Thomas Lustenberger

My research interests are information economics, particularly expectation formation in monetary economics and macroeconomics.

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Recent Paper

The permanent-transitory confusion: Implications for tests of market efficiency and for expected inflation during turbulent and tranquil times (joint with Alex Cukierman and Allan H. Meltzer. Media coverage by VOXEU.)

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Curriculum Vitae

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CEPR Discussion Paper DP13187 (paper version September 2018)

Abstract: Even when all past and present information is known individuals usually remain uncertain about the permanence of observed variables. After reviewing the history and role of adaptive expectations and its statistical foundations in modeling this permanent-transitory confusion the paper investigates the consequences of this confusion for tests of market efficiency in the treasury bill and foreign exchange markets. A central result is that the detection of serial correlation in efficiency tests based on finite samples does not necessarily imply that markets are inefficient. The second part of the paper utilizes data on Israeli inflation expectations from the capital market to estimate the implicit speed of learning about changes in inflation and to examine the performance of adaptive expectations in tracking the evolution of those expectations during the 1985 Israeli shock stabilization as well as during the stable inflation targeting period.

Media coverage of this paper:

WWZ Working Paper 2018-05 (paper version January 2018)
SNB Working Paper 2017-17 (paper version November 2017)

Abstract: We demonstrate how precision of public and private information in an economy can be measured. We develop and apply a procedure to test the welfare implications of a beauty and non-beauty contest based on survey forecasts of interest rates and yields in a large country sample over an extended period of time. In most countries, interest rate forecasts are unbiased and consistent with both models, but are rarely supported by yield forecasts. In half of the countries, a higher precision of public information regarding interest rates increases welfare. During forward guidance, public information is less precise than private information.

Media coverage of this paper:

CEPR Discussion Paper DP12489 (paper version December 2017)
SNB Working Paper 2018-10 (paper version May 2018)

Prepared for the 4th Thomas Guggenheim Conference on "Expectations: Theory and Applications in Historical Perspective", at Ben-Gurion University of the Negev, December 2017.

Abstract: This paper develops a model of honest rational professional forecasters with different abilities and submits it to empirical verification using data on 3- and 12-months ahead forecasts of short-term interest rates and of long-term bond yields for up to 33 countries collected by Consensus Economics. The main finding is that in many countries, less-precise forecasters weigh public information more heavily than more-precise forecasters who weigh their own private information relatively more heavily. One implication of this result is that less-precise forecasters herd after more-precise forecasters even in the absence of strategic considerations. We also document differences between the average forecasting errors of more- and less-able forecasters as well as substantial correlations between the forecast errors of different forecasters.

WWZ Working Paper 2018-06 (paper version January 2018)
SNB Working Paper 2017-12 (paper version October 2017)

Abstract: In a large sample of countries across different geographic regions and over a long period of time, we find limited country- and variable-specific effects of central bank transparency on forecast accuracy and their dispersion among a large set of professional forecasts of financial and macroeconomic variables. More communication even increases forecast errors and dispersion.

Media coverage of this paper:

The data set for our communication measure is available upon request, see section Data.

SNB Working Paper 2018-14 (paper version November 2018)

Abstract: In this paper, I derive and apply three univariate methods and one bivariate method to estimate permanent and transitory components of the American output growth path during the 1790 to 2017 period. The results show that statistical tests give little support to the hypothesis of significant permanent growth rate changes (univariate methods). The "special century" (1870-1970, as defined by Gordon (2016)) exhibited more volatile permanent shifts in the output level compared to recent decades (bivariate method).

This is my Master Thesis. It received the Junior Research Award in Economics 2014 sponsored by Private Bankers of Basel, 3rd Prize (Nachwuchsförderpreis “Wirtschaft” der Basler Privatbanken 2014).


This data set contains metadata for speeches from the BIS "Central Bankers' Speeches" database. Metadata include the exact date of the speech and the central bank that spoke. The data set is updated to June 2018.

