Macroeconomic expectations and time varying heterogeneity: Evidence from individual survey data
Remzi Uctum () and
Imane El Ouadghiri ()
Post-Print from HAL
The goal of this paper is to investigate forecast heterogeneity and time variability in the formation of expectations using disaggregated monthly survey data on macroeconomic indicators provided by Bloomberg from June 1998 to August 2017. We show that our panel of forecasters are not rational and are moderately heterogeneous and thus confirm that previously well-established results on asset prices hold for macroeconomic indicators. The estimation of our flexible hybrid forecast model – defined at any time as a combination of the extrapolative, regressive, adaptive and interactive heuristics – using the Bai and Perron (1998) methodology reveals a significant timedependence in the structural model with some inertia in extrapolative and adaptive profiles. Changes in the formation of expectations are triggered mostly by financial shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist component overweighs chartist activity. Forecasters whose models combine different relevant rules and display high temporal flexibility provide the most accurate forecasts. Authorities can then stabilize the domestic markets by encouraging fundamentalists' forecasts through increased transparency policy.
Keywords: [No; keyword; available] (search for similar items in EconPapers)
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-02353939
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Published in Applied Economics, Taylor & Francis (Routledge), 2020, 52, pp.2443-2459
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Macroeconomic expectations and time varying heterogeneity:evidence from individual survey data (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02353939
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().