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Forecasting the Forecasts of Others

Citations

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Cited by:

  1. Alexandre Kohlhas, 2015. "Learning-by-Sharing: Monetary Policy and the Information Content of Public Signals," 2015 Meeting Papers 57, Society for Economic Dynamics.
  2. Christian Hellwig, 2004. "Heterogeneous Information and the Benefits of Public Information Disclosures (October 2005)," UCLA Economics Online Papers 283, UCLA Department of Economics.
  3. Michele Berardi, 2011. "Strategic interactions, incomplete information and learning," Centre for Growth and Business Cycle Research Discussion Paper Series 157, Economics, The University of Manchester.
  4. Dan Zhu & Qingwei Wang & John Goddard, 2022. "A new hedging hypothesis regarding prediction interval formation in stock price forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 697-717, July.
  5. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
  6. Adam, Klaus, 2007. "Optimal monetary policy with imperfect common knowledge," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 267-301, March.
  7. George-Marios Angeletos & Alessandro Pavan, 2009. "Policy with Dispersed Information," Journal of the European Economic Association, MIT Press, vol. 7(1), pages 11-60, March.
  8. Michele Berardi, 2021. "Learning from prices: information aggregation and accumulation in an asset market," Annals of Finance, Springer, vol. 17(1), pages 45-77, March.
  9. Angeletos, George-Marios & Iovino, Luigi & La'O, Jennifer, 2020. "Learning over the business cycle: Policy implications," Journal of Economic Theory, Elsevier, vol. 190(C).
  10. Hyun Song Shin & Jeffery D. Amato, 2003. "Public and private information in monetary policy models," BIS Working Papers 138, Bank for International Settlements.
  11. Martin Chalkley & In Ho Lee, 1998. "Learning and Asymmetric Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 623-645, July.
  12. Walker, Todd B., 2007. "How equilibrium prices reveal information in a time series model with disparately informed, competitive traders," Journal of Economic Theory, Elsevier, vol. 137(1), pages 512-537, November.
  13. Barrdear, John, 2015. "Towards a New Keynesian theory of the price level," Bank of England working papers 532, Bank of England.
  14. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
  15. Guido Lorenzoni, 2009. "A Theory of Demand Shocks," American Economic Review, American Economic Association, vol. 99(5), pages 2050-2084, December.
  16. Timothy Cogley & ThomasJ. Sargent, 2009. "Diverse Beliefs, Survival and the Market Price of Risk," Economic Journal, Royal Economic Society, vol. 119(536), pages 354-376, March.
  17. Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany.
  18. Philippe Bacchetta & Eric Van Wincoop, 2008. "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, August.
  19. Mäkinen, Taneli & Ohl, Björn, 2015. "Information acquisition and learning from prices over the business cycle," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 585-633.
  20. Ergun, Lerby & Uthemann, Andreas, 2020. "Higher-order uncertainty in financial markets: evidence from a consensus pricing service," LSE Research Online Documents on Economics 118893, London School of Economics and Political Science, LSE Library.
  21. Hauk, Esther & Lanteri, Andrea & Marcet, Albert, 2021. "Optimal policy with general signal extraction," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 54-86.
  22. Jun Maekawa & Koji Shimada, 2019. "A Speculative Trading Model for the Electricity Market: Based on Japan Electric Power Exchange," Energies, MDPI, vol. 12(15), pages 1-15, July.
  23. Schaal, Edouard & Taschereau-Dumouchel, Mathieu, 2023. "Herding through booms and busts," Journal of Economic Theory, Elsevier, vol. 210(C).
  24. Joëts, Marc, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
  25. Kelly, David L. & Shorish, Jamsheed, 2000. "Stability of Functional Rational Expectations Equilibria," Journal of Economic Theory, Elsevier, vol. 95(2), pages 215-250, December.
  26. Kurz, Mordecai, 2008. "Beauty contests under private information and diverse beliefs: How different?," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 762-784, July.
  27. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
  28. He, Hua & Wang, Jiang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 919-972.
  29. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance 0405006, University Library of Munich, Germany.
  30. Foster, F Douglas & Viswanathan, S, 1996. "Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, vol. 51(4), pages 1437-1478, September.
  31. Giacomo Rondina & Todd Walker, 2016. "Learning and Informational Stability of Dynamic REE with Incomplete Information," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 147-159, July.
