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Essays on Macroeconomic Models with ...

Chiang, Yu-Ting.

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Essays on Macroeconomic Models with Dispersed Information.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Macroeconomic Models with Dispersed Information./
Author:	Chiang, Yu-Ting.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
Description:	145 p.
Notes:	Source: Dissertations Abstracts International, Volume: 83-01, Section: A.
Contained By:	Dissertations Abstracts International83-01A.
Subject:	Information science. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28499597
ISBN:	9798516959653

Essays on Macroeconomic Models with Dispersed Information.
Chiang, Yu-Ting.

Essays on Macroeconomic Models with Dispersed Information. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 145 p.

Source: Dissertations Abstracts International, Volume: 83-01, Section: A.

Thesis (Ph.D.)--The University of Chicago, 2021.

This item must not be sold to any third party vendors.

I study a dispersed information economy in which agents choose how much attention to pay to macroeconomic events. I show that under certain conditions, attention and four widely studied measures of uncertainty are countercyclical: agents pay attention when they expect the economy to be in a bad state, and this increase in attention leads to higher (i) conditional volatility of aggregate output, (ii) dispersion of individual output, (iii) forecast dispersion about aggregate output, and (iv) forecast uncertainty about aggregate output. As agents pay attention, they react more to an event and their aggregate response generates high volatility. Because information is dispersed, agents' beliefs and reactions diverge and each agent faces higher uncertainty about others' aggregate response. All these implications are consistent with data. I evaluate the mechanism quantitatively in a dynamic dispersed information economy calibrated to U.S. forecast-survey data. In the calibrated economy, countercyclical attention generates countercyclical fluctuations in all four measures of uncertainty with cyclicality, magnitude, and persistence consistent with untargeted moments in the data. The analysis of the dynamic dispersed information economy requires a new solution method. Due to dispersed information, the economy features an "infinite regress problem" under which the equilibrium lacks a finite recursive state space. Existing methods addressing the problem are constrained to first-order approximations. These methods cannot capture attention and uncertainty fluctuations because these fluctuations are higher-order dynamics of the model. I develop a higher-order approximation method for dispersed information economies based on perturbation techniques to capture higher-order dynamics.

ISBN: 9798516959653Subjects--Topical Terms:

554358
Information science.
Subjects--Index Terms:

Dispersed information

Essays on Macroeconomic Models with Dispersed Information.
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245 1 0 $a Essays on Macroeconomic Models with Dispersed Information.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2021
300 $a 145 p.
500 $a Source: Dissertations Abstracts International, Volume: 83-01, Section: A.
500 $a Advisor: Golosov, Mikhail;Hansen, Lars.
502 $a Thesis (Ph.D.)--The University of Chicago, 2021.
506 $a This item must not be sold to any third party vendors.
520 $a I study a dispersed information economy in which agents choose how much attention to pay to macroeconomic events. I show that under certain conditions, attention and four widely studied measures of uncertainty are countercyclical: agents pay attention when they expect the economy to be in a bad state, and this increase in attention leads to higher (i) conditional volatility of aggregate output, (ii) dispersion of individual output, (iii) forecast dispersion about aggregate output, and (iv) forecast uncertainty about aggregate output. As agents pay attention, they react more to an event and their aggregate response generates high volatility. Because information is dispersed, agents' beliefs and reactions diverge and each agent faces higher uncertainty about others' aggregate response. All these implications are consistent with data. I evaluate the mechanism quantitatively in a dynamic dispersed information economy calibrated to U.S. forecast-survey data. In the calibrated economy, countercyclical attention generates countercyclical fluctuations in all four measures of uncertainty with cyclicality, magnitude, and persistence consistent with untargeted moments in the data. The analysis of the dynamic dispersed information economy requires a new solution method. Due to dispersed information, the economy features an "infinite regress problem" under which the equilibrium lacks a finite recursive state space. Existing methods addressing the problem are constrained to first-order approximations. These methods cannot capture attention and uncertainty fluctuations because these fluctuations are higher-order dynamics of the model. I develop a higher-order approximation method for dispersed information economies based on perturbation techniques to capture higher-order dynamics.
590 $a School code: 0330.
650 4 $a Information science. $3 554358
650 4 $a Standard deviation. $3 3560390
650 4 $a Random variables. $3 646291
650 4 $a Equilibrium. $3 668417
650 4 $a Aggregates. $3 3564159
650 4 $a Approximation. $3 3560410
650 4 $a Prices. $3 652651
650 4 $a Noise. $3 598816
650 4 $a Maps. $3 544078
650 4 $a Methods. $3 3560391
653 $a Dispersed information
653 $a Endogenous attention
653 $a Macroeconomic uncertainty
690 $a 0501
690 $a 0511
690 $a 0723
710 2 $a The University of Chicago. $b Economics and Business. $3 2097303
773 0 $t Dissertations Abstracts International $g 83-01A.
790 $a 0330
791 $a Ph.D.
792 $a 2021
793 $a English
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28499597