issues particular to structural estimation with expectations data......... Literature I: expectations over the states of nature ............................................. 21.3.1 Allowing for subjective expectations ..................................................... 21.3.2 Modeling subjective expectations............................................................ Literature II: data on choice expectations............................................................. 647 648 648 651 652 652 654 656 657 661 663
xvi Contents 21.4.1 Unconditional choice expectations.......................................................... 21.4.2 Conditional choice expectations............................................................... 21.4.3 Strategic survey questions....................................................................... 21.5 Conclusion .............................................................................................................. References............................................................................................................... 663 665 669 670 670 Expectations data, labor market, and jobsearch................................................. 677 CHAPTER 22 Andreas I. Mueller and Johannes Spinnewijn 22.1 22.2 22.3 22.4 22.5 22.6 22.7 Introduction .............................................................................................................. Measurement........................................................................................................... 22.2.1 Datasources .............................................................................................. 22.2.2 Descriptive statistics ................................................................................ 22.2.3 Predictive power of elicited beliefs.......................................................... 22.2.4 Measurement issues................................................................................... Illustrative framework............................................................................................ Beliefs and behavior
.............................................................................................. 22.4.1 Structural models with expectations data............................................... 22.4.2 Identification and empirical evidence...................................................... Beliefs and biases ................................................................................................... 22.5.1 Identification.............................................................................................. 22.5.2 Empirical evidence ................................................................................... 22.5.3 Determinants of biased beliefs................................................................. 22.5.4 Policy implications ................................................................................... Beliefs and heterogeneity....................................................................................... 22.6.1 Identification.............................................................................................. 22.6.2 Applications .............................................................................................. Conclusion .............................................................................................................. References............................................................................................................... 677 679 679 682 684 685 686 689 689 690 697 697 698 700 704 705 705 707 709 710 PART 4 THEORIES OF EXPECTATIONS_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
CHAPTER 23 Bayesian learning................................................................................................... 717 Isaac Baley and Laura Veldkamp 23.1 Introduction .............................................................................................................. 23.2 Mathematical preliminaries ................................................................................... 23.2.1 Bayesian updating..................................................................................... 23.2.2 The Kalman filter ..................................................................................... 23.2.3 Learning the distribution of the state .................................................... 23.3 Using signals to understand economic activity.................................................... 23.3.1 Signal-extraction problems ..................................................................... 23.3.2 Using signals in strategic settings........................................................... 23.4 Information choice and learning technologies...................................................... 23.4.1 Stickyinformation................................................................................... 23.4.2 Rational inattention................................................................................. 23.4.3 Other learning technologies.................................................................... 717 718 718 719 720 722 722 725 729 729 732 735
Contents 23.4.4 Information choice as a source of inequality.......................................... 23.4.5 Learning what others know .................................................................... 23.4.6 Information choice in strategic settings ................................................ 23.5 Theories of the data economy .............................................................................. 23.5.1 Experimentation ....................................................................................... 23.5.2 Data and growth ....................................................................................... 23.5.3 Data and economic fluctuations.............................................................. 23.6 Conclusion .............................................................................................................. References............................................................................................................... CHAPTER 24 24.1 24.2 24.3 24.4 24.5 24.6 24.7 24.8 CHAPTER 25 25.1 25.2 25.3 25.4 xvii 736 736 737 738 738 739 740 741 742 Ambiguity ................................................................................................................ 749 Cosmin Hut and Martin Schneider Introduction.............................................................................................................. Static choice under uncertainty ............................................................................. 24.2.1
