An Estimated Model of Household Inflation Expectations: Information Frictions and Implications
构建并估计了一个包含信息摩擦和时变参数的家庭通胀预期动态模型，发现家庭对通胀的关注度随通胀波动性内生变化，这有助于解释大缓和时期通胀预期的锚定现象。
Abstract This paper proposes and estimates a dynamic model of household inflation expectations with information frictions and time-varying parameters, where households use a Bayesian learning model to form and update inflation expectations. The model decomposes households’ inflation expectation formation process into a learning component, a noisy signal component, and a measurement component. Model-implied household inflation expectations provide a robust fit for the expectation-augmented Phillips curve. As a result of time-varying inflation dynamics, households’ attention to inflation is endogenous to its volatility. This insight offers explanations for the anchoring of inflation expectations during the Great Moderation.