Belief Foundations and Waves of Optimism and Pessimism: Response to Historical Trends, Disaster Risk and Personal Experiences

预期在不确定性条件下的经济决策中起着关键作用。关于最近金融危机的原因和后果的学术文献非常重视预期的形成，特别是乐观主义和悲观主义浪潮背后的力量。后者确实可能是资产价格繁荣和萧条背后的关键因素，也可能是过度杠杆化背后的关键因素，而过度杠杆化通常发生在金融危机之前，并可能在决定经济复苏的速度和程度方面发挥关键作用。同样，对就业前景的预期可能会因严重衰退等重大意外冲击而发生变化，例如减少劳动力参与，这反过来会影响劳动力市场的长期均衡。各国和各地区对总体结果的预期差异很大，即使是那些经历类似经济政策的国家和地区也是如此，从而可能影响其增长路径。因此，研究预期的形成过程，对于了解危机的发生，更一般地说，对于了解经济体如何长期应对巨大的意外冲击，似乎至关重要。该项目有两个目标，这两个目标都需要数据收集工作，旨在分别研究劳动力和金融市场预期的演变。第一个项目将利用来自丹麦的雇主-雇员配对数据，研究劳动力市场业绩预期与个人经历之间的联系，如裁员或家庭中缺乏职业发展。这些经历可能会影响个人对失业概率的感知或对职业发展的预期，从而影响他们的劳动力参与决策或对人力资本的投资。第二个项目估计对一系列广泛的金融变量（如房屋或资产估值和利率）的行为的预期与灾害风险之间的联系。在这种情况下，我们将使用来自意大利的调查数据，其地质使该国容易发生频繁，意外和不可保险的自然灾害，如地震。这两个项目都将使我们能够测试一个人的个人或历史经历中的重大事件是否会影响预期，更具体地说，在什么条件下可能会激活乐观和悲观情绪。最后，我们将根据我们计划为我们的研究构建的新数据集得出的经验证据，开发一个预期形成的理论模型。具体来说，我们将考虑两个关于预期形成的假设。在第一个假设下，乐观和悲观情绪的波动被看作是代理人在模糊厌恶或模糊寻求下的最大化行为的结果。在第二个假设下，由于代理人之间的战略互动，由于高阶预期，预期从乐观到悲观。

Expectations play a key role in economic decision making under uncertainty. The academic literature on the causes and consequences of the recent financial crises has put much emphasis on expectation formation and in particular on the forces behind waves of optimism and pessimism. The latter indeed can be a key element behind the boom and bust in asset prices, or behind the excessive leverage, which typically takes place prior to a financial crisis, and can play a crucial role in determining how fast and to what extent the economy recovers. Equally, expectations about employment prospects can change in response to large unexpected shocks, such as deep recessions, for example, by reducing labor force participation, which can in turn affect the long run equilibrium in the labor market. Expectations about aggregate outcomes vary significantly across countries and regions, even those experiencing similar economic policies, and thereby can affect their growth paths. Studying the expectation formation process seems therefore of primary importance to gain an understanding of the occurrence of crises and more in general of how economies respond in the long run to large unexpected shocks. This project has two goals, which both require a data collection effort aimed at studying the evolution of expectations on labor and financial markets, respectively. The first project will make use of employer-employee matched data from Denmark to examine the link between expectations of labor market performance to personal experiences, such as lay-offs or lack of career advancement in the family. Such experiences may influence individuals’ perceived probability of unemployment or expectations of career advancement, which may affect their labor force participation decisions or their investment in human capital. The second project estimates the link between expectations on the behavior of a broad set of financial variables (such as house or asset valuations and interest rates) and disaster risk. In this case we will use survey data from Italy, whose geology makes the country prone to frequent, unexpected and uninsurable natural disasters, like earthquakes. Both projects will allow us to test whether major event in an individual’s personal or historical experiences affect expectations, and more specifically, under what conditions waves of optimism and pessimism may be activated. Finally, we will develop a theoretical model of expectation formation based on the empirical evidence drawn from the new data sets we plan to construct for our studies. Specifically, we will consider two hypotheses about expectation formation. Under the first hypothesis, waves of optimism and pessimism are seen as the outcome of agents’ maximizing behavior under ambiguity aversion or ambiguity seeking. Under the second hypothesis, expectations change from optimism to pessimism because of strategic interaction among agents, due to higher order expectations.