Preferences................................................................................................ 24.2.2 Risk vs ambiguity: similarities and differences...................................... 24.2.3 Savings and portfolio choice ................................................................... Dynamic choice and equilibrium.......................................................................... 24.3.1 Asset pricing............................................................................................. 24.3.2 Business cycle models with uncertainty shocks .................................... Quantifying ambiguity using survey data............................................................. Aggregate applications............................................................................................ Heterogeneity and micro-to-macro applications.................................................. 24.6.1 Heterogeneous perceptions of uncertainty ............................................ 24.6.2 Inaction and inertia .................................................................................. 24.6.3 Ambiguous information and asymmetric decision rules ...................... Policy implications ............................................................................................... 24.7.1 Ambiguous policy objectives................................................................... 24.7.2 Optimal policy with ambiguity-averse agents........................................ Concluding
remarks............................................................................................... References............................................................................................................... 749 751 751 754 756 758 759 761 763 766 767 767 768 769 770 770 771 771 772 Epidemiological expectations............................................................................. 779 Christopher Carroll and Tao Wang Introduction............................................................................................................ Background and motivation................................................................................. 25.2.1 Expectational heterogeneity..................................................................... 25.2.2 Epidemiological models ......................................................................... 25.2.3 Expectational tribes.................................................................................. What insights can the epidemiologicalframework offer? .................................. 25.3.1 What is an epidemiological framework?................................................. 25.3.2 One example............................................................................................. Literature................................................................................................................ 25.4.1 Diffusion of technology........................................................................... 25.4.2 Financial markets
..................................................................................... 779 780 780 781 782 782 782 785 786 788 789
xviii Contents 25.5 25.4.3 Macroeconomic expectations.................................................................. 25.4.4 Nonstructural empirical evidence........................................................... 25.4.5 Contagion................................................................................................. 25.4.6 Noneconomic applications...................................................................... 25.4.7 Future directions...................................................................................... 25.4.8 Literature summation............................................................................... Conclusion ............................................................................................................. References............................................................................................................... 792 794 796 797 798 799 800 801 PART 5 OPEN ISSUES CHAPTER 26 Looking ahead to research enhancing measurementof expectations ............ 809 Charles F. Manski 26.1 26.2 26.3 26.4 26.5 26.6 Index Introduction ............................................................................................................ Rounding reported probabilities........................................................................... 26.2.1 Inferring rounding from response patterns............................................ 26.2.2 Possible reasons for rounding ................................................................ Imprecise
probabilities........................................................................................... 26.3.1 Background............................................................................................... 26.3.2 Imprecise probabilities of dementia....................................................... 26.3.3 Looking ahead........................................................................................... Studying expectations formation ......................................................................... 26.4.1 Microeconomic analysis of expectation formation ............................... 26.4.2 Studying expectations formation to inform macro policyanalysis .... 26.4.3 The potential contribution of expectations measurement...................... Confounding beliefs and preferences.................................................................. 26.5.1 Evidence in research measuring probabilistic expectations................. Conclusion ............................................................................................................ References............................................................................................................... 809 810 810 811 812 812 813 814 814 815 816 817 818 818 820 820 823
