Information rigidity and the expectations formation process :: a simple framework and new facts /
We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidit...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/296. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidity. Applying this approach to U.S. and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Dec. 21, 2012). "Research Department." "December 2012." |
| Beschreibung: | 1 online resource (55 pages). |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781475516753 1475516754 1475533861 9781475533866 |
Internformat
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| 100 | 1 | |a Coibion, Olivier. |0 http://id.loc.gov/authorities/names/n2005003711 | |
| 245 | 1 | 0 | |a Information rigidity and the expectations formation process : |b a simple framework and new facts / |c Olivier Coibion, Yuriy Gorodnichenko. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
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| 490 | 1 | |a IMF working paper ; |v WP/12/296 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed Dec. 21, 2012). | ||
| 520 | |a We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidity. Applying this approach to U.S. and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Research Department." | ||
| 500 | |a "December 2012." | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Forecast Errors, Forecast Revisions and Information Rigidities; A. Sticky-Information Model; B. Noisy-Information Model; C. A New Approach for Assessing the Nature of the Expectations Formation Process; D. Extensions and Alternative Interpretations; Heterogeneity in Signal-Noise Ratios; Forecast Smoothing; III. Information Rigidities across Agent Types, Macroeconomic Variables, and Countries; A. Information Rigidity across Agents; B. Information Rigidity across Variables and Horizons; C. Information Rigidity across Countries. | |
| 505 | 8 | |a D. Cross-Sectional Variation and the Determinants of Information RigidityIV. State-Dependence in Information Rigidities; A. Information Rigidities and the Great Moderation; B. Information Rigidities over the Business Cycle; C. Information Rigidities after Large Visible Shocks; V. Concluding Remarks; References; Tables; 1. Tests of the Inflation Expectations Process; 2. Testing for Higher Order Dynamics; 3. Tests of Alternative Interpretations of Forecast Error Predictability; 4. Information Rigidity in Inflation Forecasts by Forecaster Types. | |
| 505 | 8 | |a 5. The Macroeconomic Determinants of Information Rigidities6. Forecast Revisions after the 9/11 Attacks; Figures; 1. Estimates of Information Rigidity by Horizon and Macroeconomic Variable; 2. International Evidence on Information Rigidities; 3. Information Rigidity and the Great Moderation; 4. Information Rigidity during a Business Cycle; 5. Forecasts of U.S. Production before and After the September 11[Sup(th)], 2001 Attacks; Appendices; A. Bias in OLS Estimates under Common Noise; B. Noisy-Information Model under Generalized Dynamics. | |
| 505 | 8 | |a C. Noisy-Information Model with Heterogeneous Signal-Noise RatiosD. Noisy-Information Model with Heterogeneous Priors about Long-Run Means; E. Heterogeneity in Loss Aversion; F: Dynamic Forecast Smoothing; Appendix Tables; 7. Properties of Inflation Forecasts; 8. Pooled Estimates of the Expectations Formation Process; Appendix Figures; 6. Inflation Forecasts from Professional Forecasters, Consumers and Financial Markets; 7. Noise-Signal Ratios and Estimated Coefficients on Forecast Revisions. | |
| 650 | 0 | |a Rational expectations (Economic theory) |0 http://id.loc.gov/authorities/subjects/sh85111518 | |
| 650 | 0 | |a Information theory in economics. |0 http://id.loc.gov/authorities/subjects/sh85066293 | |
| 650 | 0 | |a Economic forecasting. |0 http://id.loc.gov/authorities/subjects/sh85040814 | |
| 650 | 6 | |a Théorie de l'information en économie politique. | |
| 650 | 6 | |a Prévision économique. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Economics |x Theory. |2 bisacsh | |
| 650 | 7 | |a Economic forecasting |2 fast | |
| 650 | 7 | |a Information theory in economics |2 fast | |
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| author | Coibion, Olivier |
| author2 | Gorodnichenko, Yuriy |
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| author_GND | http://id.loc.gov/authorities/names/n2005003711 http://id.loc.gov/authorities/names/n2005031712 |
| author_corporate | International Monetary Fund. Research Department |
| author_corporate_role | |
| author_facet | Coibion, Olivier Gorodnichenko, Yuriy International Monetary Fund. Research Department |