Cirrculum Vitae


April 2018 Ph.D. in Economics. University of Basel, Switzerland.
Dissertation title: Four Essays on Expectation Formation in Monetary Economics and Macroeconomics.
Main Advisor: Heinz Zimmermann (University of Basel).
February 2017 Visiting Ph.D. Candidate. Interdisciplinary Center Herzliya, Israel.
January 2016 Swiss Program for Beginning Doctoral Students in Economics (full program). Study Center Gerzensee, Switzerland.
October 2013 MSc in International and Monetary Economics. University of Bern and University of Basel, Switzerland.
October 2011 BSc in Economics. University of Bern, Switzerland.

Academic Honors and Grants

October 2016 Werenfels-Fonds, Basel.
April 2014 Junior Research Award in Economics 2014 sponsored by Private Bankers of Basel, 3rd Prize (Nachwuchsfoerderpreis “Wirtschaft” der Basler Privatbanken 2014).

Advanced training

August 2018 Central Banker’s Courses 2018: “Advanced Topics in Monetary Economics”. Study Center Gerzensee, Switzerland.
June 2016 Barcelona CREI Macroeconomics Summer School. Barcelona Graduate School of Economics, Universitat Pompeu Fabra, Spain.
American Political Science Review; International Journal of Central Banking; Journal of Money, Credit and Banking; SNB internal papers.

Invited conferences

2018 Bank of Canada Conference on Central Bank Communication, Ottawa (14/09).
2017 4th Thomas Guggenheim Conference on "Expectations: Theory and Applications in Historical Perspective", at the Ben-Gurion University of the Negev, Israel (18/12).

Conferences and workshops

2018 25th Annual Conference of the Multinational Finance Society in Budapest (Presenter and Discussant, 25/06); 2018 Annual Meeting of the Swiss Society of Economics and Statistics SSES at the University of St. Gallen (Presenter, poster and parallel session, 14-15/06); Swiss Finance Institute Research Days 2018 at the Study Center Gerzensee (Presenter, 4/06); SNB Brown Bag Workshop (Presenter, 8/05); EABCN Conference: "Measuring the Effects of Unconventional Monetary Policy in the Data: What Have We Learned?" at the Universitat Pompeu Fabra (Presenter, 27/04); SNB-BIS Workshop at the BIS (Presenter, 22/03); SNB Brown Bag Workshop (Presenter, 20/03); T2M Conference 2018 at the Université Paris Dauphine (Presenter and Discussant, 15/03).
2017 IV Gerzensee Alumni Conference at the Study Center Gerzensee (Presenter, 5/12); BuBa-OeNB-SNB Workshop at the SNB (Presenter, 27/09); Swiss Finance Institute Research Days 2017 at the Study Center Gerzensee (Presenter, 4/06); Brown Bag Seminar at the Study Center Gerzensee (Presenter, 29/05); Economics Lunch at the University of Basel (Presenter, 17/05); SNB Brown Bag Workshop (Presenter, 25/04); Kolloquium at the University of Basel (Presenter, 6/04);
2016 SNB Brown Bag Workshop (Presenter, 20/12); BuBa-OeNB-SNB Workshop at the BuBa (Presenter, 13/10).

Heinz Zimmermann

Professor of Finance

University of Basel

Faculty of Business and Economics

Peter Merian-Weg 6

CH-4002 Basel

+41 61 267 33 16

heinz.zimmermann (at)

Cyril Monnet

Professor of Economics

University of Bern

Department of Economics

Schanzeneckstrasse 1

CH-3001 Bern

+41 31 631 47 47

cyril.monnet (at)

Alex Cukierman

Professor of Economics

Interdisciplinary Center Herzlyia and Tel-Aviv University (emeritus)



alexcuk (at)

Macel Savioz

Head of Research Coordination and Economic Education

Swiss National Bank

Börsenstrasse 15

CH-8022 Zurich

+41 58 631 00 00

marcel.savioz (at)