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Contents Contributors. Preface. xix xxv PART 1 EXPECTATION ELICITATION_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ Household surveys and probabilistic questions. 3 Wändi Bruine de Bruin, Alycia Chin, Jeff Dominitz, and Wilbert van der Klaauw 1.1 History and motivation for measuring household economic expectations . 1.1.1 Why economists started to elicit qualitative subjective expectations . . 1.1.2 Why economists started to elicit subjective probabilities . 1.1.3 Widespread adoption of subjective probability elicitation. 1.1.4 Main takeaway . 1.2 Methodological considerations when developing surveys of expectations . 1.2.1 Survey pretesting. 1.2.2 Panel vs. cross-sectional surveys . 1.2.3 Main takeaway . 1.3 Insights and methodological advances . 1.3.1 Point forecasts versus probabilistic
expectations. 1.3.2 Question wording and framing of point forecasts. 1.3.3 Introductory framing for probabilistic expectations questions. 1.3.4 Rounding, bunching and ambiguity . 1.3.5 Use of visual response scales. 1.3.6 Elicitation of probability distributions . 1.3.7 Fitting distributions and measuring uncertainty . 1.3.8 Density-based forecasts versus point forecasts. 1.3.9 Individual differences in expectations and uncertainty . 1.3.10 Use of expectations data in economic analysis. 1.3.11 Main takeaway . 1.4 Concluding remarks. References. 3 3 4 5 9 10 10 12 13 14 14 14 15 16 17 17 21 22 22 23 24 25 25 CHAPTER 1 CHAPTER 2 Firm surveys . Kai Carstensen and Rudiger Bachmann 2.1 Introduction. 2.2
Quantification of qualitative survey answers. 2.3 Historic business expectation surveys in the U.S. 2.3.1 Surveys of the general business outlook. 2.3.2 Business investment surveys . 2.3.3 Findings of the early literature. 33 33 34 35 36 37 38 V
vi Contents 2.4 2.5 2.6 2.7 2.8 CHAPTERS Ongoing business expectation surveys in the U.S. 2.4.1 Manufacturing Business Outlook Survey. 2.4.2 CFO Survey . 2.4.3 Survey of Business Uncertainty. 2.4.4 Business Inflation Expectations Survey . 2.4.5 ManpowerGroup Employment Outlook Survey . 2.4.6 Management and Organizational Practices Survey. 2.4.7 Small Business Economic Trends Survey. Firm surveys in Europe . 2.5.1 Germany: ifo surveys. 2.5.2 France: INSEE survey. 2.5.3 Italy: from ISCO to Istat . 2.5.4 UK: CBI Industrial Trends Survey. 2.5.5 European harmonization of business surveys. Firm surveys in Japan: the TANKAN. International
cooperation. 2.7.1 Centre for International Research on Economic Tendency Surveys . 2.7.2 OECD and UN . Conclusion . References. 41 41 42 43 44 45 45 46 47 47 54 55 56 57 60 61 61 61 62 63 Surveys of professionals. 71 Michael P. Clements, Robert W. Rich, and Joseph S. Tracy 3.1 3.2 3.3 3.4 Surveys of professional forecasters . 3.1.1 Interest and attractiveness of eliciting professional forecasters’ expectations . 3.1.2 Surveys of professional forecasters . 3.1.3 Nature of survey expectations and concepts. Point and density forecasts: data features, measures, and properties . 3.2.1 Background. 3.2.2 Point forecasts. 3.2.3 Density
forecasts. 3.2.4 A closer look at disagreement and uncertainty. Evaluation of forecaster performance. 3.3.1 Data revisions . 3.3.2 Rationality/efficiency of point forecasts. 3.3.3 Scoring rules. 3.3.4 Using the probability integral transform to assess density forecast coverage. 88 3.3.5 Balanced vs. unbalanced panels. 3.3.6 Are some forecasters better than others? . 3.3.7 Professionals versus models (and other sourcesof forecasts) . Consistency of point and density forecasts. 3.4.1 Calculating bounds on the central moments of histograms . 3.4.2 Nature of loss functions - symmetric vs. asymmetric. 71 71 72 73 73 73 76 78 82 85 85 86 87 89 89 90 91 91 92
Contents 3.4.3 Rounding of point and density forecasts. 3.5 Conclusion . Appendix 3.A Appendix table: surveys of professional forecasters. References. vii 92 93 94 100 Survey experiments on economic expectations. Andreas Fuster and Basit Zafar 107 4.1 Introduction. 4.2 Why (field) experiments on expectations? . 107 108 108 110 110 110 113 113 117 118 119 120 120 121 122 122 124 126 127 CHAPTER 4 4.3 4.4 4.5 4.6 4.2.1 Understanding decision-making. 4.2.2 Understanding expectation formation. Information provision experiments. 4.3.1 Design basics . 4.3.2 Expectations and behavior. 4.3.3 Examples . Methodological
issues. 4.4.1 Within-subject or between-subject design?. 4.4.2 Eliciting perceptions about the provided information. 4.4.3 Eliciting higher-order moments. 4.4.4 Information content and presentation. 4.4.5 Where and how to run these surveys?. Extensions and alternative approaches. 4.5.1 Moving beyond exogenously provided information . 4.5.2 Alternatives to information provision experiments. Directions for future work. References. PART 2 EXPECTATIONS AS DATA_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ What do the data tell us about inflation expectations? . Francesco D’Acunto, Ulrike Malmendier, and Michael Weber 133 5.1 Introduction. 5.2 Datasources . 133 135 135 136 136 137 138
141 141 142 144 144 147 147 CHAPTERS 5.2.1 Michigan Survey of Consumers. 5.2.2 New York Fed Survey of Consumer Expectations. 5.2.3 European Commission Consumer Survey. 5.2.4 Ad-hoc surveys. 5.2.5 Comparing elicited inflation expectations across surveys . 5.3 Stylized facts. 5.3.1 Time-series facts. 5.3.2 Cross-sectional facts . 5.3.3 Term-structure facts. 5.3.4 Households versus professional forecasters . 5.4 Determinants of inflation expectations. 5.4.1 Exposure to price signals.
