Do heterogenous beliefs drive the US business cycles?
本文估计了一个包含信念异质性的行为新凯恩斯模型，发现异质性信念在正常时期影响温和，但在新冠疫情等大冲击期间显著放大宏观经济波动，揭示了理性预期模型的局限性。
This paper estimates a Behavioural New Keynesian (BNK) model incorporating belief heterogeneity through a switching mechanism. Agents form expectations using either a forward-looking (rational) or backward-looking (extrapolative) rule, and their weights evolve endogenously based on past forecast performance. To identify the latent structural shocks and the time-varying composition of beliefs over the business cycle, we apply a simulation-based nonlinear filtering and backward smoothing routine, which recovers full-sample paths of unobserved states consistent with both equilibrium restrictions and observed macroeconomic data. Our results show that belief heterogeneity has moderate quantitative effects during normal times but significantly amplifies macroeconomic dynamics during periods of large shocks, such as the COVID-19 crisis. This highlights some limitations of rational expectations models and points to the relevance of endogenous expectation formation for business cycle analysis.