期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：In this paper we discuss the role of the cross-sectional heterogeneity of beliefs in the context of understanding and assessing macroeconomic vulnerability. Em- phasis lies on the potential of changing levels of disagreement in expectations to in
uence the propensity of the economy to switch between di erent regimes, a hypothesis that nds robust empirical support from a regime-switching model with endogenous transition probabilities for output growth and realized stock market volatility in the US.
关键词：Heterogeneous beliefs; business cycles; regime-switching; forecast-;ing; endogenous transition probabilities
