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来源类型Working Paper
规范类型报告
DOI10.3386/w22958
来源IDWorking Paper 22958
Learning, Confidence, and Business Cycles
Cosmin L. Ilut; Hikaru Saijo
发表日期2016-12-19
出版年2016
语种英语
摘要We build a tractable heterogeneous-firm business cycle model where firms face Knightian uncertainty about their profitability and learn it through production. The cross-sectional mean of firm-level uncertainty is high in recessions because firms invest and hire less. The higher uncertainty reduces agents' confidence and further discourages economic activity. We characterize this feedback mechanism in linear, workhorse macroeconomic models and find that it endogenously generates empirically desirable cross-equation restrictions such as: amplified and hump-shaped dynamics, co-movement driven by demand shocks and countercyclical correlated wedges in the equilibrium conditions for labor, risk-free and risky assets. In a rich model estimated on US macroeconomic and financial data, the information friction changes inference and significantly reduces the empirical need for standard real and nominal rigidities. Furthermore, endogenous idiosyncratic uncertainty propagates shocks to financial conditions, disciplined by observed spreads, as key drivers of fluctuations, and magnifies the aggregate activity's response to monetary and fiscal policies.
主题Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information ; Macroeconomics ; Business Cycles ; Money and Interest Rates
URLhttps://www.nber.org/papers/w22958
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/580631
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GB/T 7714
Cosmin L. Ilut,Hikaru Saijo. Learning, Confidence, and Business Cycles. 2016.
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