viii Contents 5.5 5.6 CHAPTER 6 5.4.2 The role of the lifetime experiences and neuroplasticity. 5.4.3 The role of cognition and human frictions . 5.4.4 The role of the media and communication . Inflation expectations and economic choices . 5.5.1 Intertemporal consumption and saving choices. 5.5.2 Financing current consumption: mortgages andborrowing. 5.5.3 Investment and savings decisions. Conclusion and outlook. References. 148 151 152 153 153 154 156 156 158 Housing market expectations . 163 Theresa Kuchler, Monika Piazzesi, and Johannes Stroebel 6.1 6.2 6.3 6.4 6.5 CHAPTER? Measuring expectations. 6.1.1 Surveys about housing market expectations. 6.1.2 Nonsurvey measures of housing market expectations. Determinants of expectations and expectations heterogeneity. 6.2.1
Extrapolation. 6.2.2 Personal experiences. 6.2.3 Social interactions. 6.2.4 Ownership status. 6.2.5 Determinants of higher moments of belief distribution. The effects of expectations on individual housing market behavior. 6.3.1 Homeownership decisions. 6.3.2 Mortgage choice . House price expectations and aggregate economic outcomes . 6.4.1 The housing boom of the late 1970s. 6.4.2 The housing boom of the early 2000s. Conclusion . References. 165 165 168 168 172 173 174 176 177 178 178 179 181 182 183 185 189 Expectations in education. 193 Pamela Giustinelli 7.1 7.2 7.3
Introduction. Survey expectations about monetary outcomes of schooling. 7.2.1 Are elicited earningsexpectations meaningful? . 7.2.2 Patterns and heterogeneity of earnings expectations. 7.2.3 Perceived monetary returns to schooling . 7.2.4 Perceived earnings risk . 7.2.5 Beliefs about population earnings . 7.2.6 Are elicited earnings expectations rational?. 7.2.7 Other labor market outcomes. 7.2.8 Monetary costs . Survey expectations about nonmonetary outcomes of schooling. 7.3.1 Are elicited probabilities meaningful? Rational? . 7.3.2 Academic performance, study effort, and ability. 193 195 195 197 198 199 200 202 202 202 203 203 204
Contents ix 7.3.3 “Enjoying” education and other nonmonetary outcomes. 7.3.4 Nonmonetary outcomes in the labor and marriage markets. 7.3.5 Attainment and dropout. 7.3.6 Education plans. 7.3.7 Parental approval and parental beliefs . 7.4 Analysis of schooling decisions with survey expectations. 7.4.1 Monetary returns and risks. 7.4.2 Monetary costs . 7.4.3 Nonmonetary factors: ability, taste, and beyond. 7.4.4 Parents and family decision-making. 7.4.5 Peer effects. 7.4.6 Centralized school choice . 7.5 Analysis of expectation formation and learning . 7.5.1 Earnings . 7.5.2 Academic performance . 7.6 Conclusion
. References. 205 205 206 207 207 208 208 210 211 212 213 214 215 215 216 217 220 Mortality and health expectations. 225 CHAPTER 8 Péter Hudomiet, Michael D. Hurd, and Susann Rohwedder Introduction. Methods . 8.2.1 Measurement error, focal answers, and rounding . 8.2.2 Biases in small and large probabilities. 8.2.3 Jointly modeling objective and subjective expectations. 8.3 Survival expectations. 8.3.1 Properties . 8.3.2 Flatness bias in survival expectations. 8.3.3 Determinants of survival expectations . 8.3.4 The effect of survival expectations on economic and health outcomes . 8.4 Health
expectations. 8.4.1 Moving to a nursing home. 8.4.2 Expectations about medical expenditures. 8.4.3 Substance use . 8.4.4 Expectations about cognitive decline and dementia . 8.4.5 Other health expectations. 8.5 Conclusion . Appendix 8.A Estimation of a rounding model of survival expectations. Appendix 8.B Additional tables . References. 8.1 8.2 CHAPTER 9 Expectations in development economics. 225 227 227 228 229 231 231 232 235 236 238 238 239 242 243 244 245 246 253 254 261 Adeline Delavande 9.1 Introduction. 9.2 Measuring probabilistic expectations insurveys in developing countries. 261 262
Contents x 9.3 9.4 9.5 9.6 CHAPTER 10 10.1 10.2 10.3 10.4 10.5 10.6 10.7 10.8 10.9 10.10 10.11 10.12 1 Deceased. 9.2.1 Percent chance format. 9.2.2 Physical objects as visual aid. 9.2.3 Interactive touchscreen . 9.2.4 Proportion of people (like you) . 9.2.5 Phone interviews. 9.2.6 Eliciting subjective distribution of beliefs. 9.2.7 Point expectations. 9.2.8 Piloting, interviewers’ training and other considerations. Patterns of answers . 9.3.1 Respect of basic properties of probabilities . 9.3.2 Expectations and respondents’ characteristics . 9.3.3 Accuracy of elicited expectations. 9.3.4 Heterogeneity in beliefs. Applications . 9.4.1
Health. 9.4.2 Education . 9.4.3 Parental investment in children . 9.4.4 Migration, income, and the labor market . 9.4.5 Agricultural inputs and outputs . 9.4.6 Conflicts and natural disasters. 9.4.7 Information experiments . Datasets. Conclusions. References. 262 262 263 263 264 265 266 267 268 268 269 269 270 270 271 274 277 278 278 279 279 282 282 285 Retirement expectations . Gábor Kezdi1՜ and Matthew D. Shapiro 293 Introduction . Theoretical framework.
