Expectation Formation Following Large, Unexpected Shocks

• 成果类型: Article
• 署名作者: Baker, Scott R.; McElroy, Tucker S.; Sheng, Xuguang S.
• 署名单位: Northwestern University; American University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00826
• 发表日期: 2020-05
• 页码: 287-303
• 关键词: sticky information; vector autoregressions; DISAGREEMENT; uncertainty; prices

摘要

By matching a large database of individual macroforecaster data with the universe of sizable natural disasters across 54 countries, we identify a set of new stylized facts: forecasters are persistently heterogeneous in how often they issue or revise a forecast; information rigidity declines significantly following large, unexpected natural disaster shocks; and disagreement decreases among inattentive agents while it might increase for attentive ones. We develop a learning model that captures the two channels through which natural disaster shocks affect expectation formation: attention effect-the visibly large shocks induce immediate and synchronized updating of information for inattentive agents-and uncertainty effect-attentive agents might increase their acquisition of private information to compensate for the higher uncertainty after shocks.