An Estimated Model of Household Inflation Expectations: Information Frictions and Implications

• 成果类型: Article
• 署名作者: Xie, Shihan
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01318
• 发表日期: 2025-07
• 页码: 1042-1058
• 关键词: rational inattention

摘要

This paper proposes and estimates a dynamic model of household inflation expectations with information frictions and time-varying parameters, where households use a Bayesian learning model to form and update inflation expectations. The model decomposes households' inflation expectation formation process into a learning component, a noisy signal component, and a measurement component. Model-implied household inflation expectations provide a robust fit for the expectation-augmented Phillips curve. As a result of time-varying inflation dynamics, households' attention to inflation is endogenous to its volatility. This insight offers explanations for the anchoring of inflation expectations during the Great Moderation.