Arbeitspapier
Heteroeneous forecasters and nonlinear expectation formation in US stock market
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US 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.
- Language
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Englisch
- Bibliographic citation
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Series: FinMaP-Working Paper ; No. 29
- Classification
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Wirtschaft
Financial Forecasting and Simulation
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
- Subject
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Non-linear expectation formation
Survey data
Stock market
Heterogeneous agents
- Event
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Geistige Schöpfung
- (who)
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Pierdzioch, Christian
Reitz, Stefan
Ruelke, Jan-Christoph
- Event
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Veröffentlichung
- (who)
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Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
- (where)
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Kiel
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:44 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
- Pierdzioch, Christian
- Reitz, Stefan
- Ruelke, Jan-Christoph
- Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
Time of origin
- 2015
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