Do Expectations Matter? The Great Moderation Revisited

• 成果类型: Article
• 署名作者: Canova, Fabio; Gambetti, Luca
• 署名单位: Pompeu Fabra University; Autonomous University of Barcelona
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.2.3.183
• 发表日期: 2010
• 页码: 183-205
• 关键词: monetary-policy rules; macroeconomic stability; structural dynamics; US; inflation; output; explains

摘要

We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and bond markets. Expectations explain the dynamics of inflation and interest rates but their importance is roughly unchanged over time. Systems with and without expectations display similar reduced form characteristics. Results are robust to changes in the structure of the empirical model. (JEL E23, E24, E31, E32)