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Working Paper
Time-varying Persistence of House Price Growth: The Role of Expectations and Credit Supply
Chudik, Alexander; Smallwood, Aaron; Choi, Chi-Young (2024-05-15)
High persistence is a prominent feature of price movements in U.S. housing markets, i.e., house prices grow faster this period if they grew faster last period. This paper provides two additional new insights to the literature on U.S. house price movements. First, there exists a significant time variation in the persistence of house price growth, both at the national and city level. Second, there is considerable heterogeneity in the time-varying persistence across different regions, particularly in areas that were historically less persistent, such as the capital-poor regions in the Midwest ...
Globalization Institute Working Papers , Paper 426

Discussion Paper
Coronavirus Outbreak Sends Consumer Expectations Plummeting
Armantier, Olivier; Koşar, Gizem; Topa, Giorgio; Skandalis, Daphne; Smith, Kyle; Van der Klaauw, Wilbert; Pomerantz, Rachel (2020-04-06)
The New York Fed’s Center for Microeconomic Data released results today from its March 2020 Survey of Consumer Expectations (SCE), which provides information on consumers' economic expectations and behavior. In particular, the survey covers respondents’ views on how income, spending, inflation, credit access, and housing and labor market conditions will evolve over time. The March survey, which was fielded between March 2 and 31, records a substantial deterioration in financial and economic expectations, including sharp declines in household income and spending growth expectations. As ...
Liberty Street Economics , Paper 20200406b

Working Paper
The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23
Kilian, Lutz; Zhou, Xiaoqing (2021-11-19)
Predictions of oil prices reaching $100 per barrel during the winter of 2021/22 have raised fears of persistently high inflation and rising inflation expectations for years to come. We show that these concerns have been overstated. A $100 oil scenario of the type discussed by many observers, would only briefly raise monthly headline inflation, before fading rather quickly. However, the short-run effects on headline inflation would be sizable. For example, on a year-over-year basis, headline PCE inflation would increase by 1.8 percentage points at the end of 2021 under this scenario, but only ...
Working Papers , Paper 2116

Working Paper
Lock-in of Extrapolative Expectations in an Asset Pricing Model
Lansing, Kevin J. (2005-10-01)
This paper examines an agent’s choice of forecast method within a standard asset pricing model. To make a conditional forecast, a representative agent may choose one of the following: (1) a rational (or fundamentals-based) forecast that employs knowledge of the stochastic process governing dividends, (2) a constant forecast based on a simple long-run average of the forecast variable, or (3) a time-varying forecast that extrapolates from the last observation of the forecast variable. I show that a representative agent who is concerned about minimizing forecast errors may inadvertently become ...
Working Paper Series , Paper 2004-06

Working Paper
Evaluating Macroeconomic Outcomes Under Asymmetries: Expectations Matter
Bundick, Brent; Cairó, Isabel; Petrosky-Nadeau, Nicolas (2025-09-05)
Asymmetries play an important role in many macroeconomic models. We show that assumptions on household and firm expectations play a key role in determining the effects of these asymmetries on macroeconomic outcomes. If households and firms have perfect foresight and hence do not account for the possibility of future shocks, then the implied longer-run averages and distributions for unemployment and inflation can differ significantly from their rational expectations counterparts. We first derive this result analytically under either an asymmetric monetary policy rule or a nonlinear Phillips ...
Working Paper Series , Paper 2025-17

Working Paper
Inflation Factors
Leiva-León, Danilo; Sheremirov, Viacheslav; Tang, Jenny; Zakrajšek, Egon (2025-08-01)
This paper develops an econometric framework for identifying latent factors that provide real time estimates of supply and demand conditions shaping goods- and services-related price pressures in the U.S. economy. The factors are estimated using category-specific personal consumption expenditures (PCE) data on prices and quantities, using a sign-restricted dynamic factor model that imposes theoretical predictions of the effects of fluctuations in supply and demand on prices and associated quantities through factor loadings. The resulting estimates are used to decompose total PCE inflation ...
Working Papers , Paper 25-5

Working Paper
Asset Prices and Credit with Diagnostic Expectations
Cloyne, James; Jordà, Òscar; Singh, Sanjay R.; Taylor, Alan M. (2025-08-22)
Using long-run cross-country panel data, we document that (i) contemporaneous credit growth strongly predicts contemporaneous equity returns with positive sign, and (ii) lagged credit growth strongly predicts contemporaneous equity returns with negative sign. This correlation reversal is robust to added controls for contemporaneous and lagged consumption growth and these credit factors have greater explanatory power than the consumption factors. We find that a general equilibrium model with financial frictions and rational expectations fails to match the empirically estimated sign on ...
Working Paper Series , Paper 2025-15

Working Paper
Indirect Consumer Inflation Expectations: Theory and Evidence
Hajdini, Ina; Knotek, Edward S.; Leer, John; Pedemonte, Mathieu; Rich, Robert W.; Schoenle, Raphael (2022-11-22)
Based on indirect utility theory, we introduce a novel methodology of measuring inflation expectations indirectly. This methodology starts at the individual level, asking consumers about the change in income required to buy the same amounts of goods and services one year ahead. Analytically, our methodology possesses smaller ex-post aggregate inflation forecast errors relative to forecasts based on conventional survey questions. We ask this question in a large-scale, high-frequency survey of consumers in the US and 14 countries, and we show that indirect consumer inflation expectations ...
Working Papers , Paper 22-35

Report
An overview of the Survey of Consumer Expectations
Armantier, Olivier; Zafar, Basit; Topa, Giorgio; Van der Klaauw, Wilbert (2016-11-17)
This report presents an overview of the Survey of Consumer Expectations, a new monthly online survey of a rotating panel of household heads. The survey collects timely information on consumers? expectations and decisions on a broad variety of topics, including but not limited to inflation, household finance, the labor market, and the housing market. There are three main goals of the survey: (1) measuring consumer expectations at a high frequency, (2) understanding how these expectations are formed, and (3) investigating the link between expectations and behavior. This report discusses the ...
Staff Reports , Paper 800

Working Paper
The Economic Effects of Firm-Level Uncertainty: Evidence Using Subjective Expectations
Fiori, Giuseppe; Scoccianti, Filippo (2021-06-28)
This paper uses over two decades of Italian survey data on business managers' expectations to measure subjective firm-level uncertainty and quantify its economic effects. We document that firm-level uncertainty persists for a few years and varies across firms' demographic characteristics. Uncertainty induces long-lasting economic effects over a broad array of real and financial variables. The source of uncertainty matters with firms responding only to downside uncertainty, that is, uncertainty about future adverse outcomes. Economy-wide uncertainty, constructed aggregating firm-level ...
International Finance Discussion Papers , Paper 1320

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