Title: Nonlinear expectation formation in the U.S. stock market
Subtitle: empirical evidence from the Livingston survey
Authors: Pierdzioch, Christian 
Reitz, Stefan
Ruelke, Jan-Christoph
Language: en
Keywords: Universitätsbibliographie;Evaluation 2015
Issue Date: 2015
Publisher: Kiel Institute for the World Economy
Document Type: Working Paper
Journal / Series / Working Paper (HSU): Kiel working paper 
Volume: 1947
Pages: 28 Seiten
Publisher Place: Kiel
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.
Organization Units (connected with the publication): VWL, insb. Monetäre Ökonomik 
URL: https://ub.hsu-hh.de/DB=1.8/XMLPRS=N/PPN?PPN=85710490X
http://hdl.handle.net/10419/130557
Appears in Collections:2015

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