Measuring retirement age expectations. Eliciting a planned or expected retirement age. Subjective retirement probability. Predicting retirement: subjective probability predictions and predictive analytics . Subjective work probability predictions among non-full-time worker respondents . Research on the quality of retirement age expectations. Potential uses of retirement age expectations . Research with retirement age expectations asthe left-hand-side variable. Research with retirement age expectations asthe right-hand-side variable . Using conditional subjective work probability predictions to estimate effects on retirement . 315 293 294 296 297 299 306 309 310 311 312 314
Contents 10.12.1 Conditioning versus subjectivity in general . 10.13 Conclusions. References. CHAPTER 11 11.1 11.2 11.3 11.4 11.5 The macroeconomic expectations of firms . Bernardo Candía, Olivier Coibion, and Yuriy Gorodnichenko Introduction. Surveys of firms’ macroeconomic expectations . Properties of firms’ macroeconomic expectations. 11.3.1 Mean inflation forecasts. 11.3.2 Disagreement about inflation. 11.3.3 Short and long-run expectations. 11.3.4 Inattention to inflation and monetary policy. 11.3.5 The joint formation of beliefs. Do firms’ macroeconomic expectations matter?. 11.4.1 Firms’ inflation expectations and the expectations-augmented Phillips
curve. 348 11.4.2 Randomized control trials . Conclusion . References. xi 317 317 319 321 321 323 328 330 334 337 338 344 347 348 351 351 CHAPTER 12 Firm expectations about production and prices: facts, determinants, and effects. 355 Benjamin Born, Zeno Enders, Gernot J. Muller, and Knut Niemann 12.1 Introduction. 12.2 Surveying firm expectations. 12.2.1 Background. 12.2.2 Example: the ifo Business Expectations Panel . 12.3 Stylized facts. 12.4 Expectation formation. 12.4.1 Determinants of expectations. 12.4.2 Over- and underreaction to news
. 12.5 Firm expectations and firm decisions. 12.5.1 The effect of firm expectations. 12.5.2 Firm-level uncertainty and firm decisions. 12.6 Conclusion . References. 355 357 357 358 362 368 370 372 375 375 376 378 379 Expectations of financial market participants . 385 Anthony Μ. Diercks and Haitham Jendoubi Introduction. Distinctions across surveys . Examples of surveys of financial market participants. 13.3.1 Survey of Primary Dealers and Survey of Market Participants . 13.3.2 Blue Chip Survey . 13.3.3 Consensus Economics. 385 386 393 393 397 399 CHAPTER 13 13.1 13.2 13.3
xii Contents 13.4 13.5 13.6 13.3.4 Surveys administered in other jurisdictions . Some advantages and uses of surveys. 13.4.1 Risk premiums . 13.4.2 Types of questions that are best answered by surveys. 13.4.3 Surveys as model inputs. Drawbacks of surveys . 13.5.1 Distributional inconsistencies . 13.5.2 Sample . 13.5.3 Rationality and rigidities. 13.5.4 Forecast/revision smoothing . Conclusion . References. 399 400 400 401 403 405 405 405 406 406 407 408 PART 3 EXPECTATIONS AND ECONOMIC THEORY_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ CHAPTER 14 14.1 14.2 14.3 14.4 14.5 14.6 CHAPTER 15 Measuring market expectations . 413 Christiane Baumeister
Introduction. Market expectations and the price of risk. 14.2.1 Testable implications. 14.2.2 Some asset pricing basics. 14.2.3 Modeling risk premia. Extracting measures of market expectations from asset prices. 14.3.1 A general approach to identifying market expectations. 14.3.2 An illustration based on the oil market. Existing empirical evidence for selected markets . 14.4.1 Monetary policy expectations . 14.4.2 Inflation expectations. Economic applications of market-based expectation measures . 14.5.1 Evaluation of economic models. 14.5.2 Deriving shock measures. 14.5.3 Policy analysis. 14.5.4 Implications for out-of-sample forecasts
. Conclusions. References. 413 414 414 417 418 422 422 422 426 426 427 429 429 432 435 436 437 437 Inference on probabilistic surveys in macroeconomics with an application to the evolution of uncertainty in the survey of professional forecasters during the COVID pandemic . 443 Federico Bassetti, Roberto Casarin, and Marco Del Negro 15.1 Introduction . 15.2 Inference on probabilistic surveys . 15.2.1 Theinferenceproblem. 15.2.2 Current approaches . 15.2.3 A Bayesian nonparametric alternative . 443 444 444 446 449
