Good Luck or Good Policy? An Expectational Theory of Macro-Volatility Switches

Gaetano Gaballo
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引用次数: 9

Abstract

In an otherwise unique-equilibrium model, agents are segmented into a few informational islands according to the signal they receive about others' expectations. Even if agents perfectly observe fundamentals, rational-exuberance equilibria (REX) can arise as they put weight on expectational signals to refine their forecasts. Constant-gain adaptive learning can trigger jumps between the equilibrium where only fundamentals are weighted and a REX. This determines regime switching in macro volatility despite unchanged monetary policy and time-invariant distribution of exogenous shocks. In this context, a tight inflation-targeting policy can lower expectational complementarity preventing rational exuberance, although its effect is non-monotone.
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好运还是好政策?宏观波动率转换的预期理论
在另一个独特的均衡模型中,代理根据他们收到的关于他人期望的信号被分割成几个信息孤岛。即使代理人完全遵守基本面,理性繁荣均衡(REX)也会出现,因为他们重视预期信号,以完善他们的预测。恒定增益的自适应学习可以触发在只有基本面加权的均衡和REX之间的跳跃。这决定了在货币政策不变和外生冲击时不变分布的情况下,宏观波动的机制转换。在这种背景下,紧缩的通胀目标政策可以降低预期互补性,防止理性繁荣,尽管其效果不是单调的。
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