Robust Predictions for DSGE Models with Incomplete Informations

• 成果类型: Article
• 署名作者: Chahrour, Ryan; Ulbricht, Robert
• 署名单位: Boston College
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20200053
• 发表日期: 2023
• 页码: 173-208
• 关键词: expectations; demand; uncertainty; selection; cost

摘要

We provide predictions for DSGE models with incomplete informa-tion that are robust across information structures. Our approach maps an incomplete-information model into a full-information econ-omy with time-varying expectation wedges and provides conditions that ensure the wedges are rationalizable by some information struc-ture. Using our approach, we quantify the potential importance of information as a source of business cycle fluctuations in an other-wise frictionless model. Our approach uncovers a central role for firm-specific demand shocks in supporting aggregate confidence fluctuations. Only if firms face unobserved local demand shocks can confidence fluctuations account for a significant portion of the US business cycle. (JEL D82, D83, E13, E31, E32)