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Essays on Empirical Macroeconomics and Expectations.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Empirical Macroeconomics and Expectations./
Author:	Arteaga, Mardoqueo.
Description:	1 online resource (142 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-11, Section: B.
Contained By:	Dissertations Abstracts International84-11B.
Subject:	Statistics. -
Online resource:	click for full text (PQDT)
ISBN:	9798379548179

Essays on Empirical Macroeconomics and Expectations.
Arteaga, Mardoqueo.

Essays on Empirical Macroeconomics and Expectations. - 1 online resource (142 pages)

Source: Dissertations Abstracts International, Volume: 84-11, Section: B.

Thesis (Ph.D.)--Fordham University, 2023.

Includes bibliographical references

This dissertation examines expectations and beliefs in macroeconomic topics through three interconnected studies. First, I analyze the effects of monetary policy announcements on household expectations between 2013 and 2021 using an event study and local projections. I find that the absence of tightening announcements decreases expectations of one-year ahead interest rates by 3.1%, while tightening announcements increase one-year inflation expectations by up to 3.6% and decrease one-year ahead home price growth expectations by 2.0%. Second, I explore the interplay between errors in credit spread expectations and macroeconomic indicators from 1948 to 2022. Using textual analysis on Wall Street Journal front pages, I fill in credit spread expectations and find that one-standard deviation jumps in their forecast errors are associated with declines in economic activity by up to a 3% decline in GDP growth during the sample period. Last, I analyze heterogeneity in categorical expectations data from the Survey of Consumer Expectations through a hierarchical Bayesian latent class model. I identify three belief types and demonstrate their economic significance through co-movements with widely used indices of sentiment and explanatory power for inflation expectations. Taken together, these studies emphasize the importance of effective central bank communication, sentiment in credit markets, and the diversity of household beliefs in understanding and predicting macroeconomic phenomena.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379548179Subjects--Topical Terms:

556824
Statistics.
Subjects--Index Terms:

Credit spreadIndex Terms--Genre/Form:

554714
Electronic books.

Essays on Empirical Macroeconomics and Expectations.
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500 $a Source: Dissertations Abstracts International, Volume: 84-11, Section: B.
500 $a Advisor: Sinha, Arunima.
502 $a Thesis (Ph.D.)--Fordham University, 2023.
504 $a Includes bibliographical references
520 $a This dissertation examines expectations and beliefs in macroeconomic topics through three interconnected studies. First, I analyze the effects of monetary policy announcements on household expectations between 2013 and 2021 using an event study and local projections. I find that the absence of tightening announcements decreases expectations of one-year ahead interest rates by 3.1%, while tightening announcements increase one-year inflation expectations by up to 3.6% and decrease one-year ahead home price growth expectations by 2.0%. Second, I explore the interplay between errors in credit spread expectations and macroeconomic indicators from 1948 to 2022. Using textual analysis on Wall Street Journal front pages, I fill in credit spread expectations and find that one-standard deviation jumps in their forecast errors are associated with declines in economic activity by up to a 3% decline in GDP growth during the sample period. Last, I analyze heterogeneity in categorical expectations data from the Survey of Consumer Expectations through a hierarchical Bayesian latent class model. I identify three belief types and demonstrate their economic significance through co-movements with widely used indices of sentiment and explanatory power for inflation expectations. Taken together, these studies emphasize the importance of effective central bank communication, sentiment in credit markets, and the diversity of household beliefs in understanding and predicting macroeconomic phenomena.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
653 $a Credit spread
653 $a Household expectations
653 $a Latent dirichlet analysis
653 $a Machine learning
653 $a Monetary policy communication
653 $a Survey data
655 7 $a Electronic books. $2 local $3 554714
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690 $a 0508
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710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Fordham University. $b Economics. $3 1183460
773 0 $t Dissertations Abstracts International $g 84-11B.
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