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Information rigidity and the expectations formation process : a simple framework and new facts

Author: Olivier Coibion; Yuriy Gorodnichenko; International Monetary Fund. Research Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2012.
Series: IMF working paper, WP/12/296.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Olivier Coibion; Yuriy Gorodnichenko; International Monetary Fund. Research Department.
ISBN: 9781475516753 1475516754 1475533861 9781475533866
OCLC Number: 822598643
Notes: Title from PDF title page (IMF Web site, viewed Dec. 21, 2012).
"Research Department."
"December 2012."
Description: 1 online resource (55 pages).
Series Title: IMF working paper, WP/12/296.
Responsibility: Olivier Coibion, Yuriy Gorodnichenko.

Abstract:

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.

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