Rational Inattention, Random Choice, and Dynamics of Price Adjustment

理性疏忽、随机选择和价格调整的动态SBE-SES 0820438，伍德福德这个项目发展了一种随机离散选择的替代理论。在微观经济应用中的离散选择的标准计量经济学模型，例如交通经济学，通过假设随机效用来解释随机的个人选择，条件是测量的基本面。在离散调整的宏观经济模型中，最常见的随机性来源是假定调整的固定成本具有随机性。相反，这项研究追求的假设是，随机选择是由于代理人对他们所面临的选择特征的辨别不完美的精确度造成的，这是心理物理学实验研究记录的那种。利用Sims(1998,2003,2006)提出的“理性注意力不集中”假说，模拟了智能体对其环境的不完全意识的确切形式。根据这一假设，代理人恰恰拥有对他们最有价值的信息，考虑到他们的决策问题，受他们能够处理的信息量的限制。在这种情况下，信息量是按照香农(1948)的信息论来衡量的。按照这种方法，可以产生非常具体的定量预测，其中只有一个由疏忽假设引入的自由参数，即信息流或信息成本的衡量标准。一个特别的重点是将这一思想应用于价格调整模型。具有固定价格调整成本(“菜单成本”)的模型被广泛用于解释关于个别离散价格调整的数据。最近的文献强调，考虑价格变化的内生时机会导致总体价格水平的调整动态与具有外部价格变化时机的模型所预测的有很大不同。后者被归入货币传导机制的经验动态随机一般均衡模型和对替代货币政策的分析。这个项目在假设是否审查一个人的现有价格是在对当前市场状况的不准确了解的情况下做出的假设下重新审查了这个问题。初步结果表明，Calvo(1983)的交错定价模型在大多数情况下可以相当准确地逼近均衡动态，即在对定价政策的全面审查之间存在适度的注意力成本的情况下。然而，在某些情况下，例如在异常大的冲击下，预测的结果与卡尔沃模型的结果有很大不同。通过促进对价格调整动态的理解--这是用于政策模拟的货币传导机制宏观计量经济学模型中的一个关键问题--该项目旨在提高中央银行机构内外货币政策分析的准确性。关于价格调整的其他模式对稳定通货膨胀的福利后果的影响的调查结果，对于改进公共政策尤其重要。

Rational Inattention, Random Choice, and Dynamics of Price AdjustmentSBE-SES 0820438, WoodfordThis project develops an alternative theory of stochastic discrete choice. Standard econometric models of discrete choice in microeconomic applications, such as transportation economics, account for random individual choices, conditional on measured fundamentals, by assuming random utility. In macroeconomic models of discrete adjustment, the most common source of randomness is assumed randomness in the fixed cost of adjustment. This research instead pursues the hypothesis that random choice results from imperfect precision in agents' discrimination of the features of the choice that they face, of the kind documented by experimental studies in psychophysics. The precise form of agents' imperfect awareness of their environment is modeled using the hypothesis of "rational inattention" proposed by Sims (1998, 2003, 2006). According to that hypothesis agents have exactly that information which is most valuable to them, given their decision problem, subject to a constraint on the quantity of information that they are able to process. In this, quantity of information is measured as in the information theory of Shannon (1948). Following this approach yields very specific quantitative predictions in which there is only a single free parameter introduced by the hypothesis of inattentiveness, namely a measure of information flow or of the cost of information.A particular focus is the application of this idea to models of price adjustment. Models with fixed costs of price adjustment ("menu costs") are widely used in attempts to explain data on individual discrete price adjustments. The recent literature has stressed that allowance for endogenous timing of price changes results in substantially different dynamics of adjustment of the general price level than would be predicted by models with exogenous timing of price changes. The latter is subsumed in empirical DSGE models of the monetary transmission mechanism and in analyses of alternative monetary policies. This project reexamines the issue under the assumption that decisions whether to review one's existing price are made with imprecise awareness of current market conditions. Preliminary results suggest that the Calvo (1983) model of staggered price setting can provide quite an accurate approximation to equilibrium dynamics under most circumstances when there is a moderate cost of attention between full reviews of pricing policy. However, the predicted outcome is quite different from that of the Calvo model under certain circumstances, such under unusually large shock. By contributing to the understanding of the dynamics of price adjustment -- a key issue in macroeconometric models of the monetary transmission mechanism used for policy simulations -- the project aims to improve the accuracy of monetary policy analysis inside and outside central banking institutions. Findings on the implications of alternative models of price adjustment for the welfare consequences of inflation stabilization should be of particular importance to the improvement of public policy.