Information Rigidity And The Expectations Formation Process A Simple Framework And New Facts

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Information Rigidity And The Expectations Formation Process

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Author : Mr.Olivier Coibion
language : en
Publisher: International Monetary Fund
Release Date : 2012-12-20

Information Rigidity And The Expectations Formation Process written by Mr.Olivier Coibion and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-20 with Business & Economics categories.

We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic significance of departures from the 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.

Information Rigidity And The Expectations Formation Process A Simple Framework And New Facts

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Author : Olivier Coibion
language : en
Publisher:
Release Date : 2010

Information Rigidity And The Expectations Formation Process A Simple Framework And New Facts written by Olivier Coibion and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Economics categories.

We propose a new approach to test of the null of full-information rational expectations which is informative about whether rejections of the null reflect departures from rationality or full-information. This approach can also quantify the economic significance of departures from the null by mapping them into the underlying degree of information rigidity faced by economic agents. Applying this approach to both U.S. and cross-country data of professional forecasters and other economic agents yields pervasive evidence of informational rigidities that can be explained by models of imperfect information. Furthermore, the proposed approach sheds new light on the implications of policies such as inflation-targeting and those leading to the Great Moderation on expectations. Finally, we document evidence of state-dependence in the expectations formation process.

Identifying The Source Of Information Rigidities In The Expectations Formation Process

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Author : Mototsugu Shintani
language : en
Publisher:
Release Date : 2021

Identifying The Source Of Information Rigidities In The Expectations Formation Process written by Mototsugu Shintani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.

Information Rigidity And The Expectations Formation Process

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Author : Mr.Olivier Coibion
language : en
Publisher: International Monetary Fund
Release Date : 2012-12-20

Information Rigidity And The Expectations Formation Process written by Mr.Olivier Coibion and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-20 with Business & Economics categories.

We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic significance of departures from the 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.

Information Rigidity In Growth Forecasts

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Author : Ms.Natalia T. Tamirisa
language : en
Publisher: International Monetary Fund
Release Date : 2011-06-01

Information Rigidity In Growth Forecasts written by Ms.Natalia T. Tamirisa and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-01 with Business & Economics categories.

We document information rigidity in forecasts for real GDP growth in 46 countries over the past two decades. We investigate: (i) if rigidities are lower around turning points in the economy, such as in times of recessions and crises; (ii) if rigidities differ across countries, particularly between advanced countries and emerging markets; and (iii) how quickly forecasters incorporate news about growth in other countries into their growth forecasts, with a focus on how advanced countries‘ growth forecasts incorporate news about emerging market growth and vice versa.

Information Rigidities In Economic Growth Forecasts

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Author : Jonas Dovern
language : en
Publisher: International Monetary Fund
Release Date : 2013-02-27

Information Rigidities In Economic Growth Forecasts written by Jonas Dovern and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-27 with Business & Economics categories.

We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010. Our main findings are as follows. First, our evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts. Instead, the empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003). Second, we find that information rigidities are more pronounced in emerging economies than advanced economies. Third, there is evidence of nonlinearities in forecast smoothing. It is less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.

Information Rigidities

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Author : Jonas Dovern
language : en
Publisher: International Monetary Fund
Release Date : 2014-02-12

Information Rigidities written by Jonas Dovern and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-12 with Business & Economics categories.

We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.

How Well Do Economists Forecast Recessions

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Author : Zidong An
language : en
Publisher: International Monetary Fund
Release Date : 2019-03-05

How Well Do Economists Forecast Recessions written by Zidong An and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-05 with Business & Economics categories.

We describe the evolution of forecasts in the run-up to recessions. The GDP forecasts cover 63 countries for the years 1992 to 2014. The main finding is that, while forecasters are generally aware that recession years will be different from other years, they miss the magnitude of the recession by a wide margin until the year is almost over. Forecasts during non-recession years are revised slowly; in recession years, the pace of revision picks up but not sufficiently to avoid large forecast errors. Our second finding is that forecasts of the private sector and the official sector are virtually identical; thus, both are equally good at missing recessions. Strong booms are also missed, providing suggestive evidence for Nordhaus’ (1987) view that behavioral factors—the reluctance to absorb either good or bad news—play a role in the evolution of forecasts.

Shocks To Inflation Expectations

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Author : Mr. Philip Barrett
language : en
Publisher: International Monetary Fund
Release Date : 2022-04-29

Shocks To Inflation Expectations written by Mr. Philip Barrett and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-29 with Business & Economics categories.

The consensus among central bankers is that higher inflation expectations can drive up inflation today, requiring tighter policy. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified as that which causes measured expectations to diverge from rationality. Using data for the United States, we find that a positive inflation expectations shock is deflationary and contractionary: inflation, output, and interest rates all fall. These results are inconsistent with the standard New Keynesian model, which predicts inflation and interest rate hikes. We discuss possible resolutions to this new puzzle.

Handbook Of Economic Expectations

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Author : Ruediger Bachmann
language : en
Publisher: Elsevier
Release Date : 2022-11-04

Handbook Of Economic Expectations written by Ruediger Bachmann and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-04 with Business & Economics categories.

Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. Combines information about the creation of economic expectations and their theories, applications and likely futures Provides a comprehensive summary of economics expectations literature Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics