Arbeitspapier
The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations
We propose a simple model of expectation formation with three distinct deviations from fully rational expectations. In particular, forecasters' expectations are sticky, extrapolate the most recent news about the current period, and depend on the lagged consensus forecast about the period being forecast. We find that all three biases are present in the Survey of Professional Forecasters as well as in the Livingston Survey, and that their magnitudes depend on the forecasting horizon. Moreover, in an over-identified econometric specification, we find that the restriction on coefficients implied by our model is always close to being satisfied and in most cases not rejected. We also stress the point that using the past consensus forecast to form expectations is a reasonable thing to do if a forecaster is not able to come up with fully rational expectations all by herself.
- ISBN
-
978-3-943153-84-2
- Sprache
-
Englisch
- Erschienen in
-
Series: BERG Working Paper Series ; No. 163
- Klassifikation
-
Wirtschaft
- Thema
-
expectation formation
sticky expectations
extrapolation
consensus forecasts
survey data
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hagenhoff, Tim
Lustenhouwer, Joep
- Ereignis
-
Veröffentlichung
- (wer)
-
Bamberg University, Bamberg Economic Research Group (BERG)
- (wo)
-
Bamberg
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hagenhoff, Tim
- Lustenhouwer, Joep
- Bamberg University, Bamberg Economic Research Group (BERG)
Entstanden
- 2020
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