美联储有限视野规划下的通货膨胀预期

Inflation Expectations with Finite Horizon Planning

Introduction

• Motivation: Macroeconomists incorporate behavioral elements into models due to cognitive limitations in processing information.
• Framework: The finite horizon planning (FHP) framework, developed by Woodford (2018), assumes agents have limited ability to evaluate all possible economic paths.
• Previous Research: Gust et al. (2022) showed that a New Keynesian (NK) model with FHP can explain inflation persistence and fit macroeconomic data better than other models.

Key Findings

• Model Implications: FHP firms' price-setting behavior leads to initial underreaction and subsequent overreaction in inflation forecasts.
• Planning Horizon: A four-quarter planning horizon can account for the predictability of inflation forecast errors and macroeconomic data.
• Parameters: The FHP model adds only two new parameters to a standard NK model, making it parsimonious yet effective.

Empirical Evidence

• Consensus Forecasts: CG (2015) found evidence of underreaction in forecast revisions, while KW (2021) provided evidence of overreaction.
• Professional Forecasts: AHS (2020) studied professional forecasters' inflation forecasts and found initial underreaction followed by overreaction.

Analytical Characterization

• Price Setting Dynamics: Analytically characterizing the dynamics of aggregate inflation and firms' inflation forecasts.
• Conditions: Two key features—finite planning horizon and updating beliefs based on past data—lead to the observed patterns in inflation forecast errors.

Model Estimation

• Estimation Strategy: Combines full-information methods using aggregate data with regression-based estimates using inflation expectations data.
• General Equilibrium Model: The FHP model in the context of a dynamic general equilibrium model (Woodford, 2018) generates inflation forecast errors consistent with empirical patterns.

Conclusion

• Implications: The FHP model provides a compelling framework for understanding inflation expectations and forecast predictability.
• Advantages: The model is parsimonious, adding only two new parameters, and remains easy to solve and use for macroeconomic analysis.

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This summary captures the main points of the research, focusing on the analytical and empirical findings related to inflation expectations and the finite horizon planning framework.