Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/184990
Authors: 
Geiger, Martin
Scharler, Johann
Year of Publication: 
2018
Series/Report no.: 
Working Papers in Economics and Statistics 2018-12
Abstract: 
We study the revision of survey expectations in response to macroeconomic shocks, which we identify in vector autoregressive models with sign restrictions. We find that survey respondents distinguish between movements along the Phillips curve and shifts of the Phillips curve, depending on the type of the shock that hits the economy. In addition, expectations about future interest rate dynamics are revised broadly in line with a Taylor rule. While the macroeconomic shocks account only for a small share of the forecast error variance of survey measures elicited from consumers, they are more relevant for the expectations of professional forecasters. This result is consistent with models of rational inattention.
Subjects: 
Macroeconomic Expectations
Michigan Survey
Structural Vector Autoregression
Zero and Sign Restrictions
JEL: 
E00
E32
D84
Document Type: 
Working Paper

Files in This Item:
File
Size





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