QUANTIFYING CONFIDENCE

• 成果类型: Article
• 署名作者: Angeletos, George-Marios; Collard, Fabrice; Dellas, Harris
• 署名单位: Massachusetts Institute of Technology (MIT); Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of Bern
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA13079
• 发表日期: 2018
• 页码: 1689-1726
• 关键词: aggregate demand; business-cycle; social value; expectations; INFORMATION; TECHNOLOGY; forecasts; shocks; news; US

摘要

We develop a tractable method for augmenting macroeconomic models with autonomous variation in higher-order beliefs. We use this to accommodate a certain type of waves of optimism and pessimism that can be interpreted as the product of frictional coordination and, unlike the one featured in the news literature, regards the short-term economic outlook rather than the medium- to long-run prospects. We show that this enrichment provides a parsimonious explanation of salient features of the data; it accounts for a significant fraction of the business-cycle volatility in estimated models that allow for various competing structural shocks; and it captures a type of fluctuations that have a Keynesian flavor but do not rely on nominal rigidities.