學術講座：Roles of Higher-Order Expectations on Inflation and Expected Inflation: An Analytical Approach and Evidence from Survey Data

金融學院SBF論壇2019年第14講

講座題目：Roles of Higher-Order Expectations on Inflation and Expected Inflation: An Analytical Approach and Evidence from Survey Data

講座時間：5月21日 12：20-13：30

講座地點：博學925

主 講 人：馬笑寒

 

主講人簡介：

Xiaohan Ma is an assistant professor of economics at Texas Tech University. He has previously worked as research assistant at the International Monetary Fund and the Institute for International Economic Policy at the George Washington University. His specialty areas are macroeconomics, monetary economics, and international economics. His most recent research projects have been focusing on how aggregate and industry-specific uncertainty affects short run economic fluctuations and long run economic growth.

 

講座內容簡介：

Within a standard New-Keynesian environment with sticky prices, we solve the individual firm's optimal pricing problem under dispersed information, rational expectation and characterize the individual price levels, aggregate price level, and the resulting inflation dynamics. The analytical approach unravels the roles of higher-order expectations (HOEs) and allows us to connect our theory to a series of stylized facts including i) Inflation inertia; ii) Predictability of forecast errors of average inflation expectations; and helps reconcile iii) A large discrepancy between micro- and macro- level price stickiness. We test the theory by confronting various survey data and quantify the effects of HOEs on inflation, inflation expectations and the New-Keynesian Phillips Curve.

 

摘要：在一個標準的有粘性價格的新凱恩斯模型里,我們加入了生產(chǎn)者有不同的信息這個假設. 基于這個假設,我們重新推算出生產(chǎn)者的最優(yōu)定價和通貨膨脹的動態(tài)變化. 我們的模型研究了高階預期(HOE)對于通貨膨脹的可能影響, 同時解釋了標準新凱恩斯模型無法解釋的幾類現(xiàn)象: i) 通貨膨脹的慣性 ii) 通貨膨脹預測誤差的可預期性, 和iii) 微觀和宏觀研究關于價格粘性的不同結論. 最后, 我們用幾個國家的企業(yè)和消費者調查數(shù)據(jù)驗證了我們的理論模型的合理性. 這個發(fā)現(xiàn)對于貨幣理論和貨幣政策的研究有重要的意義.