Contents xiii Challenges in measuring uncertainty . Heterogeneity in density forecasts . Pooling and consensus forecasts. The evolution of professional forecasters’ density forecasts during the COVID pandemic. 464 15.6.1 GDP growth . 15.6.2 Inflation. Conclusions. References. 455 459 462 Expectations data in asset pricing. 477 Klaus Adam and Stefan Nagel Introduction. 16.2 A general asset pricing framework. 16.2.1 Rational expectations. 16.2.2 Subjective beliefs in a single-period setting . 16.2.3 Subjective
beliefs in a multiperiod setting . 16.3 Empirical dynamics of investor expectations . 16.3.1 Return and price expectations . 16.3.2 Cash flow expectations . 16.3.3 Interest rate expectations. 16.3.4 Subjective risk perceptions . 16.4 Mapping survey expectations into asset pricing models . 16.4.1 Are survey expectations risk adjusted?. 16.4.2 Measurement error and cognitive uncertainty. 16.4.3 Heterogeneity and beliefs aggregation. 16.5 Models of expectations formation . 16.5.1 Learning about payouts. 16.5.2 Learning about prices . 16.5.3 Learning biases. 16.5.4 Heterogeneity . 16.6 Future research directions
. Appendix 16.A Data sources for investor expectations. References. 477 478 480 481 483 488 488 490 491 492 493 493 494 495 496 497 499 500 501 502 503 503 The term structure of expectations . 507 Richard K. Crump, Stefano Eusepi, Emanuel Moench, and Bruce Preston Introduction. Joint behavior of short- and long-term forecasts. 17.2.1 Motivation: a simple model of long-termdrift . 17.2.2 A model to fit the term structure of expectations. 17.2.3 Mapping the model to survey forecasts . 17.2.4 Discussion. 17.2.5 Results . 507 509 509 511 514 515 516 15.3 15.4 15.5 15.6 15.7 CHAPTER 16 16.1 CHAPTER 17 17.1 17.2 465 468 469 473
xiv Contents Expectations and the term structure of interest rates. 17.3.1 Decomposing the term structure of interest rates . 17.4 The term structure of expectations in structural models. 17.4.1 A general structural model. 17.4.2 The New Keynesian model . 17.4.3 Implications for monetary and fiscal policy . 17.5 Conclusions and further directions. References. 521 521 528 530 532 535 536 537 Expectational data in DSGE models. 541 17.3 CHAPTER 18 Fabio Milani 18.1 Introduction . . 18.2.1 Do DSGE models generate expectations that fit observed data? . 18.2.2 Survey expectations to evaluate alternative frictions. 18.2.3 Survey expectations news shocks. 18.2.4 Survey expectations sunspots. 18.2.5 Misspecification of expectations
. Expectational data and deviations from rational expectations . 18.3.1 Adaptive learning . 18.3.2 Survey expectations and sentiment. 18.3.3 First moment vs. second moment shocks. Heterogeneity in survey expectations. Issues and limitations. Conclusions and future directions . References. 541 542 542 546 548 550 552 553 553 555 557 558 560 562 562 Expectations and incomplete markets. 569 18.2 Expectational data in rational expectations DSGE models 18.3 18.4 18.5 18.6 CHAPTER 19 Evi Pappa, Morten 0. Ravn, and Vincent Sterk 19.1 Introduction . 19.2 The general setup. 19.3 News shocks. 19.3.1
Analytical insights. 19.3.2 Quantitative analysis. 19.4 Channels underlying savings behavior. 19.5 Noise shocks. 19.5.1 Model. 19.5.2 Estimating the parameters . 19.5.3 Implications . 19.6 Sunspots . 19.7 Conclusions. Appendix 19.A Solutions for news shocks. Appendix 19.B Computing the Jacobians . References. 569 571 576 577 580 585 589 589 591 596 597 605 607 608 609
Contents CHAPTER 20 20.1 20.2 20.3 20.4 20.5 20.6 20.7 20.8 CHAPTER 21 21.1 21.2 21.3 21.4 XV Dampening general equilibrium: incomplete information and bounded rationality. 613 George-Marios Angeletos and Chen Lian Introduction. Framework . 20.2.1 PE and GE in a nutshell. 20.2.2 Micro-foundation:a simplified New-Keynesian model. 20.2.3 Full Information RationalExpectations (FIRE) . 20.2.4 Beyond FIRE . Incomplete information. 20.3.1 Removing common knowledge by adding idiosyncratic noise . 20.3.2 Main lesson: GE attenuation . 20.3.3 From rational expectations to higher-order beliefs (HOBs). Bounded rationality. 20.4.1 Level-Âr Thinking. 20.4.2 Parenthesis: back to higher-order beliefs
. 20.4.3 Reflective equilibrium and cognitive hierarchy. Additional variants and dynamic extensions. 20.5.1 A bridge: heterogeneous priors, or shallow reasoning. 20.5.2 Dynamics I: learning. 20.5.3 Dynamics II: forward-looking behavior. 20.5.4 Cognitive discounting . Applications . 20.6.1 Forward guidance at the zero lower bound. 20.6.2 Fiscal policy . 20.6.3 Other applications. Discussion: similarities, differences,and empirical backdrop. 20.7.1 Key differences. 20.7.2 Empirical backdrop: underreaction in average vs individual forecasts . Conclusion . References.
