不完全信息下DSGE模型的鲁棒预测

IF 6.3 1区经济学 Q1 ECONOMICS

American Economic Journal-Macroeconomics Pub Date : 2023-01-01 DOI:10.1257/mac.20200053

Ryan Chahrour, Robert Ulbricht

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引用次数: 1

摘要

我们提供了具有不完全信息的DSGE模型的预测，这些模型在信息结构上具有鲁棒性。我们的方法将不完全信息模型映射到具有时变期望楔的全信息经济中，并提供了确保楔在某种信息结构下是合理的条件。使用我们的方法，我们在一个无摩擦的模型中量化了信息作为商业周期波动来源的潜在重要性。我们的方法揭示了企业特定需求冲击在支持总体信心波动方面的核心作用。只有当企业面临未被观察到的本地需求冲击时，信心波动才能在美国商业周期中占很大一部分。(凝胶d82, d83, e13, e31, e32)

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Robust Predictions for DSGE Models with Incomplete Information

We provide predictions for DSGE models with incomplete information that are robust across information structures. Our approach maps an incomplete-information model into a full-information economy with time-varying expectation wedges and provides conditions that ensure the wedges are rationalizable by some information structure. Using our approach, we quantify the potential importance of information as a source of business cycle fluctuations in an otherwise frictionless model. Our approach uncovers a central role for firm-specific demand shocks in supporting aggregate confidence fluctuations. Only if firms face unobserved local demand shocks can confidence fluctuations account for a significant portion of the US business cycle. (JEL D82, D83, E13, E31, E32)

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来源期刊

American Economic Journal-Macroeconomics ECONOMICS-

CiteScore

8.20

自引率

1.70%

发文量

期刊介绍： American Economic Journal: Macroeconomics focuses on studies of aggregate fluctuations and growth, and the role of policy in that context. Such studies often borrow from and interact with research in other fields, such as monetary theory, industrial organization, finance, labor economics, political economy, public finance, international economics, and development economics. To the extent that they make a contribution to macroeconomics, papers in these fields are also welcome.