Ambiguity Aversion and Heterogeneity in Households' Beliefs

• 成果类型: Article
• 署名作者: Michelacci, Claudio; Paciello, Luigi
• 署名单位: Centre for Economic Policy Research - UK
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20200141
• 发表日期: 2024
• 页码: 95-126
• 关键词: monetary-policy; models; RISK

摘要

UK households that wish for lower inflation and lower nominal interest rates have higher expected inflation. We interpret the evidence through the lens of a New Keynesian model where ambiguity -averse households differ in wealth , skill , labor market participation , and the receipt of government transfers and are subject to Knightian uncertainty. Households act based on beliefs that are negatively affected by their wishes , the more so the greater the amount of uncertainty. Using indirect inference , we find substantial output costs due to uncertainty. Monetary policy uncertainty contributes little to the costs because households generally dislike monetary expansions. ( JEL D12, D81, D83, E12, E31, E43, E52 )