Dynamic information aggregation: Learning from the past
研究了在信息分散的情况下，经济主体能从价格或产出等历史内生总量中学到多少信息。发现当一般均衡效应足够强时，总量不再完全揭示基本面，导致信息摩擦的影响持续存在，并产生先反应不足后过度反应的动态模式。
With dispersed information, how much can agents learn from past endogenous aggregates such as prices or output? In a rational-expectations equilibrium, if general equilibrium effects are strong enough, aggregates no longer perfectly reveal underlying fundamentals. In this confounding regime, the effects of informational frictions are persistent over time, and the aggregate outcome displays an initial under-reaction followed by a delayed over-reaction relative to its perfect-information counterpart. In a standard New Keynesian model, we show that endogenous information aggregation helps bring the model predictions on aggregate forecasts closer to the data.