G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11004
DP11004 Models, Inattention and Expectation Updates
Vasiliki Skreta; Raffaella Giacomini
发表日期2015-12-20
出版年2015
语种英语
摘要We formulate a theory of expectation updating that fits the dynamics of accuracy and disagreement in a new survey dataset where agents can update at any time while observing each other's expectations. Agents use heterogeneous models and can be inattentive but, when updating, they follow Bayes' rule and assign homogeneous weights to public information. Our empirical findings suggest that agents do not herd and, despite disagreement, they place high faith in their models, whereas during a crisis they lose this faith and undergo a paradigm shift. This simple, "micro-founded" theory could enhance the explanatory power of macroeconomic and finance models.
主题Monetary Economics and Fluctuations
关键词Bayesian learning Disagreement Expectation formation Forecast accuracy Herding Heterogeneous agents Information rigidities
URLhttps://cepr.org/publications/dp11004
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/539833
推荐引用方式
GB/T 7714
Vasiliki Skreta,Raffaella Giacomini. DP11004 Models, Inattention and Expectation Updates. 2015.
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