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Paul Söderlind
Title
Prof. PhD.
Last Name
Söderlind
First name
Paul
Email
paul.soderlind@unisg.ch
SSRN
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=25146
Now showing
1 - 3 of 3
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PublicationIs there Evidence of Pessimism and Doubt in Subjective Distributions? Implications for the Equity Premium PuzzleAbel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact pessimistic, but show marked overconfidence rather than doubt. However, the implications for Abel's model depend on how the empirically heterogeneous beliefs are mapped into beliefs of a representative agent. We use an Arrow-Debreu economy to show that disagreement increases the equity premium. When incorporating this in our estimation, we find little empirical evidence of either overconfidence or doubt.Type: journal articleJournal: Journal of Economic Dynamics and ControlVolume: 30Issue: 6
Scopus© Citations 35 -
PublicationSolution of Macromodels with Hansen-Sargent Robust Policies: Some ExtensionsWe summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the time inconsistency of optimal monetary policy, the effects of expectations on the variances of inflation and output, and on whether central banks should make their forecasts public.Type: journal articleJournal: Journal of Economic Dynamics and ControlVolume: 28Issue: 12
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PublicationInflation Forecast UncertaintyWe study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their ability to reproduce survey measures of uncertainty. The results show that disagreement is a better proxy of inflation uncertainty than what previous literature has indicated, and that forecasters underestimate inflation uncertainty. We obtain similar results for output growth uncertainty.Type: journal articleJournal: European Economic ReviewVolume: 47Issue: 6
Scopus© Citations 186