Identifying the source of information rigidities in the expectations formation process
本文通过估计平均预测误差和预测方差方程，区分了两种信息刚性（粘性信息和噪声信息）在预期形成中的作用，发现两者都重要但更支持噪声信息。
Coibion and Gorodnichenko (2015) provide a useful framework to test the null hypothesis of full-information rational expectations against two popular classes of information rigidities, sticky information (SI) and noisy information (NI). However, the observational equivalence of SI and NI in average forecast errors gives no power in the test for one against the other. We identify the source of information rigidities by estimating the equations for the average forecast errors and variance of forecasts. The results show the importance of both SI and NI, but favor a type of NI in which agents can quickly learn the underlying state.