@sydneyludvigson
Julius Silver, Roslyn S. Silver, and Enid Silver Winslow Professor of Economics and Professor of Finance at New York University, Co-Director NBER Asset Pricing Program. Verify me here https://as.nyu.edu/departments/econ/faculty.html
Thank you Deepak for a thoughtful interview on the economic role of data. We covered growth, competition, asset valuation, measurement. #EconTwitter
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Next was an informative discussion with @camelia-kuhnen.bsky.social on the monthly BLS numbers at the Kenan Institute of Private Enterprise www.youtube.com/watch?v=vsUs... (10/13)
Compelling new evidence. In terms of regulatory implications, how to handle moral hazards?
this can lead markets to underreact to the news even when investors overreact to all perceived shocks. Again any comments or reactions/ideas on how to improve this work from behavioral experts would be great.
And in www.sydneyludvigson.com/s/beliefs_ml... (still a work in progress--thanks to @profstefannagel.bsky.social for comments) we find that real-world news events is a mixture of conflicting signals with counteracting market implications
Some findings so far:
From www.sydneyludvigson.com/s/biases_aer... professional forecasters (even more so than households!) place too much weight on the private or judgmental component of their forecasts and too little weight on objective, publicly available economic information.
Since then we have been working to understand how real-world agents form expectations in macro and finance settings using machine learning to find departures from rationality. We welcome comments and ideas on our findings, approach (anything!) as we continue to think about these problems.
"As we address issues of contemporary economic importance, we would do well to acknowledge the enormous complexity of real-world problems economic players face and the possibility that the fully rational outcome is an unattainable theoretical construct... "
We were then pushed by reviewers to show that our equilibrium was characterized by full rationality. This led to a bunch of checks a long discussion and (that got buried in Appendix G) culminating in the caution:
great discussion.
In www.sydneyludvigson.com/s/hwcJPE.pdf
we discuss our approx of the joint distr of individuals w/ asset prices as state variables, since dist matters only insofar as it affects asset prices.
#EconSky
@bengolub.bsky.social @benmoll.bsky.social @aleximas.bsky.social
great discussion.
In www.sydneyludvigson.com/s/hwcJPE.pdf
we discuss our approx of the joint distr of individuals w/ asset prices as state variables, since dist matters only insofar as it affects asset prices.
#EconSky
@bengolub.bsky.social @benmoll.bsky.social @aleximas.bsky.social