Freitag, 28. Juli 2017

Neue Studie über Erwartungen

Ein Papier von mir (zusammen mit Matthias Hartmann) ist gerade in einer Sonderausgabe zu Ehren von Kajal Lahiri von Empirical Economics publiziert worden.

In der Studie untersuchen wir, ob Implikationen eines Modells mit imperfekter Informationsstruktur und heterogenen Agenten von Umfragedaten zu makroökonomischen Erwartungen gestützt werden.

Das Abstract:
"We propose an imperfect information model for the expectations of macroeconomic forecasters that explains differences in average disagreement levels across forecasters by means of cross-sectional heterogeneity in the variance of private noise signals. We show that the forecaster-specic signal-to-noise ratios determine both the average individual disagreement level and an individuals’ forecast performance: Forecasters with very noisy signals deviate strongly from the average forecasts and report forecasts with low accuracy. We take the model to the data by empirically testing for this implied correlation. Evidence based on data from the Surveys of Professional Forecasters for the USA and for the Euro Area supports the model for short- and medium-run forecasts but rejects it based on its implications for long-run forecasts."

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