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引用次数: 0
摘要
大量心理学文献认为,由于选择性记忆回忆,决策者对未来的预测受到感知新闻的过度影响。我们采用诊断期望(DE)范式[Bordalo et al. (2018), Journal of Finance, 73, 199-227]来捕捉信念形成的这一特征,开发了一种将DE纳入商业周期模型的方法,并研究了对总体动力学的影响。首先,我们解决(1)与最优行为和主体DE信念之间的反馈建模相关的理论挑战,以及(2)在遥远记忆中出现的时间不一致性(即,当新闻被感知到的是更遥远的过去,而不仅仅是眼前的过去)。其次,我们表明,在遥远的记忆中,行为和DE信念之间的相互作用自然会产生重复的繁荣-萧条周期,以响应单一的初始冲击。我们还提出了一种便携式求解方法来研究动态随机一般均衡模型中的DE,并用它来估计定量的DE新凯恩斯模型。内生状态和遥远记忆在成功复制应对货币政策冲击时观察到的繁荣-萧条周期方面都发挥了关键作用。
Abstract A large psychology literature argues that, due to selective memory recall, decision-makers’ forecasts of the future are overly influenced by the perceived news. We adopt the diagnostic expectations (DE) paradigm [Bordalo et al. (2018), Journal of Finance, 73, 199–227] to capture this feature of belief formation, develop a method to incorporate DE in business cycle models, and study the implications for aggregate dynamics. First, we address (1) the theoretical challenges associated with modelling the feedback between optimal actions and agents’ DE beliefs and (2) the time-inconsistencies that arise under distant memory (i.e. when news is perceived with respect to a more distant past than just the immediate one). Second, we show that under distant memory the interaction between actions and DE beliefs naturally generates repeated boom–bust cycles in response to a single initial shock. We also propose a portable solution method to study DE in dynamic stochastic general equilibrium models and use it to estimate a quantitative DE New Keynesian model. Both endogenous states and distant memory play a critical role in successfully replicating the boom–bust cycle observed in response to a monetary policy shock.
期刊介绍:
Founded in 1933 by a group of young British and American economists, The Review of Economic Studies aims to encourage research in theoretical and applied economics, especially by young economists. Today it is widely recognised as one of the core top-five economics journals. The Review is essential reading for economists and has a reputation for publishing path-breaking papers in theoretical and applied economics. The Review is committed to continuing to publish strong papers in all areas of economics. The Editors aim to provide an efficient and high-quality review process to the Review''s authors. Where articles are sent out for full review, authors receive careful reports and feedback. Since 1989 The Review has held annual May Meetings to offer young students in economics and finance the chance to present their research to audiences in Europe.