Publication Type
Journal Article
Version
submittedVersion
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
Citation
Choy, Keen Meng; Leong, Kenneth; and Tay, Anthony S..
Non-fundamental expectations and economic fluctuations: Evidence from professional forecasts. (2006). Journal of Macroeconomics. 28, (2), 446-460.
Available at: https://ink.library.smu.edu.sg/soe_research/163
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jmacro.2004.07.004