Arbeitspapier
Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as market conditions summarized by stock-market misalignments and recent returns change. We find that survey participants form stabilizing expectations in the long run. Short-run expectations, in contrast, are consistent with weak mean reversion of stock prices.
- Sprache
-
Englisch
- Erschienen in
-
Series: FinMaP-Working Paper ; No. 11
- Klassifikation
-
Wirtschaft
Financial Forecasting and Simulation
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
- Thema
-
Non-linear expectation formation
Survey data
Stock market
Heterogenous agents
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Pierdzioch, Christian
Reitz, Stefan
Ruelke, Jan-Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
- (wo)
-
Kiel
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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
- Pierdzioch, Christian
- Reitz, Stefan
- Ruelke, Jan-Christoph
- Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
Entstanden
- 2014
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