  32. George-Marios Angeletos, 2018. "Frictional Coordination," Journal of the European Economic Association, European Economic Association, vol. 16(3), pages 563-603.
  33. Candian, Giacomo, 2019. "Information frictions and real exchange rate dynamics," Journal of International Economics, Elsevier, vol. 116(C), pages 189-205.
  34. George‐Marios Angeletos & Fabrice Collard & Harris Dellas, 2018. "Quantifying Confidence," Econometrica, Econometric Society, vol. 86(5), pages 1689-1726, September.
  35. Kenneth Kasa, 2000. "Forecasting the Forecasts of Others in the Frequency Domain," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(4), pages 726-756, October.
  36. Chang, M. C. & Chu, C. Y. Cyrus & Lin, Kenneth S., 1995. "A note on least-squares learning mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1293-1296.
  37. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-118, January.
  38. Christian Hellwig & Aleh Tsyvinski & Elias Albagli, 2014. "Dynamic Dispersed Information and the Credit Spread Puzzle," 2014 Meeting Papers 808, Society for Economic Dynamics.
  39. Falck, Elisabeth & Hoffmann, Mathias & Hürtgen, Patrick, 2017. "Disagreement and monetary policy," Discussion Papers 29/2017, Deutsche Bundesbank.
  40. Jennifer La'O & George-Marios Angeletos, 2009. "Dispersed Information over the Business Cycle: Optimal Fiscal and Monetary Policy," 2009 Meeting Papers 221, Society for Economic Dynamics.
  41. Madrigal, Vicente & Scheinkman, Jose A., 1997. "Price Crashes, Information Aggregation, and Market-Making," Journal of Economic Theory, Elsevier, vol. 75(1), pages 16-63, July.
  42. Broer, Tobias & Kohlhas, Alexandre N. & Mitman, Kurt & Schlafmann, Kathrin, 2022. "On the possibility of Krusell-Smith Equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
  43. Ayan Bhattacharya, 2022. "Arbitrage from a Bayesian's Perspective," Papers 2211.03244, arXiv.org.
  44. Zhao Han & Xiaohan Ma & Ruoyun Mao, 2023. "The Role of Dispersed Information in Inflation and Inflation Expectations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 48, pages 72-106, April.
  45. Gonzalo Cisternas & Aaron Kolb, 2020. "Signaling with Private Monitoring," Papers 2007.15514, arXiv.org.
  46. Jonas Dovern & Ulrich Fritsche, 2008. "Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts," Discussion Papers of DIW Berlin 787, DIW Berlin, German Institute for Economic Research.
  47. Arnab Bhattacharjee & Sean Holly, 2013. "Understanding Interactions in Social Networks and Committees," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(1), pages 23-53, March.
  48. Andrea Giusto, 2015. "Learning to Agree: A New Perspective on Price Drift," Economics Bulletin, AccessEcon, vol. 35(1), pages 276-282.
  49. Chandra Kanodia, 2006. "Discussion of Disclosure Risk and Price Drift," Journal of Accounting Research, Wiley Blackwell, vol. 44(2), pages 381-388, May.
  50. van der Cruijsen, C.A.B., 2008. "The economic impact of central bank transparency," Other publications TiSEM 86c1ba91-1952-45b4-adac-8, Tilburg University, School of Economics and Management.
  51. Eric M. Leeper & Todd B. Walker & Shu‐Chun Susan Yang, 2013. "Fiscal Foresight and Information Flows," Econometrica, Econometric Society, vol. 81(3), pages 1115-1145, May.
  52. Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
  53. Bartosz Mackowiak & Mirko Wiederholt, 2009. "Optimal Sticky Prices under Rational Inattention," American Economic Review, American Economic Association, vol. 99(3), pages 769-803, June.
  54. Oleksiy Kryvtsov, 2005. "Information Flows and Aggregate Persistence," Computing in Economics and Finance 2005 416, Society for Computational Economics.
  55. Lof Matthijs, 2013. "Noncausality and asset pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 211-220, April.
  56. Pierre L. Siklos, 2017. "What has publishing inflation forecasts accomplished? Central banks and their competitors," CAMA Working Papers 2017-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  57. Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions," Working Paper Series, Macroeconomic Issues 94-20, Federal Reserve Bank of Chicago.
