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Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households. / Shaun Robert Sorrell Harris

Swansea University Author: Shaun Robert Sorrell Harris

Abstract

Expectations are a keystone concept in macroeconomics, employed across numerous theories and models. The intention of this thesis is to draw upon the richness of economic debate to explore the manner which economic agents form their expectations regarding inflation. Employing direct measures of expe...

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Published: 2014
Institution: Swansea University
Degree level: Doctoral
Degree name: Ph.D
URI: https://cronfa.swan.ac.uk/Record/cronfa42236
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last_indexed 2019-10-21T16:47:27Z
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spelling 2018-08-14T14:23:18.0219262 v2 42236 2018-08-02 Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households. 457cd214bb252dcba9530ace43ae743d NULL Shaun Robert Sorrell Harris Shaun Robert Sorrell Harris true true 2018-08-02 Expectations are a keystone concept in macroeconomics, employed across numerous theories and models. The intention of this thesis is to draw upon the richness of economic debate to explore the manner which economic agents form their expectations regarding inflation. Employing direct measures of expectations reported in prominent surveys published in the United States, this study empirically analyses key differences regarding the utilisation of information across agents. The various chapters within this thesis reconsider the analysis of recent studies and offer new insights regarding information and expectation formation. The general theme examined in this study concerns differences in expectation formation across agents and macroeconomic conditions; however other issues are also analysed. These include: (i) the consistency of survey inflation forecasts with conventional theories of adaptive and rational expectations; (ii) the impact of household demographics on expectations formation, forecast accuracy and group-specific disagreement; (iii) the presence and class of information rigidities embodied amongst the expectations of both professionals and households. The main results of this study can be summarised as follows. Firstly, whilst the forecast accuracy of agents is identified to be time-variant, it is shown that neither professionals, nor households, consistently outperform the other agent class in terms of realised forecast errors. Moreover, the aggregate inflation forecasts reported by both professionals and households are not invariably consistent with the predictions of traditional expectation theory; instead, information rigidities appear embodied within the expectations of both agent classes. Household expectations are further disaggregated by demographic characteristics. Across sample periods, 'more advantaged households' are observed to report smaller forecast errors and lower levels of disagreement; these groups are also found to be more attentive to various forms of news. Similarly, the forecasts reported by men exhibit greater accuracy and are updated more frequently than those of women. Limited differences are however observed across age groups and regions. To summarise, agent expectation formation is time-variant whilst various similarities and differences are observed in the utilisation of information and forecast behaviour between professionals and households. E-Thesis Economics. 31 12 2014 2014-12-31 COLLEGE NANME School of Management COLLEGE CODE Swansea University Doctoral Ph.D 2018-08-14T14:23:18.0219262 2018-08-02T16:24:28.5265850 Faculty of Humanities and Social Sciences School of Management - Business Management Shaun Robert Sorrell Harris NULL 1 0042236-02082018162438.pdf 10797944.pdf 2018-08-02T16:24:38.7300000 Output 16108990 application/pdf E-Thesis true 2018-08-02T16:24:38.7300000 false
title Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households.
spellingShingle Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households.
Shaun Robert Sorrell Harris
title_short Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households.
title_full Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households.
title_fullStr Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households.
title_full_unstemmed Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households.
title_sort Expectations and information in the United States, 1982-2011: An empirical examination of inflation forecasting between professionals and households.
author_id_str_mv 457cd214bb252dcba9530ace43ae743d
author_id_fullname_str_mv 457cd214bb252dcba9530ace43ae743d_***_Shaun Robert Sorrell Harris
author Shaun Robert Sorrell Harris
author2 Shaun Robert Sorrell Harris
format E-Thesis
publishDate 2014
institution Swansea University
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Business Management{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Business Management
document_store_str 1
active_str 0
description Expectations are a keystone concept in macroeconomics, employed across numerous theories and models. The intention of this thesis is to draw upon the richness of economic debate to explore the manner which economic agents form their expectations regarding inflation. Employing direct measures of expectations reported in prominent surveys published in the United States, this study empirically analyses key differences regarding the utilisation of information across agents. The various chapters within this thesis reconsider the analysis of recent studies and offer new insights regarding information and expectation formation. The general theme examined in this study concerns differences in expectation formation across agents and macroeconomic conditions; however other issues are also analysed. These include: (i) the consistency of survey inflation forecasts with conventional theories of adaptive and rational expectations; (ii) the impact of household demographics on expectations formation, forecast accuracy and group-specific disagreement; (iii) the presence and class of information rigidities embodied amongst the expectations of both professionals and households. The main results of this study can be summarised as follows. Firstly, whilst the forecast accuracy of agents is identified to be time-variant, it is shown that neither professionals, nor households, consistently outperform the other agent class in terms of realised forecast errors. Moreover, the aggregate inflation forecasts reported by both professionals and households are not invariably consistent with the predictions of traditional expectation theory; instead, information rigidities appear embodied within the expectations of both agent classes. Household expectations are further disaggregated by demographic characteristics. Across sample periods, 'more advantaged households' are observed to report smaller forecast errors and lower levels of disagreement; these groups are also found to be more attentive to various forms of news. Similarly, the forecasts reported by men exhibit greater accuracy and are updated more frequently than those of women. Limited differences are however observed across age groups and regions. To summarise, agent expectation formation is time-variant whilst various similarities and differences are observed in the utilisation of information and forecast behaviour between professionals and households.
published_date 2014-12-31T03:52:34Z
_version_ 1763752599399432192
score 11.01306

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