中文摘要
我们表明，Gennaioli 和 Shleifer（2010, The Quarterly Journal of Economics, 125, 1399–1433）对代表性（Kahneman 和 Tversky, 1972, Cognitive Psychology, 3, 430–454）的形式化刻画，内在地包含不确定性与过度反应之间的联系。在时间序列领域，我们以诊断性预期（DE）的平滑版本发展了这一联系，其中过度反应随不确定性平滑变化。直观而言，在平滑性下，较低的不确定性使代表性扭曲信念的空间更小。平滑 DE 为调查数据的关键特征提供了一个统一的、简约的微观基础：对消息的过度反应、较长预测期上更强的过度反应、对主观不确定性的过度自信，以及本文记录的一个新典型事实——过度反应随不确定性升高而加剧。一个带有平滑 DE 的解析实际经济周期模型能够解释调查中的过度反应与过度自信，以及三个显著的商业周期特征：非对称性、宏观波动率的逆周期性以及微观波动率的逆周期性。
Abstract
We show that the formalization of representativeness (Kahneman and Tversky, 1972, Cognitive Psychology, 3, 430–454) developed by Gennaioli and Shleifer (2010, The Quarterly Journal of Economics, 125, 1399–1433) features an intrinsic connection between uncertainty and overreaction. In the time series domain, we develop this connection in a smooth version of diagnostic expectations (DE), where overreaction varies smoothly with uncertainty. Intuitively, under smoothness, lower uncertainty leaves less room for representativeness to distort beliefs. Smooth DE provides a joint, parsimonious micro-foundation for key features of survey data: overreaction to news, stronger overreaction at longer horizons, overconfidence in subjective uncertainty, and a new stylized fact documented here—overreaction intensifies with higher uncertainty. An analytical Real Business Cycle model with Smooth DE accounts for survey overreaction and overconfidence, as well as three salient business cycle properties: asymmetry, countercyclical macro volatility, and countercyclical micro volatility.