Publication Type

Journal Article

Version

Preprint

Publication Date

6-2006

Abstract

It is theoretically possible that non-fundamental idiosyncratic shocks to agents’ rational expectations are a source of economic fluctuations. Studies using data on consumer and investor sentiment suggest that this is indeed an important source of fluctuations. We present the results of a study that uses forecasts from professional forecasters to extract non-fundamental shocks to expectations. In contrast to previous studies, we show that non-fundamental expectations are not a significant source of output fluctuations, although such shocks contributed to inflation.

Keywords

Non-fundamental expectations, Sunspots, Economic fluctuations, Survey of professional forecasters, Vector autoregressions

Discipline

Econometrics | Macroeconomics

Research Areas

Econometrics

Publication

Journal of Macroeconomics

Volume

28

Issue

2

First Page

446

Last Page

460

ISSN

0164-0704

Identifier

10.1016/j.jmacro.2004.07.004

Publisher

Elsevier

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1016/j.jmacro.2004.07.004

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