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Firm expectations and news: micro v macro
Born, Benjamin; Enders, Zeno; Menkhoff, Manuel; … - 2023
Using firm-level data, we study how firm expectations adjust to news while accounting for a) the heterogeneity of news … and b) the heterogeneity of firms. We classify news as either micro or macro, that is, information about firm … expectations: Both types of news predict forecast errors at the firm level. Yet while firm expectations overreact to micro news …
Persistent link: https://www.econbiz.de/10014329767
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Firm expectations and news : micro v macro
Born, Benjamin; Enders, Zeno; Menkhoff, Manuel; … - 2023
Using firm-level data, we study how firm expectations adjust to news while accounting for a) the heterogeneity of news … and b) the heterogeneity of firms. We classify news as either micro or macro, that is, information about firm … expectations: Both types of news predict forecast errors at the firm level. Yet while firm expectations overreact to micro news …
Persistent link: https://www.econbiz.de/10014310407
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Firm expectations and news : micro v macro
Born, Benjamin; Enders, Zeno; Menkhoff, Manuel; … - 2022
In this study, we investigate how firm expectations about their own developments respond to different types of news. We … classify news as either micro or macro, with micro news being information about firm-specific developments and macro news being … information about the aggregate economy. Our analysis of firm surveys from Germany and Italy shows that both types of news …
Persistent link: https://www.econbiz.de/10013482254
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How do agents form macroeconomic expectations? : evidence from inflation uncertainty
Wang, Tao - 2024 - Last updated: February 16, 2024
This paper studies the behaviors of uncertainty through the lens of several popular models of expectation formation. The full-information rational expectations model (FIRE) predicts that both the ex ante uncertainty and the variance of ex post forecast errors are equal to the conditional...
Persistent link: https://www.econbiz.de/10014475397
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Rational Inattention and the Business Cycle Effects of Productivity and News Shocks
Maćkowiak, Bartosz; Wiederholt, Mirko - 2023
news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business … cycle comovement after news shocks …
Persistent link: https://www.econbiz.de/10014353582
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Rational inattention and the business cycle effects of productivity and news shocks
Maćkowiak, Bartosz; Wiederholt, Mirko - 2023
news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business … cycle comovement after news shocks. …
Persistent link: https://www.econbiz.de/10014343098
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The Effects of Investor Confidence Shocks on Business Cycles
Kedia, Jai - 2021
This paper extends a quantitative medium-scale New-Keynesian DSGE model with financial intermediaries to account for shocks to investor confidence. Shocks of this nature manifest themselves as per period changes to financial intermediaries' leverage ratios. A Bayesian MCMC approach is utilized...
Persistent link: https://www.econbiz.de/10013214960
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Incorporating diagnostic expectations into the New Keynesian framework
L'Huillier, Jean-Paul; Singh, Sanjay R.; Yoo, Donghoon - 2021
Diagnostic expectations have emerged as an important departure from rational expectations in macroeconomics and finance. We present a first treatment of diagnostic expectations in linear macroeconomic models. To this end, we establish a strong additivity property for diagnostic expectations. The...
Persistent link: https://www.econbiz.de/10012427488
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Identification of Non-Rational Risk Shocks
Böck, Maximilian - 2022
This paper studies how non-rational risk shocks affect the macroeconomy. Exploiting survey data on expectations of financial executives, belief distortions on financial markets identify a non-rational risk shock. Surprises in beliefs in credit spreads measure belief distortions, and are used as...
Persistent link: https://www.econbiz.de/10013308197
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Incorporating Diagnostic Expectations into the New Keynesian Framework
L'Huillier, Jean-Paul; Singh, Sanjay R.; Yoo, Donghoon - 2021
Diagnostic expectations constitute a realistic behavioral model of inference. This paper shows that this approach for expectation formation can be productively integrated into the New Keynesian framework. To this end, we start by offering a first technical treatment of diagnostic expectations in...
Persistent link: https://www.econbiz.de/10013213827