Thomas Lustenberger

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

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Recent Paper

The Social Value of Information: A Test of a Beauty and Non-Beauty Contest

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Curriculum Vitae

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Research


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)

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.
The second part of the paper discusses and examines the cross-country relationships between measures of forecast uncertainty, the dispersion of forecasts across individual forecasters and the variabilities of short-term interest rates and of long-term bonds. The main findings are the following: (i) Forecast uncertainty and dispersion are positively and significantly related across countries for both rates and yields. (ii) A similar positive, albeit somewhat weaker, association is found between uncertainty and variability. (iii) The dispersion of short-term interest rate forecasts and the variability of those rates are also positively associated. The paper also documents 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.

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

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 period 1790 to 2017. The results show that statistical tests give little to support the hypothesis of significant permanent growth rate changes (univariate methods). Permanent shifts in the output level have been rather small in the post-war period (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).

Data

This data set contains meta data for speeches from the BIS "Central Bankers' Speeches" database. Meta data include the exact date of the speech and the central bank that spoke. The data set is updated to September 2017.

Cirrculum Vitae

Education

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.
June 2016 Barcelona CREI Macroeconomics Summer School. Barcelona Graduate School of Economics, Universitat Pompeu Fabra, Spain.
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).

Professional Experience

September 2013 to present Economist, Swiss National Bank, Zurich.
June 2010 to August 2013 Staff member, PPCmetrics AG, Zurich, an investment consulting company.

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) unibas.ch

Cyril Monnet

Professor of Economics

University of Bern

Department of Economics

Schanzeneckstrasse 1

CH-3001 Bern

+41 31 631 47 47

cyril.monnet (at) gmail.com

Alex Cukierman

Professor of Economics

Interdisciplinary Center Herzlyia and Tel-Aviv University (emeritus)

Israel

+972-3-5405360

alexcuk (at) post.tau.ac.il

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) snb.ch

Contact

University of Basel

Faculty of Business and Economics

Peter Merian-Weg 6

4002 Basel

Switzerland

thomas.lustenberger (at) unibas.ch

Swiss National Bank

Börsenstrasse 15

8022 Zurich

Switzerland

+41 58 631 00 00

thomas.lustenberger (at) snb.ch