  58. Mankiw, N. Gregory & Reis, Ricardo, 2010. "Imperfect Information and Aggregate Supply," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 5, pages 183-229, Elsevier.
  59. University of California & Giacomo Rondina, 2008. "Incomplete Information and Informative Pricing: Theory and Application," 2008 Meeting Papers 981, Society for Economic Dynamics.
  60. Svensson, Lars E. O. & Woodford, Michael, 2004. "Indicator variables for optimal policy under asymmetric information," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 661-690, January.
  61. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
  62. Philippe Bacchetta & Eric van Wincoop, 2005. "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series rp155, International Center for Financial Asset Management and Engineering.
  63. Antulio N. Bomfim, "undated". "\"Forecasting the Forecasts of Others:\" Expectational Heterogeneity and Aggregate Dynamics," Finance and Economics Discussion Series 1996-41, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
  64. Kristoffer P. Nimark, 2014. "Man-Bites-Dog Business Cycles," American Economic Review, American Economic Association, vol. 104(8), pages 2320-2367, August.
  65. Rondina, Giacomo & Walker, Todd B., 2021. "Confounding dynamics," Journal of Economic Theory, Elsevier, vol. 196(C).
  66. Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014. "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Finance Working Papers 24516, East Asian Bureau of Economic Research.
  67. Tas, Bedri Kamil Onur & Togay, Selahattin, 2010. "Optimal monetary policy regime for oil producing developing economies: Implications for post-war Iraq," Economic Modelling, Elsevier, vol. 27(5), pages 1324-1336, September.
  68. van der Cruijsen, C.A.B. & Eijffinger, S.C.W., 2007. "The Economic Impact of Central Bank Transparency : A Survey," Discussion Paper 2007-06, Tilburg University, Center for Economic Research.
  69. Jonathan J Adams, 2019. "Macroeconomic Models with Incomplete Information and Endogenous Signals," Working Papers 001004, University of Florida, Department of Economics.
  70. Cujean, Julien & Andrei, Daniel & Wilson, Mungo, 2018. "The Lost Capital Asset Pricing Model," CEPR Discussion Papers 12607, C.E.P.R. Discussion Papers.
  71. Manuel Amador & Pierre-Olivier Weill, 2010. "Learning from Prices: Public Communication and Welfare," Journal of Political Economy, University of Chicago Press, vol. 118(5), pages 866-907.
  72. Francisco Barillas & Kristoffer Nimark, 2012. "Speculation, risk premia and expectations in the yield curve," Economics Working Papers 1337, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2013.
  73. William A. Brock & Cars H. Hommes, 2001. "A Rational Route to Randomness," Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 16, pages 402-438, Edward Elgar Publishing.
  74. Guo, Zi-Yi, 2017. "Information heterogeneity, housing dynamics and the business cycle," EconStor Preprints 168561, ZBW - Leibniz Information Centre for Economics.
  75. Chen, Baoline & Zadrozny, Peter A., 2002. "An anticipative feedback solution for the infinite-horizon, linear-quadratic, dynamic, Stackelberg game," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1397-1416, August.
  76. Zhen Huo & Marcelo Pedroni, 2020. "A Single-Judge Solution to Beauty Contests," American Economic Review, American Economic Association, vol. 110(2), pages 526-568, February.
  77. Di Bartolomeo, Giovanni & Di Pietro, Marco & Beqiraj, Elton, 2020. "Price and wage inflation persistence across countries and monetary regimes," Journal of International Money and Finance, Elsevier, vol. 109(C).
  78. Marcet, Albert & Adam, Klaus, 2009. "Internal Rationality and Asset Prices," CEPR Discussion Papers 7498, C.E.P.R. Discussion Papers.
  79. Bomfim, Antulio N., 2001. "Heterogeneous forecasts and aggregate dynamics," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 145-161, February.
  80. Tenhofen, Jörn & Wolff, Guntram B., 2010. "Does anticipation of government spending matter? The role of (non-)defense spending," Bonn Econ Discussion Papers 12/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
  81. Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.
  82. Goto, Shingo, 2000. "The Fed's Effect on Excess Returns and Inflation is Much Bigger Than You Think," University of California at Los Angeles, Anderson Graduate School of Management qt04f1z5hb, Anderson Graduate School of Management, UCLA.