613 616 616 617 619 620 620 620 621 623 625 625 628 629 630 630 632 633 634 635 635 637 639 640 640 641 642 643 Expectations data in structural microeconomic models. 647 Gizem Koşar and Cormac O'Dea Introduction. Arnodel . 21.2.1 Specification . 21.2.2 Types of expectations data. 21.2.3 Identification and the role of expectations data. 21.2.4 Estimation . 21.2.5 Issues particular to structural estimation with expectations data. Literature I: expectations over the states of nature . 21.3.1 Allowing for subjective expectations . 21.3.2 Modeling subjective expectations. Literature II: data on choice expectations. 647 648 648 651 652 652 654 656 657 661 663
xvi Contents 21.4.1 Unconditional choice expectations. 21.4.2 Conditional choice expectations. 21.4.3 Strategic survey questions. 21.5 Conclusion . References. 663 665 669 670 670 Expectations data, labor market, and jobsearch. 677 CHAPTER 22 Andreas I. Mueller and Johannes Spinnewijn 22.1 22.2 22.3 22.4 22.5 22.6 22.7 Introduction . Measurement. 22.2.1 Datasources . 22.2.2 Descriptive statistics . 22.2.3 Predictive power of elicited beliefs. 22.2.4 Measurement issues. Illustrative framework. Beliefs and behavior
. 22.4.1 Structural models with expectations data. 22.4.2 Identification and empirical evidence. Beliefs and biases . 22.5.1 Identification. 22.5.2 Empirical evidence . 22.5.3 Determinants of biased beliefs. 22.5.4 Policy implications . Beliefs and heterogeneity. 22.6.1 Identification. 22.6.2 Applications . Conclusion . References. 677 679 679 682 684 685 686 689 689 690 697 697 698 700 704 705 705 707 709 710 PART 4 THEORIES OF EXPECTATIONS_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
CHAPTER 23 Bayesian learning. 717 Isaac Baley and Laura Veldkamp 23.1 Introduction . 23.2 Mathematical preliminaries . 23.2.1 Bayesian updating. 23.2.2 The Kalman filter . 23.2.3 Learning the distribution of the state . 23.3 Using signals to understand economic activity. 23.3.1 Signal-extraction problems . 23.3.2 Using signals in strategic settings. 23.4 Information choice and learning technologies. 23.4.1 Stickyinformation. 23.4.2 Rational inattention. 23.4.3 Other learning technologies. 717 718 718 719 720 722 722 725 729 729 732 735
Contents 23.4.4 Information choice as a source of inequality. 23.4.5 Learning what others know . 23.4.6 Information choice in strategic settings . 23.5 Theories of the data economy . 23.5.1 Experimentation . 23.5.2 Data and growth . 23.5.3 Data and economic fluctuations. 23.6 Conclusion . References. CHAPTER 24 24.1 24.2 24.3 24.4 24.5 24.6 24.7 24.8 CHAPTER 25 25.1 25.2 25.3 25.4 xvii 736 736 737 738 738 739 740 741 742 Ambiguity . 749 Cosmin Hut and Martin Schneider Introduction. Static choice under uncertainty . 24.2.1
Preferences. 24.2.2 Risk vs ambiguity: similarities and differences. 24.2.3 Savings and portfolio choice . Dynamic choice and equilibrium. 24.3.1 Asset pricing. 24.3.2 Business cycle models with uncertainty shocks . Quantifying ambiguity using survey data. Aggregate applications. Heterogeneity and micro-to-macro applications. 24.6.1 Heterogeneous perceptions of uncertainty . 24.6.2 Inaction and inertia . 24.6.3 Ambiguous information and asymmetric decision rules . Policy implications . 24.7.1 Ambiguous policy objectives. 24.7.2 Optimal policy with ambiguity-averse agents. Concluding
remarks. References. 749 751 751 754 756 758 759 761 763 766 767 767 768 769 770 770 771 771 772 Epidemiological expectations. 779 Christopher Carroll and Tao Wang Introduction. Background and motivation. 25.2.1 Expectational heterogeneity. 25.2.2 Epidemiological models . 25.2.3 Expectational tribes. What insights can the epidemiologicalframework offer? . 25.3.1 What is an epidemiological framework?. 25.3.2 One example. Literature. 25.4.1 Diffusion of technology. 25.4.2 Financial markets
. 779 780 780 781 782 782 782 785 786 788 789