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| contents | Cover; Contents; I. Introduction; II. Forecast Errors, Forecast Revisions and Information Rigidities; A. Sticky-Information Model; B. Noisy-Information Model; C. A New Approach for Assessing the Nature of the Expectations Formation Process; D. Extensions and Alternative Interpretations; Heterogeneity in Signal-Noise Ratios; Forecast Smoothing; III. Information Rigidities across Agent Types, Macroeconomic Variables, and Countries; A. Information Rigidity across Agents; B. Information Rigidity across Variables and Horizons; C. Information Rigidity across Countries. D. Cross-Sectional Variation and the Determinants of Information RigidityIV. State-Dependence in Information Rigidities; A. Information Rigidities and the Great Moderation; B. Information Rigidities over the Business Cycle; C. Information Rigidities after Large Visible Shocks; V. Concluding Remarks; References; Tables; 1. Tests of the Inflation Expectations Process; 2. Testing for Higher Order Dynamics; 3. Tests of Alternative Interpretations of Forecast Error Predictability; 4. Information Rigidity in Inflation Forecasts by Forecaster Types. 5. The Macroeconomic Determinants of Information Rigidities6. Forecast Revisions after the 9/11 Attacks; Figures; 1. Estimates of Information Rigidity by Horizon and Macroeconomic Variable; 2. International Evidence on Information Rigidities; 3. Information Rigidity and the Great Moderation; 4. Information Rigidity during a Business Cycle; 5. Forecasts of U.S. Production before and After the September 11[Sup(th)], 2001 Attacks; Appendices; A. Bias in OLS Estimates under Common Noise; B. Noisy-Information Model under Generalized Dynamics. C. Noisy-Information Model with Heterogeneous Signal-Noise RatiosD. Noisy-Information Model with Heterogeneous Priors about Long-Run Means; E. Heterogeneity in Loss Aversion; F: Dynamic Forecast Smoothing; Appendix Tables; 7. Properties of Inflation Forecasts; 8. Pooled Estimates of the Expectations Formation Process; Appendix Figures; 6. Inflation Forecasts from Professional Forecasters, Consumers and Financial Markets; 7. Noise-Signal Ratios and Estimated Coefficients on Forecast Revisions. |
| ctrlnum | (OCoLC)822598643 |
| dewey-full | 330.01/12 |
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| dewey-ones | 330 - Economics |
| dewey-raw | 330.01/12 |
| dewey-search | 330.01/12 |
| dewey-sort | 3330.01 212 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:07Z |
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| institution_GND | http://id.loc.gov/authorities/names/n77001219 |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Coibion, Olivier. http://id.loc.gov/authorities/names/n2005003711 Information rigidity and the expectations formation process : a simple framework and new facts / Olivier Coibion, Yuriy Gorodnichenko. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (55 pages). text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/12/296 Title from PDF title page (IMF Web site, viewed Dec. 21, 2012). We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidity. Applying this approach to U.S. and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process. Includes bibliographical references. "Research Department." "December 2012." Print version record. Cover; Contents; I. Introduction; II. Forecast Errors, Forecast Revisions and Information Rigidities; A. Sticky-Information Model; B. Noisy-Information Model; C. A New Approach for Assessing the Nature of the Expectations Formation Process; D. Extensions and Alternative Interpretations; Heterogeneity in Signal-Noise Ratios; Forecast Smoothing; III. Information Rigidities across Agent Types, Macroeconomic Variables, and Countries; A. Information Rigidity across Agents; B. Information Rigidity across Variables and Horizons; C. Information Rigidity across Countries. D. Cross-Sectional Variation and the Determinants of Information RigidityIV. State-Dependence in Information Rigidities; A. Information Rigidities and the Great Moderation; B. Information Rigidities over the Business Cycle; C. Information Rigidities after Large Visible Shocks; V. Concluding Remarks; References; Tables; 1. Tests of the Inflation Expectations Process; 2. Testing for Higher Order Dynamics; 3. Tests of Alternative Interpretations of Forecast Error Predictability; 4. Information Rigidity in Inflation Forecasts by Forecaster Types. 5. The Macroeconomic Determinants of Information Rigidities6. Forecast Revisions after the 9/11 Attacks; Figures; 1. Estimates of Information Rigidity by Horizon and Macroeconomic Variable; 2. International Evidence on Information Rigidities; 3. Information Rigidity and the Great Moderation; 4. Information Rigidity during a Business Cycle; 5. Forecasts of U.S. Production before and After the September 11[Sup(th)], 2001 Attacks; Appendices; A. Bias in OLS Estimates under Common Noise; B. Noisy-Information Model under Generalized Dynamics. C. Noisy-Information Model with Heterogeneous Signal-Noise RatiosD. Noisy-Information Model with Heterogeneous Priors about Long-Run Means; E. Heterogeneity in Loss Aversion; F: Dynamic Forecast Smoothing; Appendix Tables; 7. Properties of Inflation Forecasts; 8. Pooled Estimates of the Expectations Formation Process; Appendix Figures; 6. Inflation Forecasts from Professional Forecasters, Consumers and Financial Markets; 7. Noise-Signal Ratios and Estimated Coefficients on Forecast Revisions. Rational expectations (Economic theory) http://id.loc.gov/authorities/subjects/sh85111518 Information theory in economics. http://id.loc.gov/authorities/subjects/sh85066293 Economic forecasting. http://id.loc.gov/authorities/subjects/sh85040814 Théorie de l'information en économie politique. Prévision économique. BUSINESS & ECONOMICS Economics Theory. bisacsh Economic forecasting fast Information theory in economics fast Rational expectations (Economic theory) fast Gorodnichenko, Yuriy. http://id.loc.gov/authorities/names/n2005031712 International Monetary Fund. Research Department. http://id.loc.gov/authorities/names/n77001219 IMF working paper ; WP/12/296. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=548025 Volltext |
