Unité mixte de recherche 7235

Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis

Imane El Ouadghiri

[en]The aim of this paper is to investigate heterogeneity in macroeconomic news forecasts using disaggregate data of monthly expectation surveys conducted by Bloomberg on macroeconomic indicators from January 1999 to February 2013. We find three major results. First, we show that macroeconomic indicator forecasters are mostly heterogeneous and their expectations are found to violate the rational expectation hypothesis. Second, the use of the expectation mixed model –combining extrapolative, regressive and adaptive components– reveals a large dominance of the chartist profile among forecasters with a systematical persistence over time despite all the structural breaks determined endogenously by the Bai-Perron estimation method. Third, we find that forecasters whose forecasting models combine at least two or three anticipatory components (extrapolative, and regressive or/and adaptive) and display high temporal flexibility, thus adapting to different structural breaks, are those which provide the most accurate forecasts.[/en]

AGENDA

jeudi 8 décembre 2022

Lunch

Georges Prat

12h - 13h, salle 110

Modeling ex-ante risk premiums in the oil market

lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

mardi 13 décembre 2022

Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)

16h-17h

Riding together: eliciting travelers’ preferences for long-distance carpooling

mercredi 14 décembre 2022

Économies du monde musulman

Mohamed Touati Tliba (École Supérieure de Commerce, Alger)

The scientific wealth of nations with special reference to MENA region: a cross-country productivity analysis of academic research

jeudi 15 décembre 2022

Doctorants

Pablo Aguilar Perez

Profitability and solvency of French insurance companies in an environment of low interest rates

jeudi 15 décembre 2022

Groupe de travail « Intelligence artificielle »

Matthieu Lapaty (UPMC)

TBA

jeudi 15 décembre 2022

Groupe de travail Economie Comportementale

Magali Dumontet

TBA

jeudi 5 janvier 2023

Lunch

Mehdi Aït-Hamlat, Florian Baudoin, Tanguy Bonnet

Nouveaux doctorants

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