G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7415
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
URLhttps://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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