Arbeitspapier
Macroeconomic vulnerability and disagreement in expectations
In this paper we discuss the role of the cross-sectional heterogeneity of beliefs in the context of understanding and assessing macroeconomic vulnerability. Emphasis lies on the potential of changing levels of disagreement in expectations to influence the propensity of the economy to switch between different regimes, a hypothesis that finds robust empirical support from a regime-switching model with endogenous transition probabilities for output growth and realized stock market volatility in the US.
- Language
-
Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 1407
- Classification
-
Wirtschaft
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
- Subject
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business cycles
endogenous transition probabilities
forecasting
Heterogeneous beliefs
regime-switching
- Event
-
Geistige Schöpfung
- (who)
-
Badarinza, Cristian
Buchmann, Marco
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Badarinza, Cristian
- Buchmann, Marco
- European Central Bank (ECB)
Time of origin
- 2011
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