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学术讲座:Roles of Higher-Order Expectations on Inflation and Expected Inflation: An Analytical Approach and Evidence from Survey Data

金融学院SBF论坛2019年第14

讲座题目:Roles of Higher-Order Expectations on Inflation and Expected Inflation: An Analytical Approach and Evidence from Survey Data

讲座时间:5月21日 12:20-13:30

讲座地点:博学925

主 讲 人:马笑寒

 

主讲人简介:

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.

 

讲座内容简介:

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:在一个标准的有粘性价格的新凯恩斯模型里,我们加入了生产者有不同的信息这个假设. 基于这个假设,我们重新推算出生产者的最优定价和通货膨胀的动态变化. 我们的模型研究了高阶预期(HOE)对于通货膨胀的可能影响, 同时解释了标准新凯恩斯模型无法解释的几类现象: i) 通货膨胀的惯性 ii) 通货膨胀预测误差的可预期性, 和iii) 微观和宏观研究关于价格粘性的不同结论. 最后, 我们用几个国家的企业和消费者调查数据验证了我们的理论模型的合理性. 这个发现对于货币理论和货币政策的研究有重要的意义.