Overpersistence Bias in Individual Income Expectations and Its Aggregate Implications

• 成果类型: Article
• 署名作者: Rozsypal, Filip; Schlafmann, Kathrin
• 署名单位: Danish Finance Institute; Copenhagen Business School; Centre for Economic Policy Research - UK
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20190056
• 发表日期: 2023
• 页码: 331-371
• 关键词: small-sample degrees; inflation-expectations; consumption dynamics; sticky prices; INFORMATION; MARKET; Heterogeneity; experiences; households; BEHAVIOR

摘要

Using microlevel data, we document systematic forecast errors in household income expectations that are related to the level of income. We show that these errors can be formalized by a modest deviation from rational expectations, where agents overestimate the persistence of their income process. We then investigate the impli-cations of these distortions on consumption and savings behavior and find two effects. First, these distortions allow an otherwise fully optimization-based quantitative model to match the joint distribution of liquid assets and income. Second, the bias alters the distribution of marginal propensities to consume which makes government stimulus policies less effective. (JEL D84, E21, D91, E62, G51)