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Estimating macroeconomic uncertainty and discord using info-metrics

Lahiri, Kajal; Wang, Wuwei - 2019

We apply generalized beta and triangular distributions to histograms from the Survey of Professional Forecasters (SPF) to estimate forecast uncertainty, shocks and discord using information framework, and compare these with moment-based estimates. We find these two approaches to produce...

Persistent link: https://www.econbiz.de/10012024647

Testing for differences in survey-based density expectations : a compositional data approach

Dovern, Jonas; Glas, Alexander; Kenny, Geoff - 2023

We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...

Persistent link: https://www.econbiz.de/10013536182

Forecasting inflation with a zero lower bound or negative interest rates : evidence from point and density forecasts

Anderl, Christina; Caporale, Guglielmo Maria - 2022

This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …

Persistent link: https://www.econbiz.de/10013176885

Inflation and wage expectations of firms and employees

Buchheim, Lukas; Link, Sebastian; Möhrle, Sascha - 2024

We study the link between expected inflation and wages using novel panel data from German firms and employees. We find … that pass-through—the percentage point change in wage growth given a one percentage point change in expected inflation … margin, expected inflation has little effect on additional wage negotiations. …

Persistent link: https://www.econbiz.de/10015061156

Forecasting tail risks : presented at CESifo Area Conference on Macro, Money and International Finance, February 2015

De Nicolò, Gianni; Lucchetta, Marcella - 2015

Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...

Persistent link: https://www.econbiz.de/10010498601

Local information and firm expectations about aggregates

Dovern, Jonas; Müller, Lena; Wohlrabe, Klaus - 2022

Using new survey data on quantitative growth expectations of firms in Germany, we show that firms resort to local information when forming expectations about aggregate growth. Firms extrapolate from the economic situation in their county, industry growth and their individual business situation....

Persistent link: https://www.econbiz.de/10013285506

Social networks and housing markets

Bailey, Michael; Cao, Sam (Ruiqing); Kuchler, Theresa; … - 2016

The recent house price experiences within an individual's social network affect her perceptions of the attractiveness of property investments, and through this channel have large effects on her housing market activity. Our data combine anonymized social network information from Facebook with...

Persistent link: https://www.econbiz.de/10011476018

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

tolerance. From this central result, we show how increasing disagreement on the state probability affects the state probability …

Persistent link: https://www.econbiz.de/10011507677

Disagreement and optimal security design

Ortner, Juan M.; Schmalz, Martin C. - 2018

the asset to be securitized. We show that pooling assets can be optimal because it mitigates the effects of disagreement … between issuer and investors, whereas tranching a cash-flow stream allows the issuer to exploit disagreement between investors …

Persistent link: https://www.econbiz.de/10011795041

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

the disagreement among the forecasters plus the volatility of the common shock. Using new statistics to test for the …

Persistent link: https://www.econbiz.de/10012405456