Pattern-Based Expectations in Macroeconomics

该项目涉及对通货膨胀和收入等宏观经济变量的预期的引发和建模。这些预期在影响宏观经济结果的许多决策中发挥着关键作用。在预期发挥作用的考虑因素中，我们重点关注商品市场和金融市场的定价决策以及消费/储蓄决策。预期通过这些渠道影响商业周期和通货膨胀的进程。因此，预期形成模型是任何宏观经济分析的关键因素，并影响经济政策的制定。过去几十年对预期的研究深受理性预期假说的影响。大量的实证研究（其中大部分是实验性的或基于调查方法的）对这一假设的有效性提出了质疑。本项目追随这项研究的脚步，提出了一个有限理性预期模型。该项目使用认知心理学的概念，并在实验室条件下得出期望数据。这种方法的理论基础是模式识别的概念。基于金融经济学领域的见解，我们向受试者展示了一系列模式，这些模式足以使用实验数据来量化预期模型。因此，在获取数据的过程中，我们发现了对未来一年和五年的通货膨胀和收入的预期。在该研究的各种实验处理中，我们调查了通货膨胀和收入预期之间的差异、短期预期和长期预期之间的联系以及专家预测和央行通胀目标对个人预期的独立作用。然后利用实验数据量化预期的时间序列模型，进而将其应用于研究通胀预期的动态、预期的异质性以及预期的不确定性。然后，这些模型进一步应用于通货膨胀动态、利率过程和消费的研究。

This project is concerned with the elicitation and modeling of expectations concerning macroeconomic variables like inflation and income. These expectations play a key role in many decisions that affect macroeconomic outcomes. Among the considerations where expectations play a role we focus on the pricing decisions on goods markets and financial markets and the consumption/saving decision. Through these channels expectations influence the course of the business cycle and inflation. Models of expectations formation are thus a critical ingredient in any macroeconomic analysis and influence economic policy making. Research on expectations over the past decades has been strongly influenced by the hypothesis of rational expectations. A substantial body of empirical research (much of it experimental in nature or based on survey methods) has questioned the validity of this hypothesis. The present project follows in the footsteps of this research and proposes a model of boundedly rational expectations. The project uses concepts from cognitive psychology and elicits expectations data under laboratory conditions. The theoretical foundation of this approach is the concept of pattern recognition. Building on insights from the field of financial economics we show subjects an array of patterns that is just sufficient to use the experimental data in the quantification of models of expectations. In the process of eliciting data we thus find expectations concerning inflation and income for one and five years into the future. In the various experimental treatments of the study we investigate differences between expectations regarding inflation and income, connections between short- and long-term expectations and the separate role of expert predictions and central banks¿ inflation targets on individuals¿ expectations. The experimental data is then used to quantify time-series models of expectations which are in turn applied to the study the dynamics of inflation expectations, the heterogeneity of expectations as well as expectations uncertainty. These models are then further applied in investigations of inflation dynamics, the course of interest rates, and consumption.