xviii Contents 25.5 25.4.3 Macroeconomic expectations. 25.4.4 Nonstructural empirical evidence. 25.4.5 Contagion. 25.4.6 Noneconomic applications. 25.4.7 Future directions. 25.4.8 Literature summation. Conclusion . References. 792 794 796 797 798 799 800 801 PART 5 OPEN ISSUES CHAPTER 26 Looking ahead to research enhancing measurementof expectations . 809 Charles F. Manski 26.1 26.2 26.3 26.4 26.5 26.6 Index Introduction . Rounding reported probabilities. 26.2.1 Inferring rounding from response patterns. 26.2.2 Possible reasons for rounding . Imprecise
probabilities. 26.3.1 Background. 26.3.2 Imprecise probabilities of dementia. 26.3.3 Looking ahead. Studying expectations formation . 26.4.1 Microeconomic analysis of expectation formation . 26.4.2 Studying expectations formation to inform macro policyanalysis . 26.4.3 The potential contribution of expectations measurement. Confounding beliefs and preferences. 26.5.1 Evidence in research measuring probabilistic expectations. Conclusion . References. 809 810 810 811 812 812 813 814 814 815 816 817 818 818 820 820 823 |
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| index_date | 2024-07-03T21:04:40Z |
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| spelling | Handbook of economic expectations edited by Rüdiger Bachmann (University of Notre Dame, Notre Dame, IN, United States), Giorgio Topa (Federal Reserve Bank of New York, New York, NY, United States), Wilbert van der Klaauw (Federal Reserve Bank of New York, New York, NY, United States) London, United Kingdom Academic Press [2023] © 2023 xxvi, 847 Seiten Diagramme 24 cm txt rdacontent n rdamedia nc rdacarrier Enthält Literaturangaben und Index Prognose (DE-588)4047390-9 gnd rswk-swf Wirtschaftliches Verhalten (DE-588)4197971-0 gnd rswk-swf Erwartungsbildung (DE-588)4193073-3 gnd rswk-swf Wirtschaftstheorie (DE-588)4079351-5 gnd rswk-swf Economic forecasting (DE-588)4143413-4 Aufsatzsammlung gnd-content Wirtschaftstheorie (DE-588)4079351-5 s Erwartungsbildung (DE-588)4193073-3 s Wirtschaftliches Verhalten (DE-588)4197971-0 s Prognose (DE-588)4047390-9 s b DE-604 Bachmann, Ruediger (DE-588)132312638 edt Topa, Giorgio (DE-588)129753882 edt Klaauw, Wilbert van der 1963- (DE-588)131445898 edt Erscheint auch als 978-0-12-823476-1 Online-Ausgabe 9780128234761 (DE-604)BV048650783 Digitalisierung UB Passau - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033956152&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Handbook of economic expectations Prognose (DE-588)4047390-9 gnd Wirtschaftliches Verhalten (DE-588)4197971-0 gnd Erwartungsbildung (DE-588)4193073-3 gnd Wirtschaftstheorie (DE-588)4079351-5 gnd |
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| title | Handbook of economic expectations |
| title_auth | Handbook of economic expectations |
| title_exact_search | Handbook of economic expectations |
| title_exact_search_txtP | Handbook of economic expectations |
| title_full | Handbook of economic expectations edited by Rüdiger Bachmann (University of Notre Dame, Notre Dame, IN, United States), Giorgio Topa (Federal Reserve Bank of New York, New York, NY, United States), Wilbert van der Klaauw (Federal Reserve Bank of New York, New York, NY, United States) |
| title_fullStr | Handbook of economic expectations edited by Rüdiger Bachmann (University of Notre Dame, Notre Dame, IN, United States), Giorgio Topa (Federal Reserve Bank of New York, New York, NY, United States), Wilbert van der Klaauw (Federal Reserve Bank of New York, New York, NY, United States) |
| title_full_unstemmed | Handbook of economic expectations edited by Rüdiger Bachmann (University of Notre Dame, Notre Dame, IN, United States), Giorgio Topa (Federal Reserve Bank of New York, New York, NY, United States), Wilbert van der Klaauw (Federal Reserve Bank of New York, New York, NY, United States) |
| title_short | Handbook of economic expectations |
| title_sort | handbook of economic expectations |
| topic | Prognose (DE-588)4047390-9 gnd Wirtschaftliches Verhalten (DE-588)4197971-0 gnd Erwartungsbildung (DE-588)4193073-3 gnd Wirtschaftstheorie (DE-588)4079351-5 gnd |
| topic_facet | Prognose Wirtschaftliches Verhalten Erwartungsbildung Wirtschaftstheorie Aufsatzsammlung |
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