Essays on Empirical Macroeconomics and Expectations

Mardoqueo Arteaga, Fordham University


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.

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Recommended Citation

Arteaga, Mardoqueo, "Essays on Empirical Macroeconomics and Expectations" (2023). ETD Collection for Fordham University. AAI30489242.