Sparse restricted perceptions equilibrium

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F22%3A00558475" target="_blank" >RIV/00216208:11640/22:00558475 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.1016/j.jedc.2022.104415" target="_blank" >https://doi.org/10.1016/j.jedc.2022.104415</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jedc.2022.104415" target="_blank" >10.1016/j.jedc.2022.104415</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Sparse restricted perceptions equilibrium

Popis výsledku v původním jazyce

We study model selection under bounded rationality and the impact of monetary policy on the equilibrium choices of forecasting models. We use the concept of sparse rationality (recently developed by Gabaix, 2014 and 2020), where paying attention to all possible variables is costly and agents can choose to under-emphasize particular variables, and may even fully exclude some of them. Our main question is whether an initially mis-specified equilibrium (the restricted perceptions equilibrium, or RPE) is compatible with the equilibrium choice of sparse weights describing the allocation of attention to different variables by the agents inhabiting this RPE. In a simple New Keynesian model, we find that the agents adhere to their initial mis-specified AR(1) forecasting model choice when monetary policy is less aggressive or inflation is more persistent. We also identify a region in the parameter space in which the agents find it advantageous to pay attention to no variables at all.

Název v anglickém jazyce

Sparse restricted perceptions equilibrium

Popis výsledku anglicky

We study model selection under bounded rationality and the impact of monetary policy on the equilibrium choices of forecasting models. We use the concept of sparse rationality (recently developed by Gabaix, 2014 and 2020), where paying attention to all possible variables is costly and agents can choose to under-emphasize particular variables, and may even fully exclude some of them. Our main question is whether an initially mis-specified equilibrium (the restricted perceptions equilibrium, or RPE) is compatible with the equilibrium choice of sparse weights describing the allocation of attention to different variables by the agents inhabiting this RPE. In a simple New Keynesian model, we find that the agents adhere to their initial mis-specified AR(1) forecasting model choice when monetary policy is less aggressive or inflation is more persistent. We also identify a region in the parameter space in which the agents find it advantageous to pay attention to no variables at all.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Economic Dynamics & Control

ISSN

0165-1889

e-ISSN

1879-1743

Svazek periodika

139

Číslo periodika v rámci svazku

June

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

21

Strana od-do

104415

Kód UT WoS článku

000802869300002

EID výsledku v databázi Scopus

2-s2.0-85130375470