Asymmetric Attention

• 成果类型: Article
• 署名作者: Kohlhas, Alexandre N.; Walther, Ansgar
• 署名单位: Imperial College London
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20191432
• 发表日期: 2021
• 页码: 2879-2925
• 关键词: rational-expectations; indivisible labor; sticky prices; INFORMATION; DYNAMICS; forecasts; RIGIDITY; MARKETS

摘要

We document that the expectations of households, firms, and professional forecasters in standard surveys simultaneously extrapolate from recent events and underreact to new information. Existing models of expectation formation, whether behavioral or rational, cannot account for these observations. We develop a rational theory of extrapolation based on limited attention, which is consistent with this evidence. In particular, we show that limited, asymmetric attention to procyclical variables can explain the coexistence of extrapolation and underreactions. We illustrate these mechanisms in a microfounded macroeconomic model, which generates expectations consistent with the survey data, and show that asymmetric attention increases business cycle fluctuations.