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

mardi 17 mai 2022

Rencontres économiques

9h30 à 11h30

Comment se débarrasser des énergies fossiles et développer les énergies renouvelables dans un monde en crise ?

jeudi 19 mai 2022

Lunch

Christophe Blot

Are all central bank asset purchases the same?

lundi 23 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

mardi 24 mai 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Alice Sindzingre (CEPN) et Fabrice Tricou

De 13h30 à 15h30

Six forms of hierarchy for a theoretical analysis of capitalism

lundi 30 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

mardi 31 mai 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

jeudi 9 juin 2022

Lunch

Rémi Generoso

TBA

jeudi 9 juin 2022

Groupe de travail « Intelligence artificielle »

Hugo Le Picard (IFRI)

Salle G614B

Le deep learning au service de l’analyse des énergies renouvelables en Afrique

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