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Underreacting to News or Responding to Change? Reexamining Macroeconomic Expectations

Frydman, Roman; Stillwagon, Josh R.; Frydman, Halina - 2022

Deviations of market participants forecasts from full-information rational expectations (FIRE) are usually specified to arise from limited information or irrationality. Relying on a novel theoretical characterization, we present empirical evidence that these specifications are inconsistent with...

Persistent link: https://www.econbiz.de/10013296992

Theories, consistent expectations and exchange rate dynamics

Goldberg, Michael D.; Frydman, Roman - 1991 - Rev

Persistent link: https://www.econbiz.de/10000828926

Individual forecasting and aggregate outcomes : "rational expectations" examined

Frydman, Roman (ed.); Phelps, Edmund S. (ed.) - Conference Expectations Formation and Economic … - 1986 - First paperback edition

Persistent link: https://www.econbiz.de/10000778652

Empirical exchange rate models and shifts in the co-integrating vector

Goldberg, Michael D.; Frydman, Roman - 1993

Persistent link: https://www.econbiz.de/10000873562

Theories, consistent expectations and exchange rate dynamics

Goldberg, Michael D. - In: Open-economy macroeconomics : proceedings of a …, (pp. 377-399). 1993

Persistent link: https://www.econbiz.de/10001313908

Empirical exchange rate models and shifts in the co-integrating vector

Goldberg, Michael D. - In: Structural change and economic dynamics : SC+ED 7 (1996) 1, pp. 55-78

Persistent link: https://www.econbiz.de/10001196684

Imperfect knowledge and asset price dynamics

Frydman, Roman (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001764045

Imperfect knowledge and asset price dynamics : modeling the forecast of rational agents, dynamic prospects theory and uncertainty premia on foreign exchange

Frydman, Roman; Goldberg, Michael D. - 2003

Persistent link: https://www.econbiz.de/10001802050

Individual forecasting and aggregate outcomes : 'rational expectations' examined

Frydman, Roman (ed.); Phelps, Edmund S. (contributor) - 1983 - 1. publ.

Persistent link: https://www.econbiz.de/10000056227

The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Frydman, Roman - 2017

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

Persistent link: https://www.econbiz.de/10012953086