Dynamic information aggregation: Learning from the past

• 成果类型: Article
• 署名作者: Huo, Zhen; Pedroni, Marcelo
• 署名单位: Yale University; University of Amsterdam
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.02.003
• 发表日期: 2023
• 页码: 107-124
• 关键词: Information aggregation; Dispersed information; monetary policy

摘要

With dispersed information, how much can agents learn from past endogenous aggregates such as prices or output? In a rational-expectations equilibrium, if general equilibrium effects are strong enough, aggregates no longer perfectly reveal underlying fundamen-tals. In this confounding regime, the effects of informational frictions are persistent over time, and the aggregate outcome displays an initial under-reaction followed by a delayed over-reaction relative to its perfect-information counterpart. In a standard New Keynesian model, we show that endogenous information aggregation helps bring the model predic-tions on aggregate forecasts closer to the data.(c) 2023 Elsevier B.V. All rights reserved.