Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model†

• 成果类型: Article
• 署名作者: Hajdini, Ina
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20230054
• 发表日期: 2026
• 关键词: natural expectations; imperfect knowledge; sticky prices; DSGE model; inflation; INFORMATION; frictions; DYNAMICS

摘要

I consider a New Keynesian framework where agents combine mis-specified forecasts and myopia to form expectations. This combination is consistent with inflation forecasts'late overshooting, under-reaction to forecast revisions, and overreaction to current inflation. Estimating the general equilibrium model on macroeconomic data shows that: (i) data favor combining autoregressive mis-specified forecasting rules with myopia over other alternatives; (ii) learning of mis-specified rules improves model fit; and (iii) mis-specified forecasts generate substantial internal persistence and amplification to exogenous shocks. Inflation expectations simulated from the best-fitting model closely match survey data, providing external validation for the proposed expectations formation process. (JEL D84, E12, E17, E21, E23, E31, E37)