中文摘要
大量心理学文献认为，由于选择性记忆提取，决策者对未来的预测会被所感知到的消息过度影响。我们采用诊断性预期（DE）范式 [Bordalo et al. (2018), Journal of Finance, 73, 199–227] 来刻画信念形成的这一特征，发展出一种将 DE 纳入经济周期模型的方法，并研究其对总体动态的含义。首先，我们处理了（1）与刻画最优行动和主体 DE 信念之间反馈相关的理论挑战，以及（2）在远期记忆下（即当消息是相对于比近期更遥远的过去而被感知时）出现的时间不一致性。其次，我们表明，在远期记忆下，行动与 DE 信念之间的相互作用会自然地产生针对单一初始冲击的反复繁荣—萧条周期。我们还提出一种可移植的求解方法，用于在动态随机一般均衡模型中研究 DE，并用其估计一个定量的 DE 新凯恩斯模型。内生状态与远期记忆二者对于成功复现货币政策冲击下所观察到的繁荣—萧条周期都发挥着关键作用。
Abstract
Abstract A large psychology literature argues that, due to selective memory recall, decision-makers’ forecasts of the future are overly influenced by the perceived news. We adopt the diagnostic expectations (DE) paradigm [Bordalo et al. (2018), Journal of Finance, 73, 199–227] to capture this feature of belief formation, develop a method to incorporate DE in business cycle models, and study the implications for aggregate dynamics. First, we address (1) the theoretical challenges associated with modelling the feedback between optimal actions and agents’ DE beliefs and (2) the time-inconsistencies that arise under distant memory (i.e. when news is perceived with respect to a more distant past than just the immediate one). Second, we show that under distant memory the interaction between actions and DE beliefs naturally generates repeated boom–bust cycles in response to a single initial shock. We also propose a portable solution method to study DE in dynamic stochastic general equilibrium models and use it to estimate a quantitative DE New Keynesian model. Both endogenous states and distant memory play a critical role in successfully replicating the boom–bust cycle observed in response to a monetary policy shock.