Expectation Shocks and Learning as Drivers of the Business Cycle

• 成果类型: Article
• 署名作者: Milani, Fabio
• 署名单位: University of California System; University of California Irvine
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2011.02422.x
• 发表日期: 2011
• 页码: 379-401
• 关键词: monetary-policy; indeterminacy; rules; news

摘要

Psychological factors, market sentiments and less-than-fully-rational shifts in beliefs are widely believed to play a role in the economy. Yet, they are rarely considered in macroeconomic models. This article evaluates the empirical role of expectational shocks on business cycle fluctuations and relaxes the rational expectations assumption to exploit survey data on expectations in the estimation of a New Keynesian model, which allows for learning by economic agents. Expectation shocks affect the formation of expectations and capture waves of optimism and pessimism that lead agents to form forecasts that deviate from those implied by their learning model.