| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15003 |
| DP15003 Belief Distortions and Macroeconomic Fluctuations | |
| Francesco Bianchi; Sydney Ludvigson; Sai Ma | |
| 发表日期 | 2020-07-06 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper combines a data rich environment with a machine learning algorithm to provide estimates of time-varying systematic expectational errors ("belief distortions") about the macroeconomy embedded in survey responses. We find that such distortions are large on average even for professional forecasters, with all respondent-types over-weighting their own forecast relative to other information. Forecasts of inflation and GDP growth oscillate between optimism and pessimism by quantitatively large amounts. To investigate the dynamic relation of belief distortions with the macroeconomy, we construct indexes of aggregate (across surveys and respondents) expectational biases in survey forecasts. Over-optimism is associated with an increase in aggregate economic activity. Our estimates provide a benchmark to evaluate theories for which information capacity constraints, extrapolation, sentiments, ambiguity aversion, and other departures from full information rational expectations play a role in business cycles. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | beliefs Biases Machine learning Expectations |
| URL | https://cepr.org/publications/dp15003-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543952 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Sydney Ludvigson,Sai Ma. DP15003 Belief Distortions and Macroeconomic Fluctuations. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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