Arbeitspapier
Endogenous Persistence with Recursive Inattentiveness
The DSGE model with endogenous and time-varying sticky information in Dräger (2010) is extended by allowing agents recursive choice between forecasts under rational or sticky information to affect the model solution. Dynamic equilibrium paths generate highly persistent series for output, inflation and the nominal interest rate. Agents choose predictors in a near-rational manner and we find that the share of agents with rational expectations reacts to the overall variability of aggregate variables. The model can generate hump-shaped responses of inflation and output to a monetary policy shock if the degree of inattentiveness is sufficiently high. Finally, feedback from agents degree of inattentiveness to the model solution affects the determinacy region of the model. The Taylor principle is then only a necessary condition for determinacy, and monetary policy should target the output gap as well in order to ensure a unique and stable solution.
- Sprache
-
Englisch
- Erschienen in
-
Series: DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series ; No. 3/2011
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Monetary Policy
- Thema
-
Endogenous sticky information
heterogeneous expectations
DSGE models
persistence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dräger, Lena
- Ereignis
-
Veröffentlichung
- (wer)
-
Hamburg University, Department Economics and Politics
- (wo)
-
Hamburg
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dräger, Lena
- Hamburg University, Department Economics and Politics
Entstanden
- 2011
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