Imperfect information and the business cycle

• 成果类型: Article; Proceedings Paper
• 署名作者: Collard, Fabrice; Dellas, Harris; Smets, Frank
• 署名单位: University of Bern; University of Adelaide; European Central Bank; Ghent University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.06.011
• 发表日期: 2009
• 页码: S38-S56
• 关键词: New Keynesian model; imperfect information; Signal extraction; Bayesian estimation

摘要

Imperfect information has played a prominent role in modern business cycle theory. This paper assesses its importance by estimating the new Keynesian (NK) model under alternative informational assumptions. One Version focuses on confusion between temporary and persistent disturbances. Another, on unobserved variation in the inflation target of the Central Bank. A third on persistent mis-perceptions of the state of the economy (measurement error). And a fourth assumes perfect information (the standard NK-DSGE version). Imperfect information is found to contain considerable explanatory power for business fluctuations. Signal extraction seems to provide a conceptually satisfactory, empirically plausible and quantitatively important business cycle mechanism. (C) 2009 Elsevier B.V. All rights reserved.