Information Rigidities
Information Rigidities

Author: Jonas Dovern

Publisher: International Monetary Fund

Published: 2014-02-12

Total Pages: 24

ISBN-13: 1484305345

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We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.

Information Rigidity and the Expectations Formation Process
Information Rigidity and the Expectations Formation Process

Author: Mr.Olivier Coibion

Publisher: International Monetary Fund

Published: 2012-12-20

Total Pages: 55

ISBN-13: 1475519249

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We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic significance of departures from the and the underlying degree of information rigidity. Applying this approach to U.S. and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process.

Information Rigidities in Economic Growth Forecasts
Information Rigidities in Economic Growth Forecasts

Author: Jonas Dovern

Publisher: International Monetary Fund

Published: 2013-02-27

Total Pages: 24

ISBN-13: 1475587619

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We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010. Our main findings are as follows. First, our evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts. Instead, the empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003). Second, we find that information rigidities are more pronounced in emerging economies than advanced economies. Third, there is evidence of nonlinearities in forecast smoothing. It is less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.

Information Rigidity and the Expectations Formation Process
Information Rigidity and the Expectations Formation Process

Author: Mr.Olivier Coibion

Publisher: International Monetary Fund

Published: 2012-12-20

Total Pages: 55

ISBN-13: 1475533861

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We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic significance of departures from the and the underlying degree of information rigidity. Applying this approach to U.S. and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process.

Information Rigidities
Information Rigidities

Author: Jonas Dovern

Publisher: International Monetary Fund

Published: 2014-02-12

Total Pages: 24

ISBN-13: 1484305205

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We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.

Information Rigidity in Growth Forecasts
Information Rigidity in Growth Forecasts

Author: Ms.Natalia T. Tamirisa

Publisher: International Monetary Fund

Published: 2011-06-01

Total Pages: 43

ISBN-13: 1455263427

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We document information rigidity in forecasts for real GDP growth in 46 countries over the past two decades. We investigate: (i) if rigidities are lower around turning points in the economy, such as in times of recessions and crises; (ii) if rigidities differ across countries, particularly between advanced countries and emerging markets; and (iii) how quickly forecasters incorporate news about growth in other countries into their growth forecasts, with a focus on how advanced countries‘ growth forecasts incorporate news about emerging market growth and vice versa.

Information Rigidities in Economic Growth Forecasts
Information Rigidities in Economic Growth Forecasts

Author: Jonas Dovern

Publisher: International Monetary Fund

Published: 2013-02-27

Total Pages: 24

ISBN-13: 1475562950

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We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010. Our main findings are as follows. First, our evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts. Instead, the empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003). Second, we find that information rigidities are more pronounced in emerging economies than advanced economies. Third, there is evidence of nonlinearities in forecast smoothing. It is less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.

Information Rigidity and Economic Uncertainty
Information Rigidity and Economic Uncertainty

Author: Romina Kazandjian

Publisher:

Published: 2020

Total Pages: 159

ISBN-13:

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I propose a structural micro-founded sticky-noisy information model with high- and low-uncertainty regimes. Agents first appraise the state of uncertainty and only spend resources to update their inflation expectations if they perceive uncertainty as sufficiently high. Time-varying uncertainty affects expectation formation through two direct channels: 1) the wake-up call effect, which causes agents to pay more attention, increasing their quantity of information; and 2) the wait-and-see effect, which decreases their quality of information and prompts them to put less weight on new noisier information. Using structural estimation of alternative models with information frictions, I find that accounting for the indirect state-dependence channel, the proposed innovation of the model, better explains the observed information rigidity, since it considers the interaction between the two direct effects. A substantial amount of information rigidity is due to inattention, leaving ample room for policymakers to employ frequent, direct, and simple forward guidance to "pierce the veil" of inattention.