This dissertation focuses on learning and expectations formation in Macroeconomics and Finance and the role of information production in shaping macroeconomic fluctuations. The first chapter provides a theory of information production to explain two features of modern business cycles. In my theory information is produced along two dimensions, a pro-cyclical quantitative margin and a counter-cyclical qualitative margin, that generates both slow recoveries and episodes of "rational exuberance" where optimistic booms tend to end in crises. The second chapter provides supporting evidence for the proposed cyclical variation in private information production using term loan data in the United States. Finally, the third chapter documents biases in terms of over-optimism and overconfidence in forecasts of real GDP growth from the survey of professional forecasters in the United States.

This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.

This is a collection of essays on the macroeconomics of information. The first chapter, "The Skill Premium, College Enrollment and Education Signals" explores the quantitative implications of a signaling model of education for the evolution of the skill premium for young workers in the US since the 1970s. I formalize the idea that as college education becomes more affordable for a larger fraction of population, not having a college degree becomes a more precise signal about low ability, increasing the college wage premium. The model, when calibrated, suggests that about 17 percent of the growth in college premium is produced through this signaling channel. In light of the recent financial crisis, in the second essay, I study banks' incentive to produce public information about the return to the loans that they sell to risk-averse investors. Risk-averse banks rely on information production to redistribute risks between themselves and investors. I show that securitization, by eliminating the idiosyncratic component of risk, promises a less risky return, diminishing the marginal benefit of information, hence reducing information production. The third chapter (with Juan Pantano) contributes to the literature of accommodating unobserved heterogeneity in the Hotz-Miller estimation strategies by proposing a new two-step fixed-effect estimation approach. We uncover the type of each observation in the first step by exploiting a consistency requirement of the subjective assessments of a given type reported in subjective expectations data.