Aggregate Implications of Heterogeneous Inflation Expectations: The Role of Individual Experience
研究在一般均衡框架下，基于个体经历形成的异质性通胀预期如何影响宏观经济，发现这种预期会锚定总需求对通胀历史的反应，导致预期动态缓慢，央行需积极行动防止通胀被长期记忆。
Abstract We explore the implications of heterogeneous, history-dependent inflation expectations in a general equilibrium setting. We propose an experience-based expectations-augmented Kalman filter to represent consumers’ heterogeneous inflation expectations, where heterogeneity arises from an anchoring-to-the-past mechanism. Using survey data, we show that the model replicates US consumers’ inflation expectations and their heterogeneity across cohorts. We introduce this mechanism into a New Keynesian model and find that heterogeneous expectations anchor aggregate responses to the agents’ inflation history, producing sluggish expectations dynamics. Central banks should be active to prevent inflationary episodes that agents will remember far into the future.