Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts
提出一种检验完全信息理性预期假说的新方法，能识别对原假设的拒绝是否源于信息刚性，并量化其经济显著性和刚性程度。应用于美国和跨国专业预测者数据，发现普遍存在信息刚性的证据，并揭示了预期形成过程中的状态依赖性。
We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidity. Applying this approach to US and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process.