全球智库信息集成服务系统(G2TT): Learning, Confidence, and Business Cycles

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22958
来源ID	Working 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
URL	https://www.nber.org/papers/w22958
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/580631
推荐引用方式 GB/T 7714	Cosmin L. Ilut,Hikaru Saijo. Learning, Confidence, and Business Cycles. 2016.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w22958.pdf（555KB）	智库出版物		限制开放	CC BY-NC-SA	浏览