【主题】 Robust Control, Informational Frictions, and International Consumption Correlations
【报告人】 Jun Nie, 美国堪萨斯城联邦储备银行经济研究部
【时间】 周三，2011年5月4日，下午12:00—13:30
【地点】 上海财经大学经济学院楼801室
【语言】 英文
【摘要】In this paper we examine the effects of two types of information imperfections, robustness (RB) and finite information-processing capacity (called rational inattention or RI), on international consumption correlations in an otherwise standard small open economy model. We show that in the presence of capital mobility in financial markets, RB lowers the international consumption correlations by introducing heterogeneous responses of consumption to income shocks across countries facing different macroeconomic uncertainty. However, the calibrated RB model cannot explain the observed consumption correlations quantitatively. We then show that introducing RI is capable of matching the behavior of international consumption quantitatively via two channels: (1) the gradual response to income shocks that increases the correlations and (2) the presence of the common noise shocks that reduce the correlations.
Keywords: Robustness, Rational Inattention, Risk Sharing, International Consumption Correlations.
JEL Classification Numbers: D83, E21, F41, G15.
【论文下载】
个人主页：http://www.kansascityfed.org/speechbio/nie.cfm
报告人简历：http://www.kansascityfed.org/publicat/speechbio/cv_Nie5-2010.pdf
纽约大学研究主页: http://homepages.nyu.edu/~jn461/research.htm
Macro-economics Weekly Seminar
Spring 2011
Robust Control, Informational Frictions, and International Consumption Correlations
Jun Nie, economist
Research Department
Federal Reserve Bank of Kansas City
Wednesday 4th May 2011, 12:00pm-13:30pm
Room 801, School of Economics, Shanghai University of Finance and Economics
Download:
Personal Page http://www.kansascityfed.org/speechbio/nie.cfm
Speaker’s vitae http://www.kansascityfed.org/publicat/speechbio/cv_Nie5-2010.pdf
Research Homepage at NYU: http://homepages.nyu.edu/~jn461/research.htm
