Ambiguous information, permanent income, and consumption fluctuations
Ambiguous information, permanent income, and consumption fluctuations
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模糊信息、永久收入和消费波动
DOI：
10.1016/j.euroecorev.2019.07.001
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发表时间：
2019
影响因子：
2.8
通讯作者：
Donghoon Yoo
中科院分区：
文献类型：
--
作者：
Donghoon Yoo
本文研究了消费中的非对称反应，这种非对称性是由主体的偏好和对信息质量的不完全知识内生产生的。代理人基于不完整的信息形成对未来的预期，这被认为是模糊的，这些未来的预期，被模糊性扭曲，不对称地影响支出。对于质量不确定的噪声信号，消费具有不对称的反应：反应的绝对大小取决于信号是带来好消息还是坏消息。我估计模型的数据为G7国家的最大似然法，估计结果表明，模糊机制在驱动观察到的偏态的数据中发挥了适度的作用。
This paper studies asymmetric responses in consumption, where the asymmetries are endogenously generated by agents’ preferences and incomplete knowledge about information quality. Agents form expectations about the future based on incomplete information, which is assumed to be ambiguous, and these future expectations, distorted by ambiguity, affect spending asymmetrically. With a noisy signal of uncertain quality, consumption features asymmetric responses: the absolute size of the responses depends on whether the signal delivers good or bad news. I estimate the model on the data for G7 countries by maximum likelihood, and the estimation results suggest that the ambiguity mechanism plays a modest role in driving observed skewness in the data.