| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24932 |
| 来源ID | Working Paper 24932 |
| Over-reaction in Macroeconomic Expectations | |
| Pedro Bordalo; Nicola Gennaioli; Yueran Ma; Andrei Shleifer | |
| 发表日期 | 2018-08-27 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study the rationality of individual and consensus professional forecasts of macroeconomic and financial variables using the methodology of Coibion and Gorodnichenko (2015), which examines predictability of forecast errors from forecast revisions. We report two key findings: forecasters typically over-react to their individual news, while consensus forecasts under-react to average forecaster news. To reconcile these findings, we combine the diagnostic expectations model of belief formation from Bordalo, Gennaioli, and Shleifer (2018) with Woodford’s (2003) noisy information model of belief dispersion. The forward looking nature of diagnostic expectations yields additional implications, which we also test and confirm. A structural estimation exercise indicates that our model captures important variation in the data, yielding a value for the belief distortion parameter similar to estimates obtained in other settings |
| 主题 | Macroeconomics ; Macroeconomic Models ; Business Cycles |
| URL | https://www.nber.org/papers/w24932 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582606 |
| 推荐引用方式 GB/T 7714 | Pedro Bordalo,Nicola Gennaioli,Yueran Ma,et al. Over-reaction in Macroeconomic Expectations. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24932.pdf（1283KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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