美联储-关于货币非中立性，经过衡量的信念能告诉我们什么？ 2024

What Can Measured Beliefs Tell Us About Monetary Non-Neutrality?

Introduction

Recent survey evidence indicates that firms hold inaccurate and diffuse beliefs about their economic environment, with significant heterogeneity across firms (Candia, Coibion, and Gorodnichenko, 2023). This paper investigates how these beliefs can inform our understanding of monetary non-neutrality, specifically how they affect the real effects of monetary policy on real aggregate output.

Theoretical Framework

In a general equilibrium model with nominal rigidities and endogenous information acquisition, the paper analytically characterizes firms' optimal dynamic information policies and how their beliefs influence monetary non-neutrality. Key findings include:

1. Optimal Information Policies: Firms acquire information only when changing prices and adjust it to a state-independent level ( U^* ).
2. Impact on Monetary Non-Neutrality: The interaction of nominal rigidities with endogenous information acquisition significantly affects monetary non-neutrality.
3. Identification Using Data: Cross-sectional data on pricing durations and subjective uncertainty are necessary and sufficient to identify monetary non-neutrality.

Empirical Application

Using survey data from New Zealand, the paper finds that informational frictions approximately double monetary non-neutrality. Specifically:

• Double Effect: Informational frictions approximately double the real effects of monetary shocks.
• Endogeneity of Information: Models assuming exogenous information would overstate monetary non-neutrality by about 50%.

Key Results

1. Optimal Uncertainty and Monetary Non-Neutrality:
   • Simple Form: Firms acquire information only when changing prices and reset posterior uncertainty to ( U^* ).
   • Key Implications:
     • Uncertainty increases with the duration of pricing spells.
     • Price-setting firms are the least uncertain in the economy.
     • This phenomenon is called "selection in information acquisition."
   • Mathematical Representation: The cumulative impulse response (CIR) of aggregate output to a monetary shock is given by: [ M_b = \bar{D} + U^* \sigma^2 ] where (\bar{D}) is the average duration of pricing spells, (\sigma^2) is the variance of productivity shocks, and ( U^* ) is the subjective uncertainty about marginal costs.

Conclusion

The paper provides a robust analytical framework linking surveyed beliefs to monetary non-neutrality, highlighting the importance of endogenous information acquisition and informational frictions. These insights suggest that incorporating these factors is crucial for accurately estimating the real effects of monetary policy.