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of privately known competence, who cares about his reputation, chooses the timing of the forecast regarding the outcome …. Further, any report hurts the forecaster's reputation in the short run, with later reports incurring larger penalties. The … reputation of a silent forecaster, on the other hand, gradually improves over time …
Persistent link: https://www.econbiz.de/10012859563
The so-called El Farol problem describes a prototypical situation of interacting agents making binary choices to participate in a non-cooperative environment or to stay by themselves and choosing an outside option. In a much cited paper Arthur (1994) argues that persistent on-converging...
Persistent link: https://www.econbiz.de/10010487597
Rational Expectations (RE) models have two crucial dimensions: agents correctly forecast future prices given all available information, and given expectations, agents solve optimization problems and these solutions in turn determine actual price realizations. Experimental testing of such models...
Persistent link: https://www.econbiz.de/10014175810
We document simultaneous over- and under-responses to new information by households, firms, and professional forecasters in survey data. Such behavior is inconsistent with existing theories based on either behavioral bias or rational inattention. We develop a structural model of information...
Persistent link: https://www.econbiz.de/10012921868
We examine probabilistic forecasts for battleground states in the 2020 US presidential election, using daily data from two sources over seven months: a model published by the Economist, and prices from the PredictIt exchange. We find systematic differences in accuracy over time, with markets...
Persistent link: https://www.econbiz.de/10013236079
I consider a consumption based asset pricing model where the consumer does not know if shocks to dividends are stationary (temporary) or non-stationary (permanent). The agent uses a Bayesian learning algorithm with a bias towards recent observations to assign probability to each process. While...
Persistent link: https://www.econbiz.de/10013054127
Behavioral and experimental literature on financial instability focuses on either subjective price expectations (Learning-to-Forecast experiments) or individual trading (Learning-to-Optimize experiments). Bao et al. (2018) have shown that subjects have problems with both tasks. In this paper, I...
Persistent link: https://www.econbiz.de/10012894616
We study the term structure of disagreement of professional forecasters for key macroeconomic variables. We document a novel set of facts: 1) forecasters disagree at all horizons, including the very long run; 2) the shape of the term structure of disagreement differs markedly across variables:...
Persistent link: https://www.econbiz.de/10010222893
We compare forecasts from different adaptive learning algorithms and calibrations applied to US real-time data on inflation and growth. We find that the Least Squares with constant gains adjusted to match (past) survey forecasts provides the best overall performance both in terms of forecasting...
Persistent link: https://www.econbiz.de/10010344932
In prediction markets, investors trade assets whose values are contingent on the occurrence of future events, like election outcomes. Prediction market prices have been shown to be consistently accurate forecasts of these outcomes, but we don't know why. I formally illustrate an information...
Persistent link: https://www.econbiz.de/10011490362