  83. Bomfim, Antulio N & Diebold, Francis X, 1997. "Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers," Economic Journal, Royal Economic Society, vol. 107(444), pages 1358-1374, September.
  84. Arnab Bhattacharjee & Sean Holly, 2013. "Understanding Interactions in Social Networks and Committees," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(1), pages 23-53, March.
  85. Franklin Allen & Stephen Morris & Hyun Song Shin, 2003. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Cowles Foundation Discussion Papers 1406, Cowles Foundation for Research in Economics, Yale University.
  86. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
  87. Jamsheed Shorish, 2010. "Functional rational expectations equilibria in market games," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 43(3), pages 351-376, June.
  88. Saffi, Pedro, 2008. "Differences of opinion, information and the timing of trades," IESE Research Papers D/747, IESE Business School.
  89. Carlos Capistr¡N & Allan Timmermann, 2009. "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 365-396, March.
  90. George-Marios Angeletos & Chen Lian, 2021. "Determinacy without the Taylor Principle," NBER Working Papers 28881, National Bureau of Economic Research, Inc.
  91. Barrell, Ray & Caporale, Guglielmo Maria & Hall, Stephen & Garratt, Anthony, 1997. "Learning about monetary union: An analysis of bounded rational learning in European labor markets," Journal of Policy Modeling, Elsevier, vol. 19(5), pages 469-489, October.
  92. Seong-Hoon Kim, 2012. "Sequential Action and Beliefs Under Partially Observable DSGE Environments," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 219-244, October.
  93. Huo, Zhen & Pedroni, Marcelo, 2023. "Dynamic information aggregation: Learning from the past," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 107-124.
  94. Benhima, Kenza, 2019. "Booms and busts with dispersed information," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 32-47.
  95. Harrison, Richard & Taylor, Tim, 2012. "Non-rational expectations and the transmission mechanism," Bank of England working papers 448, Bank of England.
  96. Heijmans, Roweno J.R.K. & Gerlagh, Reyer, 2019. "Regulating Global Externalities," Other publications TiSEM 9a0a6f7a-f8d0-4495-8aed-4, Tilburg University, School of Economics and Management.
  97. Reed, Albert J., 1992. "A Framework for Examining Direct Foreign Investment in the Processed Food Industry," Occasional Papers 233082, Regional Research Project NC-194: Organization and Performance of World Food Systems.
  98. Venky Venkateswaran, 2011. "Heterogeneous Information and Labor Market Fluctuations," 2011 Meeting Papers 1292, Society for Economic Dynamics.
  99. Rondina, Giacomo & Walker, Todd B., 2013. "A note on Futia (1981)’s non-existence pathology of rational expectations equilibria," Economics Letters, Elsevier, vol. 120(2), pages 177-180.
  100. Hsu, Bo-Xiang & Chen, Yi-Min, 2024. "Does corporate social responsibility influence performance persistence? A signal extraction approach with evidence from Fortune 500 companies," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
  101. Weinstein, Jonathan & Yildiz, Muhamet, 2007. "Impact of higher-order uncertainty," Games and Economic Behavior, Elsevier, vol. 60(1), pages 200-212, July.
  102. Carlos Capistrán & Allan Timmermann, 2009. "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2‐3), pages 365-396, March.
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  111. Leonardo Melosi, 2017. "Signalling Effects of Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(2), pages 853-884.
  112. Angeletos, George-Marios & La’O, Jennifer, 2009. "Incomplete information, higher-order beliefs and price inertia," Journal of Monetary Economics, Elsevier, vol. 56(S), pages 19-37.
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  131. Kristoffer Nimark, 2009. "Speculative dynamics in the term structure of interest rates," Economics Working Papers 1194, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2012.
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  146. Nimark, Kristoffer P., 2003. "Indicator Accuracy and Monetary Policy: Is Ignorance Bliss?," Working Paper Series 157, Sveriges Riksbank (Central Bank of Sweden).
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  152. Ui, Takashi & 宇井, 貴志, 2019. "The Lucas Imperfect Information Model with Imperfect Common Knowledge," Discussion Papers 2019-04, Graduate School of Economics, Hitotsubashi University.
  153. Pierre L. Siklos, 2016. "Forecast Disagreement and the Inflation Outlook: New International Evidence," IMES Discussion Paper Series 16-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
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