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

点击翻译按钮获取中文摘要

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.