Rational Expectations Models with Higher-Order Beliefs

• 成果类型: Article
• 署名作者: Huo, Zhen; Takayama, Naoki
• 署名单位: Yale University; Hitotsubashi University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae096
• 发表日期: 2025
• 页码: 3138-3173
• 关键词: robust predictions; Signal extraction; monetary-policy; sticky prices; social value; INFORMATION; forecasts; amplification; others

摘要

We develop a method of solving rational expectations models with dispersed information and dynamic strategic complementarities. In these types of models, the equilibrium outcome hinges on an infinite number of higher-order expectations which require an increasing number of state variables to keep track of. Despite this complication, we prove that the equilibrium outcome always admits a finite-state representation when the signals follow finite ARMA processes. We also show that such a finite-state result may not hold with endogenous information aggregation. We further illustrate how to use the method to derive comparative statics, characterize equilibrium outcomes in HANK-type network games, reconcile with empirical evidence on expectations, and integrate incomplete information with bounded rationality in general equilibrium.