Arbeitspapier
Measuring Biases in Expectation Formation
We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast errors. The framework does not require precise knowledge of the true data-generating process, and it nests all major existing models of expectations. Monte Carlo simulations show that the method is able to detect biases in empirically relevant settings. We illustrate the methodology using data on inflation forecasts. Our framework can guide future models of expectations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2018-058/IV
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Expectations; Speculations
Macro-Based Behavioral Economics: General‡
Behavioral Finance: General‡
- Thema
-
expectation formation
bias
underreaction
overreaction
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Peters, Florian
Kucinskas, Simas
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Peters, Florian
- Kucinskas, Simas
- Tinbergen Institute
Entstanden
- 2018
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