Information Rigidity and the Expectations Formation Process
A Simple Framework and New Facts
Bibliographic Data
| ID | 23318472 |
|---|---|
| Authors | Olivier Coibion (Department of Economics, University of Texas-Austin, 2225 Speedway, BRB 3.156, C3100, Austin, TX 78712 (e-mail: )), Yuriy Gorodnichenko (0000-0002-3639-4254, University of California, Berkeley) |
| Year | 2015 |
| Volume | 105 |
| Issue | 8 |
| Pages | 2644-2678 |
| Publication date | 2015-08-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | American Economic Review (JOURNAL) |
| Journal identifiers | ISSN: 0002-8282 • E-ISSN: 1944-7981 |
| Publisher | American Economic Association (PUBLISHER • US) |
| DOI | 10.1257/aer.20110306 |
| OpenAlex | W3126121421 |
| Language | EN |
| Citations received | 63 |
| References cited | 42 |
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)
Econometrics · Economics · Imperfect · Information Structure · Macroeconomics · Mathematical economics · Microeconomics · Null (SQL) · Null hypothesis · Perfect information · Physics · Rational expectations · Rigidity (electromagnetism) · Set (abstract data type) · Stylized fact · Complex Systems and Time Series Analysis · Computer Science · Market Dynamics and Volatility · Monetary Policy and Economic Impact
Testing the Sticky Information Phillips Curve
Designing Information Provision Experiments
Firms’ Price, Cost and Activity Expectations
Policy Uncertainty and Information Flows
Markups and CPI
Tail risk and expectations
Expectations-based reference-dependence and labor supply
House price expectations and household spending— A survey-based experiment
Estimating Behavioral Inattention
Peer influence in macroeconomic predictions
A tale of inattentiveness and the loss function
Forecaster (Mis-)Behavior
Make-up strategies with finite planning horizons but infinitely forward-looking asset prices
Does demand noise matter? Identification and implications
Crime, Punishment, and Expectations
Looking up the sky
Measuring the slowly evolving trend in US inflation with professional forecasts
Interpretation of point forecasts with unknown directive
Inattention and the impact of monetary policy
Raiders of the lost high‐frequency forecasts
Identifying News Shocks From Forecasts
Forward guidance and expectation formation
An Instrumental Variables Approach to Testing Forecast Efficiency
What drives updates of inflation expectations? A Bayesian VAR analysis for the G‐7 countries
German forecasters’ narratives
The role of global value chains for the propagation of global and domestic PMI shocks
Unconventional monetary policies and expectations on economic variables
Inflation expectations and consumer spending
Short-term inflation expectations evaluation in the presence of instabilities
What’s behind firms’ inflation forecasts
Monetary Policy Uncertainty and Inflation Expectations
A Factor‐Augmented New Keynesian Phillips Curve for the European Union Countries
Macroeconomic effects from media coverage of the China–U.S. trade war on selected EU countries
Sustaining Livelihoods or Saving Lives? Economic System Justification in the Time of Covid-19
Macroeconomic Expectations in a War
The Forward Guidance Puzzle and Anchored Inflation Expectations
Ageing population and pension system sustainability
Perspectives on high U.S. retail food prices during 2020–2022
Combining Forecasts - On Why Averaging Beats Optimal Linear Weights
Perceived Inflation Persistence
The Factor Structure of Disagreement
Forecasting Inflation Using Economic Narratives
Uniform Nonparametric Inference for Spatially Dependent Panel Data
The Price Is Right
How Do Expectations about the Macroeconomy Affect Personal Expectations and Behavior
An Estimated Model of Household Inflation Expectations
Identifying Beliefs in Continuous-Action Dynamic Models
Stuck in the Seventies
Measuring Under- and Overreaction in Expectation Formation
Are Supply Shocks Contractionary at the ZLB? Evidence from Utilization-Adjusted TFP Data
Inflation Expectations and the Pass-Through of Oil Prices
Does Austerity Pay Off
Growth Expectations, Undue Optimism, and Short-Run Fluctuations
Imperfect Exchange Rate Expectations
Expectation Formation Following Large, Unexpected Shocks
Inflation and Attention Thresholds
Coronavirus Perceptions and Economic Anxiety
Measuring the Level and Uncertainty of Trend Inflation
Public opinion as nowcast
Political advertising and consumer sentiment
Googling ‘inflation’
Eurq
AI meets narratives
Rules, discretion and reputation in a model of monetary policy
Econometric Issues in the Analysis of Regressions with Generated Regressors
Monetary Policy Rules and Macroeconomic Stability
Empirical exchange rate models of the seventies
Why Has U.S. Inflation Become Harder to Forecast?
Output Fluctuations in the United States
Macroeconomic Expectations of Households and Professional Forecasters
Time to Build and Aggregate Fluctuations
Implications of rational inattention
Expectations and the neutrality of money
Sticky Information versus Sticky Prices
Forecast Combination With Entry and Exit of Experts
Testing the Sticky Information Phillips Curve
Diverging Trends in Aggregate and Firm Volatility
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
Survey Measures of Expected U.S. Inflation
What Can Survey Forecasts Tell Us about Information Rigidities
Monetary Policy, Endogenous Inattention and the Volatility Trade‐off
Interpreting the Great Moderation
| Unique citing works | 63 |
|---|---|
| Citations per year | 3,94 |
| Citation span | 2010 - 2026 (17) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 62 |