Research interests:

Expectations Formation, Forecasting, Uncertainty, Housing Markets, Survey Data. 

Currently ongoing work

- Optimal forecast combination under asymmetric loss (with C. Conrad).

In this paper, we show that the consensus forecast can be biased if some forecasts minimize an asymmetric loss function and the DGP features conditional heteroscedasticity. This result still holds if cross sectional heterogeneity in the loss function is allowed for, including the case where a share of the cross section of forecasts is produced under a symmetric (squared) loss objective. In this setting, the time-varying bias depends on the variance of the process. As a consequence, the information from the ex-ante variation of forecasts can be used to improve the predictive accuracy of the combined forecast. We consider two widely employed measures for the ex-ante forecast variance, namely the average over the variances of individual cross sectional units on the one hand and the cross sectional dispersion of point forecasts (``disagreement'') on the other hand. Both statistics are shown to be informative. The average individual variance provides the largest predictive content. Forecast survey data from the Euro area and the U.S. confirm the implications of the theoretical model.

-  Survey-based elicitation of higher-order house price expectations and signal processing of German consumers.

-  Households' probabilistic sophistication - Evidence from a large-scale randomized information treatment experiment. 

(with J.-O. Menz).

Selected publications

- Uncertainty measures from partially rounded probabilistic forecast surveys. (with A. Glas), 

Quantitative Economics (2022), 979-1022. (link) (GitHub link to replication package)

- On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies.

  (with C. Conrad), European Journal of Political Economy (2019), 233-250. (link)  

- A comparative assessment of alternative ex ante measures of inflation uncertainty.

  (with H. Herwartz and M. Ulm), International Journal of Forecasting, (2017), 76-89. (link)

- Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters.

  (with A. Glas), forthcoming Journal of Empirical Finance. (link)

- Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages.

  (with J. Roestel), Journal of International Money and Finance 37 (2013), 98–112. (link)

- Causal relations between inflation and inflation uncertainty - Cross section evidence in favour 

of the Friedman-Ball hypothesis. (with H. Herwartz), Economics Letters 115 (2012), 144–147. (link)

Policy - related publications

- Inflation expectations and their role in Eurosystem forecasting. (with members of the Eurosystem’s Expert Group on Inflation Expectations), ECB Occasional Paper 2021/264. (link)

- Exchange rate pass-through in the euro area and EU countries. (with members of the Eurosystem’s Expert Group on Exchange Rate Pass-Through), ECB Occasional Paper 2020/241. (link)