Rational inattention in the frequency domain ?

• 成果类型: Article
• 署名作者: Jurado, Kyle
• 署名单位: Duke University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2022.105604
• 发表日期: 2023
• 关键词: rational inattention; Spectral Analysis; Foresight

摘要

This paper solves a dynamic rational inattention problem by formulating it in the frequency domain. The main result is a rational inattention version of the classical Wiener-Kolmogorov filter. This filter permits an infinite-dimensional state vector, provides a new line of attack for obtaining closed-form solutions, and can be implemented numerically using a simple iterative algorithm. The frequency-domain approach also sheds new light on why rational inattention produces forward-looking behavior: inattentive agents are willing to accept more uncertainty about the timing of disturbances in exchange for less uncertainty about fluctuations at the most important frequencies.(c) 2023 Elsevier Inc. All rights reserved.