Tracking Inattention

• 成果类型: Article
• 署名作者: Goldstein, Nathan
• 署名单位: Bar Ilan University
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvad022
• 发表日期: 2023
• 页码: 2682-2725
• 关键词: inflation-expectations; macroeconomic expectations; sticky prices; INFORMATION; DISAGREEMENT; persistence; US

摘要

This study proposes a real-time estimate of inattention, based on micro-level data. I show that a simple specification that estimates the persistence of a forecaster's deviation from the mean provides a direct estimate of parameters of information frictions according to prominent models of expectations. The new estimate can also be interpreted as a hybrid measure of both information frictions and behavioral frictions. Using the new specification, I revise several key findings documented in the previous literature. I find higher levels of inattention and document new forms of variations over time and across variables, horizons, individuals, and types of agents. I also report new results from long-run forecasts and document an unprecedented response to COVID-19.