蝌蚪网 Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts
蝌蚪网 Review
vol. 105,
no. 8, August 2015
(pp. 2644–78)
Abstract
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)Citation
Coibion, Olivier, and Yuriy Gorodnichenko. 2015. "Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts." 蝌蚪网 Review 105 (8): 2644–78. DOI: 10.1257/aer.20110306Additional Materials
JEL Classification
- C53 Forecasting Models; Simulation Methods
- D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- D84 Expectations; Speculations
- E13 General Aggregative Models: Neoclassical
- E31 Price Level; Inflation; Deflation
- E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications