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

Czudaj, Robert

doi:10.1016/j.euroecorev.2022.104041

Cited by 10 publications

(4 citation statements)

References 72 publications

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“…In a general sense, the present paper extends the literature, which examines the expectation building mechanism using survey forecast data while focusing on the behavior of economic agents, and/or the macroeconomic models they rely upon Gorodnichenko, 2012, 2015a;Bordalo et al 2020;Czudaj, 2022Czudaj, , 2023bGlas and Heinisch, 2023). More specifically, the utilization of survey-based expectations data for the estimation of an expectation-based Phillips curve to study whether (professional) forecasters follow the concept of the Phillips curve when making their forecasts has already been considered in the previous literature.…”

Section: Review Of the Literaturementioning

confidence: 81%

“…While several existing studies on the expectation formation mechanism rely on the point forecasts taken from this data set (see e.g., Andrade and Le Bihan, 2013;Dovern, 2015;Czudaj, 2022Czudaj, , 2023b, the information inherent in the density forecasts have rarely been exploited (see e.g. Abel et al 2016).…”

Section: Forecast Survey Datamentioning

confidence: 99%

“…In equation ( 11), oil prices are considered as a global factor that is captured by time-fixed effects. Another related idea would be to also include oil price expectations, which has been considered due to the fact that oil price expectations are also included in the ECB-SPF (Czudaj, 2022(Czudaj, , 2023a. However,…”

Section: Competing Interestmentioning

confidence: 99%

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Expectation formation and the Phillips curve revisited

Czudaj

2024

Macroecon. Dynam.

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This paper studies expectation formation of professional forecasters in the context of the Phillips curve. We assess whether professionals form their expectations regarding inflation and unemployment consistent with the Phillips curve based on individual forecast data taken from the ECB Survey of Professional Forecasters. We consider expectations over different horizons and do not restrict the analysis to point forecasts but we also take the information inherent in density forecasts into account. We explicitly consider the role of anchoring of inflation expectations as potential source of nonlinearity, and we also assess whether the Phillips curve relation translates to a link between uncertainty regarding inflation and unemployment. Our findings show that professionals tend to build their expectations in line with the Phillips curve but this is only observed for expectations made for shorter horizons. For longer horizons, the Phillips curve connection is much weaker. This relationship also depends on the degree of anchoring and results in a connection between uncertainty regarding future inflation and unemployment.

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Section: Review Of the Literaturementioning

confidence: 81%

Section: Forecast Survey Datamentioning

confidence: 99%

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Expectation formation and the Phillips curve revisited

Czudaj

2024

Macroecon. Dynam.

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“…Credible monetary policy announcements can reduce uncertainty but communication with an imperfectly informed public can also result in substantial uncertainty (Tang, 2015). From a general view, the rich evidence on information rigidity and rational inattention has illustrated that forecast errors and disagreement among market participants can arise as a response to various shocks (Andrade and Le Bihan, 2013;Coibion and Gorodnichenko, 2015;Czudaj, 2022). Further evidence suggests, for example, that households do not respond systematically to monetary policy announcements (Lamla and Vinogradov, 2019).…”

Section: Introductionmentioning

confidence: 99%

Perceived monetary policy uncertainty

Beckmann

Czudaj²

2023

Journal of International Money and Finance

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The effect of time-varying fundamentals in learning-to-forecast experiments

Alfarano,

Camacho-Cuena,

Colasante

et al. 2023

J Econ Interact Coord

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Inspired by macroeconomic scenarios, we aim to experimentally investigate the evolution of short- and long-run expectations under different specifications of the fundamentals. We collect individual predictions for future prices in a series of Learning to Forecast Experiments with a time-varying fundamental value. In particular, we observe how expectations evolve in markets where the fundamental value follows either a V-shaped or an inverse V-shaped pattern. These conditions are compared with markets characterized by a constant and a slightly linear increasing fundamental value. We assess whether minor but systematic variations in the fundamentals affect individual short- and long-run expectations by considering positive and negative feedback-expectation systems. Compared to a setting with constant fundamentals, the slowly varying fundamentals have a limited impact on how subjects form their expectations in positive feedback markets, whereas in negative feedback markets we observe notable changes.

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

Cited by 10 publications

References 72 publications

Expectation formation and the Phillips curve revisited

Expectation formation and the Phillips curve revisited

Perceived monetary policy uncertainty

The effect of time-varying fundamentals in learning-to-forecast experiments

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