How do people interpret macroeconomic shocks? Evidence from U.S. survey data

Arbeitspapier

We study the revision of survey expectations in response to macroeconomic shocks, which we identify in vector autoregressive models with sign restrictions. We find that survey respondents distinguish between movements along the Phillips curve and shifts of the Phillips curve, depending on the type of the shock that hits the economy. In addition, expectations about future interest rate dynamics are revised broadly in line with a Taylor rule. While the macroeconomic shocks account only for a small share of the forecast error variance of survey measures elicited from consumers, they are more relevant for the expectations of professional forecasters. This result is consistent with models of rational inattention.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Papers in Economics and Statistics ; No. 2018-12

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Macroeconomics and Monetary Economics: General ; Business Fluctuations; Cycles ; Expectations; Speculations
• Thema: Macroeconomic Expectations ; Michigan Survey ; Structural Vector Autoregression ; Zero and Sign Restrictions

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Geiger, Martin ; Scharler, Johann
• Ereignis: Veröffentlichung
• (wer): University of Innsbruck, Research Platform Empirical and Experimental Economics (eeecon)
• (wo): Innsbruck
• (wann): 2018

Weitere Informationen

• Handle: http://hdl.handle.net/10419/184990
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