Rational Inattention, Random Choice, and Dynamics of Price Adjustment

理性不注意、随机选择与价格调整动态

• 批准号: 0820438
• 负责人: Michael Woodford
• 金额: $ 22.42万
• 依托单位: Columbia University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2008
• 资助国家: 美国
• 起止时间: 2008-07-01 至 2013-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0820438&HistoricalAwards=false
• 关键词: Rational; Inattention; Random; Choice; Dynamics

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.

理性不注意、随机选择与价格调整动力学本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，如运输经济学中，离散选择的标准计量经济学模型通过假设随机效用来解释随机的个人选择，这些选择以测量的基本原理为条件。在离散调整的宏观经济模型中，最常见的随机性来源是固定调整成本中的假设随机性。相反，这项研究追求的假设是，随机选择是由于行动者对他们所面临的选择的特征的不精确的辨别造成的，这是心理物理学实验研究所证明的。agent对环境不完全意识的精确形式是用Sims（1998,2003,2006）提出的“理性不注意”假设来建模的。根据这个假设，在给定决策问题的情况下，行为者拥有对他们最有价值的信息，受制于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，会产生非常具体的定量预测，其中只有一个由注意力不集中假设引入的自由参数，即对信息流或信息成本的衡量。一个特别的焦点是这一思想在价格调整模型中的应用。具有固定价格调整成本（“菜单成本”）的模型被广泛用于解释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导致的一般价格水平调整动态与采用价格变化的外生时机的模型所预测的大不相同。后者包含在货币传导机制的实证DSGE模型和替代货币政策的分析中。本项目在假设是否审查现有价格的决定是在对当前市场条件的不精确认识下做出的情况下重新审视了这个问题。初步结果表明，卡尔沃（1983）的交错价格设定模型可以在大多数情况下提供相当准确的均衡动力学近似，当在全面审查定价政策之间存在适度的注意成本时。然而，在某些情况下，例如在异常大的冲击下，预测结果与卡尔沃模型的预测结果有很大不同。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通货膨胀稳定的福利后果的影响的调查结果对改善公共政策应具有特别重要的意义。