Uncertainty, imperfect information, and expectation formation over the firm's life cycle

• 成果类型: Article
• 署名作者: Chen, Cheng; Senga, Tatsuro; Sun, Chang; Zhang, Hongyong
• 署名单位: Clemson University; University of London; Queen Mary University London; Keio University; University of Hong Kong
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.08.001
• 发表日期: 2023
• 页码: 60-77
• 关键词: Firm expectations; Forecast errors; learning; Life cycles; PRODUCTIVITY

摘要

Using a long panel data set on Japanese firms, we find that firms make more precise forecasts and less autocorrelated forecast errors as they gain more experience. Then, we build a firm dynamics model where firms gradually learn about their demand by using a noisy signal. Using expectations data over time, we cleanly isolate the learning mechanism from other mechanisms and find that it accounts for 20%-40% of the overall decline in forecast errors over the life cycle. Productivity gains from removing information frictions range from 3% to 12%, with firm entry and exit playing prominent roles.