Konferenzbeitrag

How do Macroeconomic Shocks affect Expectations? Lessons from Survey Data

We study the revision of macroeconomic expectations due to aggregate demand, aggregate supply and monetary policy shocks. Using zero and sign restrictions, the macroeconomic shocks are identified in a vector autoregressive model in which we include survey data that measure macroeconomic expectations. We find that, in general, people tend to revise expectations in a way that is consistent with standard theory. In particular, people appear to differentiate among the three types of shocks and tend to revise expectations according to the characteristics of the shock. Nevertheless, the accuracy of responses varies with respect to which shock we consider. People process demand shocks most accurately meaning that they revise expectations about economic activity, inflation and the interest rate in a way consistent with standard theory. For supply shocks we find that people at least revise expectations about economic activity and inflation in a theory consistent manner. In the event of monetary policy shocks, people tend to be relatively uncertain about how to process these shocks.

Language
Englisch

Bibliographic citation
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel - Session: Business Cycles: Uncertainty and Bubbles ; No. D08-V3

Classification
Wirtschaft
Macroeconomics and Monetary Economics: General
Business Fluctuations; Cycles
Expectations; Speculations

Event
Geistige Schöpfung
(who)
Geiger, Martin
Scharler, Johann
Event
Veröffentlichung
(who)
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
(where)
Kiel und Hamburg
(when)
2016

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Konferenzbeitrag

Associated

  • Geiger, Martin
  • Scharler, Johann
  • ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

Time of origin

  • 2016

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