Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts

• 成果类型: Article
• 署名作者: Coibion, Olivier; Gorodnichenko, Yuriy
• 署名单位: University of Texas System; University of Texas Austin; University of California System; University of California Berkeley
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20110306
• 发表日期: 2015
• 页码: 2644-2678
• 关键词: monetary-policy rules; sticky-information; Great Moderation; inflation; US; volatility; ambiguity; forecasts; aggregate; prices

摘要

We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidity. Applying this approach to US and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process. (JEL C53, D83, D84, E13, E31, E37)