Expectations as a source of macroeconomic persistence: Evidence from survey expectations in a dynamic macro model

• 成果类型: Article
• 署名作者: Fuhrer, Jeff
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.12.003
• 发表日期: 2017
• 页码: 22-35
• 关键词: persistence; rational expectations; Survey expectations; DSGE models; habit formation; indexation

摘要

Embedding survey expectations in a standard DSGE model helps to identify key slope parameters in standard relationships; dramatically reduces the need for lagged dependent variables, often motivated by price-indexation and habit formation; and obviates the need for autocorrelated structural shocks in the key equations. Formal statistical tests demonstrate that much of the persistence in aggregate data is better accounted for by slow-moving expectations, rather than by habits, indexation and autocorrelated structural shocks. (C) 2017 Elsevier B.V. All rights reserved.