What Can Survey Forecasts Tell Us about Information Rigidities?

• 成果类型: Article
• 署名作者: Coibion, Olivier; Gorodnichenko, Yuriy
• 署名单位: William & Mary; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/665662
• 发表日期: 2012
• 页码: 116-159
• 关键词: sticky-information; monetary-policy; aggregate fluctuations; inflation-expectations; rational inattention; phillips-curve; shocks; prices; models; uncertainty

摘要

A lot. We derive common and conflicting predictions from models in which agents face information constraints and then assess their validity using surveys of consumers, firms, central bankers, and professional forecasters. We document that mean forecasts fail to completely adjust on impact to shocks, leading to statistically and economically significant deviations from the null of full information. The dynamics of forecast errors after shocks are consistent with the predictions of models with information rigidities. The conditional responses of forecast errors and disagreement among agents can also be used to differentiate between some of the most prominent models of information rigidities.