Information Rigidity and the Expectations Formation Process A Simple Framework and New Facts |
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Author:
| Coibion, Olivier Gorodnichenko, Yuriy |
Series title: | IMF Working Papers |
ISBN: | 978-1-4755-1924-2 |
Publication Date: | Dec 2012 |
Publisher: | International Monetary Fund
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Book Format: | Paperback |
List Price: | USD $20.00 |
Book Description:
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We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic significance of departures from the 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...
More DescriptionWe propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic significance of departures from the 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.