| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7415 |
| DP7415 Paying for Confidence: An Experimental Study of the Demand for Non-Instrumental Information | |
| Andrew Schotter; Kfir Eliaz | |
| 发表日期 | 2009-08-16 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We study a stylized theory of the volatility reduction in the U.S. after 1984 - the Great Moderation - which attributes part of the stabilization to less volatile shocks and another part to more difficult inference on the part of Bayesian households attempting to learn the latent state of the economy. We use a standard equilibrium business cycle model with technology following an unobserved regime-switching process. After 1984, according to Kim and Nelson (1999a), the variance of U.S. macroeconomic aggregates declined because boom and recession regimes moved closer together, keeping conditional variance unchanged. In our model this makes the signal extraction problem more difficult for Bayesian households, and in response they moderate their behavior, reinforcing the effect of the less volatile stochastic technology and contributing an extra measure of moderation to the economy. We construct example economies in which this learning effect accounts for about 30 percent of a volatility reduction of the magnitude observed in the postwar U.S. data. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian learning Information Business cycles Regime-switching |
| URL | https://cepr.org/publications/dp7415 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536252 |
| 推荐引用方式 GB/T 7714 | Andrew Schotter,Kfir Eliaz. DP7415 Paying for Confidence: An Experimental Study of the Demand for Non-Instrumental Information. 2009. |
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