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Heteroeneous forecasters and nonlinear expectation formation in US stock market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...

Persistent link: https://www.econbiz.de/10010479018

Heterogeneous expectations among professional forecasters

Conrad, Christian; Lahiri, Kajal - 2023

Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity …. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and … evidence based on the ZEW Financial Market Survey, covering the behavior of expectations heterogeneity during the recent surge …

Persistent link: https://www.econbiz.de/10014472058

Easier said than done: the divergence between soft and hard data

Conti, Antonio M.; Rondinelli, Concetta - Banca d'Italia - 2015

Between the first half of 2013 and the summer of 2014, survey data pointed to a gradual recovery of economic activity, while the hard data continued to show persistent weakness. After providing statistical evidence to support the hypothesis that, during the sovereign debt crisis, the...

Persistent link: https://www.econbiz.de/10011171340

Inconsistencies Signals from the Declared Patrimony of Politicians in Brazil : Application of Newcomb-Benford Law

Sallaberry, Jonatas - 2019

Goal: This research aims to seek evidence of inconsistencies or signs of fraud or other financial crimes in the assets declared by candidates for political office by applying the Newcomb-Benford Law (NB).Theoretical foundation: The mainly empirical research is based on the ability of asset...

Persistent link: https://www.econbiz.de/10012863507

Agent-Based Computational Economics (ACE) and African Modelling : Perspectives and Challenges

Nwaobi, Godwin Chukwudum - 2011

In recent years, the government, of African Countries has assumed major responsibilities for economic reforms and growth. In attempting to describe their economies, economists (policymakers) in many African Countries have applied certain models that are by now widely known: Linear programming...

Persistent link: https://www.econbiz.de/10013117492

Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

Persistent link: https://www.econbiz.de/10013223934

Heterogeneity in macroeconomic news expectations : a disaggregate level analysis

El Ouadghiri, Imane - 2015

Persistent link: https://www.econbiz.de/10011300869

Dynamic expectation formation in the foreign exchange market

Ellen, Saskia ter; Verschoor, Willem F. C.; Zwinkels, … - In: Journal of international money and finance 37 (2013), pp. 75-97

Persistent link: https://www.econbiz.de/10010209159

Heterogeneity of beliefs and information rigidity in the crude oil market: evidence from survey data

Czudaj, Robert - 2021

This paper assesses information contained in the micro dataset of the ECB Survey of Professional Forecasters regarding quarterly Brent crude oil price forecasts. We examine the expectations building mechanism by referring to the processing of information and confirm the presence of information...

Persistent link: https://www.econbiz.de/10012661948

Heterogeneity of beliefs and information rigidity in the crude oil market : evidence from survey data

Czudaj, Robert - In: European economic review : EER 143 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013348720