Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130557
Authors: 
Pierdzioch, Christian
Reitz, Stefan
Ruelke, Jan-Christoph
Year of Publication: 
2015
Series/Report no.: 
Kiel Working Paper 1947 [rev.]
Abstract: 
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as market conditions summarized by stock-market misalignments and recent returns change. We find that survey participants form stabilizing expectations in the long run. Short-run expectations, in contrast, are consistent with weak mean reversion of stock prices.
Subjects: 
Non-linear expectation formation
Survey data
Stock market
Heterogeneous agents
JEL: 
G17
E47
C53
Document Type: 
Working Paper

Files in This Item:
File
Size
432.95 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.