Cyclicality of uncertainty and disagreement

• 成果类型: Article
• 署名作者: Zohar, Osnat
• 署名单位: Bank of Israel
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.12.002
• 发表日期: 2024
• 关键词: Endogenous learning; business cycles; private information

摘要

The empirical literature often uses disagreement (dispersion in forecasts) as a proxy for uncertainty, yet disagreement and uncertainty behave differently throughout the business cycle. The difference is especially salient in non-crisis periods, in which measures of disagreement are positively correlated with growth, while measures of uncertainty are negatively correlated with it. I explain this finding using a noisy information model with endogenous learning. In the model, agents observe noisy private information, but only when they are active. Holding uncertainty fixed, a rise in activity introduces noisy information to the market, and agents' beliefs diverge, i.e., disagreement rises.