Pessimism, Disagreement, and Economic Fluctuations

• 成果类型: Article
• 署名作者: Pei, Guangyu
• 署名单位: Chinese University of Hong Kong
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvad055
• 发表日期: 2023
• 页码: 1177-1227
• 关键词: social value; ambiguity aversion; nominal rigidities; aggregate demand; MODEL; INFORMATION; news; misspecification

摘要

The pessimistic bias and the cross-sectional dispersion of households' subjective beliefs heighten during recessions. We provide empirical evidence for a dominant non-inflationary aggregate demand shock that accounts for the bulk of business-cycle fluctuations not only in real quantities but also in (1) pessimism-to what degree households are more pessimistic than the rational expectation benchmark and (2) disagreement-the cross-sectional dispersion of households' beliefs. To rationalize the empirical findings, this paper develops a theory of ambiguity-driven business cycles, where the Bayesian formulation of the ambiguity shock can generate positive co-movements across real quantities together with counter-cyclical pessimism and disagreement within the real business-cycle framework. Our theory reproduces the salient features of the business cycles extended with survey data on households' expectations. Quantitatively, the ambiguity shock alone accounts for a significant fraction of the business-cycle fluctuations in pessimism, disagreement, and real quantities.