Measuring Under- and Overreaction in Expectation Formation
开发了一个框架，通过预测误差的脉冲响应函数来识别预期形成中的反应不足与过度反应，并应用于通胀预期，发现预测者对总体冲击反应不足但对个体冲击过度反应。
Abstract We develop a framework for measuring under- and overreaction in expectation formation. The basic insight is that under- and overreaction to new information is identified (up to sign) by the impulse response function of forecast errors. Our measurement procedure yields estimates of under- and overreaction to different shocks at various horizons. In an application to inflation expectations, we find that forecasters underreact to aggregate shocks but overreact to idiosyncratic shocks. We illustrate how our approach can be used to (i) quantify the importance of different biases, (ii) estimate theoretical models, and (iii) shed light on existing empirical approaches and puzzles.