Heterogeneity in macroeconomic expectations: the role of individual historical experiences, local conditions, and socio-economic characteristics

宏观经济预期的异质性：个人历史经验、当地条件和社会经济特征的作用

• 批准号: 415981551
• 负责人: Professor Dr. Christian Conrad
• 金额: --
• 依托单位: Lehrstuhl für Statistik und Ökonometrie
• 依托单位国家: 德国
• 项目类别: Priority Programmes
• 财政年份: 2019
• 资助国家: 德国
• 起止时间: 2018-12-31 至 2023-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/415981551?language=en
• 关键词: Heterogeneity; macroeconomic; expectations; role; individual

Expectations are at the heart of modern macroeconomic theory. The commonly made assumptions of full information rational expectations (FIRE; Muth, 1961) or its recently proposed variants with information rigidities (Mankiw and Reis, 2002; Sims, 2003; Woodford, 2003) are simplistic and do not allow for genuine heterogeneity of expectations. In particular, they do not allow individual experiences of households or firms to affect their expectations of aggregate macroeconomic variables. Similarly, the role of individual experiences in the formation of financial expectations and decision-making is not yet well understood. This research project will provide empirical analyses based on survey data to enhance our understanding of how individual experiences of private households or firms influence their expectations. This evidence will help relaxing the commonly made assumption in economic models that expectations are formed by a process that is invariant across time and individuals.The results of this research project will be useful for both academic economists and researchers from other disciplines that investigate expectation formation processes as well as for monetary policy makers. The project contributes to the ongoing quest in macroeconomics for a better understanding of the relevance of heterogeneity, in particular of expectations, across households and firms. The empirical methods that we seek to develop will be useful for the analysis of survey expectations, or survey data in general, also in different contexts. By embedding our research agenda into the Priority Programme, we seek to contribute to, and benefit from, fruitful interdisciplinary exchange. Overall, the project will lead to a better understanding of survey data on macroeconomic expectations and, thus, will help to properly interpret such surveys. All of these issues are of first-order importance for the conduct of monetary policy because modern central banking relies heavily on expectations, both as a source of information and as a tool to steer the economy.

预期是现代宏观经济理论的核心。通常对全信息理性预期的假设（FIRE；Muth，1961）或其最近提出的具有信息刚性的变体（Mankiw 和 Reis，2002；Sims，2003；Woodford，2003）都是过于简单化的，并且不允许预期的真正异质性。特别是，它们不允许家庭或企业的个人经历影响他们对总体宏观经济变量的预期。同样，个人经历在财务预期和决策形成中的作用尚未得到充分理解。该研究项目将根据调查数据提供实证分析，以加深我们对私人家庭或企业的个人经历如何影响其期望的理解。这一证据将有助于放松经济模型中常见的假设，即预期是由一个不随时间和个人变化的过程形成的。该研究项目的结果对于学术经济学家和其他学科研究预期形成过程的研究人员来说都是有用的对于货币政策制定者来说也是如此。该项目有助于宏观经济学不断探索，以更好地理解家庭和企业之间的异质性，特别是期望的相关性。我们寻求开发的实证方法将有助于分析不同背景下的调查预期或一般调查数据。通过将我们的研究议程纳入优先计划，我们寻求为富有成效的跨学科交流做出贡献并从中受益。总体而言，该项目将有助于更好地理解宏观经济预期的调查数据，从而有助于正确解释此类调查。所有这些问题对于货币政策的实施都至关重要，因为现代央行严重依赖预期，既作为信息来源，又作为引导经济的工具。