Rational Inattention in Uncertain Business Cycles
论文提出内生信息选择是不确定性影响价格动态的渠道，构建了含波动不确定性和内生信息处理能力的理性疏忽模型，发现企业学习与最优注意力对波动变化存在惯性和不对称性，并用MS-FAVAR实证支持了模型预测。
The paper proposes endogenous information choice as a channel through which uncertainty affects price dynamics. I consider a rational inattention model with volatility uncertainty and endogenous information processing capability. According to the model, firms' learning and optimal attention exhibits inertia and asymmetry in response to volatility changes. Firms choose to process more information when uncertainty rises, especially about aggregate conditions, and their pricing behavior changes accordingly. Using a Markov‐switching factor‐augmented vector autoregression (MS‐FAVAR), the paper also documents a significant positive correlation between volatility and firms' responsiveness to macro‐ and microlevel shocks, consistent with model predictions.