Information rigidity and the expectations formation process : a simple framework and new facts /

Information rigidity and the expectations formation process : a simple framework and new facts /

Saved in:
Bibliographic Details
Author / Creator:Coibion, Olivier.
Imprint:[Washington, D.C.] : International Monetary Fund, ©2012.
Description:1 online resource (55 pages).
Language:English
Series:IMF working paper ; WP/12/296
IMF working paper ; WP/12/296.
Subject:
Rational expectations (Economic theory)
Information theory in economics.
Economic forecasting.
Economic forecasting.
Information theory in economics.
Rational expectations (Economic theory)
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12501392
Hidden Bibliographic Details
Other authors / contributors:Gorodnichenko, Yuriy.
International Monetary Fund. Research Department.
ISBN:9781475516753
1475516754
1475533861
9781475533866
9781475519242
Notes:Title from PDF title page (IMF Web site, viewed Dec. 21, 2012).
"Research Department."
"December 2012."
Includes bibliographical references.
Print version record.
Summary: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 U.S. 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.
Table of Contents:
  • Cover; Contents; I. Introduction; II. Forecast Errors, Forecast Revisions and Information Rigidities; A. Sticky-Information Model; B. Noisy-Information Model; C. A New Approach for Assessing the Nature of the Expectations Formation Process; D. Extensions and Alternative Interpretations; Heterogeneity in Signal-Noise Ratios; Forecast Smoothing; III. Information Rigidities across Agent Types, Macroeconomic Variables, and Countries; A. Information Rigidity across Agents; B. Information Rigidity across Variables and Horizons; C. Information Rigidity across Countries.
  • D. Cross-Sectional Variation and the Determinants of Information RigidityIV. State-Dependence in Information Rigidities; A. Information Rigidities and the Great Moderation; B. Information Rigidities over the Business Cycle; C. Information Rigidities after Large Visible Shocks; V. Concluding Remarks; References; Tables; 1. Tests of the Inflation Expectations Process; 2. Testing for Higher Order Dynamics; 3. Tests of Alternative Interpretations of Forecast Error Predictability; 4. Information Rigidity in Inflation Forecasts by Forecaster Types.
  • 5. The Macroeconomic Determinants of Information Rigidities6. Forecast Revisions after the 9/11 Attacks; Figures; 1. Estimates of Information Rigidity by Horizon and Macroeconomic Variable; 2. International Evidence on Information Rigidities; 3. Information Rigidity and the Great Moderation; 4. Information Rigidity during a Business Cycle; 5. Forecasts of U.S. Production before and After the September 11[Sup(th)], 2001 Attacks; Appendices; A. Bias in OLS Estimates under Common Noise; B. Noisy-Information Model under Generalized Dynamics.
  • C. Noisy-Information Model with Heterogeneous Signal-Noise RatiosD. Noisy-Information Model with Heterogeneous Priors about Long-Run Means; E. Heterogeneity in Loss Aversion; F: Dynamic Forecast Smoothing; Appendix Tables; 7. Properties of Inflation Forecasts; 8. Pooled Estimates of the Expectations Formation Process; Appendix Figures; 6. Inflation Forecasts from Professional Forecasters, Consumers and Financial Markets; 7. Noise-Signal Ratios and Estimated Coefficients on Forecast Revisions.

Similar Items