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

Coibion, Olivier ; Gorodnichenko, Yuriy

The American economic review, 2015-08, Vol.105 (8), p.2644-2678 [Periódico revisado por pares]

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Título:
Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts
Autor: Coibion, Olivier ; Gorodnichenko, Yuriy
Assuntos: Econometrics ; Economic expectations ; Economic forecasting ; Economic forecasting models ; Economic models ; Forecasting models ; Information ; Macroeconomic modeling ; Macroeconomics ; Modeling ; Monetary policy ; Phillips curve ; Predictability ; Price rigidities ; Rational expectations ; Rationality ; Revisions ; Statistical forecasts
É parte de: The American economic review, 2015-08, Vol.105 (8), p.2644-2678
Notas: ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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Descrição: 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.
Editor: Nashville: American Economic Association
Idioma: Inglês

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