| spellingShingle | Coibion, Olivier Information rigidity and the expectations formation process : a simple framework and new facts / IMF working paper ; Cover; Contents; I. Introduction; II. Forecast Errors, Forecast Revisions and Information Rigidities; A. Sticky-Information Model; B. Noisy-Information Model; C. A New Approach for Assessing the Nature of the Expectations Formation Process; D. Extensions and Alternative Interpretations; Heterogeneity in Signal-Noise Ratios; Forecast Smoothing; III. Information Rigidities across Agent Types, Macroeconomic Variables, and Countries; A. Information Rigidity across Agents; B. Information Rigidity across Variables and Horizons; C. Information Rigidity across Countries. D. Cross-Sectional Variation and the Determinants of Information RigidityIV. State-Dependence in Information Rigidities; A. Information Rigidities and the Great Moderation; B. Information Rigidities over the Business Cycle; C. Information Rigidities after Large Visible Shocks; V. Concluding Remarks; References; Tables; 1. Tests of the Inflation Expectations Process; 2. Testing for Higher Order Dynamics; 3. Tests of Alternative Interpretations of Forecast Error Predictability; 4. Information Rigidity in Inflation Forecasts by Forecaster Types. 5. The Macroeconomic Determinants of Information Rigidities6. Forecast Revisions after the 9/11 Attacks; Figures; 1. Estimates of Information Rigidity by Horizon and Macroeconomic Variable; 2. International Evidence on Information Rigidities; 3. Information Rigidity and the Great Moderation; 4. Information Rigidity during a Business Cycle; 5. Forecasts of U.S. Production before and After the September 11[Sup(th)], 2001 Attacks; Appendices; A. Bias in OLS Estimates under Common Noise; B. Noisy-Information Model under Generalized Dynamics. C. Noisy-Information Model with Heterogeneous Signal-Noise RatiosD. Noisy-Information Model with Heterogeneous Priors about Long-Run Means; E. Heterogeneity in Loss Aversion; F: Dynamic Forecast Smoothing; Appendix Tables; 7. Properties of Inflation Forecasts; 8. Pooled Estimates of the Expectations Formation Process; Appendix Figures; 6. Inflation Forecasts from Professional Forecasters, Consumers and Financial Markets; 7. Noise-Signal Ratios and Estimated Coefficients on Forecast Revisions. Rational expectations (Economic theory) http://id.loc.gov/authorities/subjects/sh85111518 Information theory in economics. http://id.loc.gov/authorities/subjects/sh85066293 Economic forecasting. http://id.loc.gov/authorities/subjects/sh85040814 Théorie de l'information en économie politique. Prévision économique. BUSINESS & ECONOMICS Economics Theory. bisacsh Economic forecasting fast Information theory in economics fast Rational expectations (Economic theory) fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85111518 http://id.loc.gov/authorities/subjects/sh85066293 http://id.loc.gov/authorities/subjects/sh85040814 |
| title | Information rigidity and the expectations formation process : a simple framework and new facts / |
| title_auth | Information rigidity and the expectations formation process : a simple framework and new facts / |
| title_exact_search | Information rigidity and the expectations formation process : a simple framework and new facts / |
| title_full | Information rigidity and the expectations formation process : a simple framework and new facts / Olivier Coibion, Yuriy Gorodnichenko. |
| title_fullStr | Information rigidity and the expectations formation process : a simple framework and new facts / Olivier Coibion, Yuriy Gorodnichenko. |
| title_full_unstemmed | Information rigidity and the expectations formation process : a simple framework and new facts / Olivier Coibion, Yuriy Gorodnichenko. |
| title_short | Information rigidity and the expectations formation process : |
| title_sort | information rigidity and the expectations formation process a simple framework and new facts |
| title_sub | a simple framework and new facts / |
| topic | Rational expectations (Economic theory) http://id.loc.gov/authorities/subjects/sh85111518 Information theory in economics. http://id.loc.gov/authorities/subjects/sh85066293 Economic forecasting. http://id.loc.gov/authorities/subjects/sh85040814 Théorie de l'information en économie politique. Prévision économique. BUSINESS & ECONOMICS Economics Theory. bisacsh Economic forecasting fast Information theory in economics fast Rational expectations (Economic theory) fast |
| topic_facet | Rational expectations (Economic theory) Information theory in economics. Economic forecasting. Théorie de l'information en économie politique. Prévision économique. BUSINESS & ECONOMICS Economics Theory. Economic forecasting Information theory in economics |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=548025 |
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