Robust Predictions for DSGE Models with Incomplete Information

Ryan Chahrour and Robert Ulbricht

American Economic Journal: Macroeconomics, 2023, vol. 15, issue 1, 173-208

Abstract: We provide predictions for DSGE models with incomplete information that are robust across information structures. Our approach maps an incomplete-information model into a full-information economy with time-varying expectation wedges and provides conditions that ensure the wedges are rationalizable by some information structure. Using our approach, we quantify the potential importance of information as a source of business cycle fluctuations in an otherwise frictionless model. Our approach uncovers a central role for firm-specific demand shocks in supporting aggregate confidence fluctuations. Only if firms face unobserved local demand shocks can confidence fluctuations account for a significant portion of the US business cycle.

JEL-codes: D82 D83 E13 E31 E32 (search for similar items in EconPapers)
Date: 2023
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.aeaweb.org/doi/10.1257/mac.20200053 (application/pdf)
https://doi.org/10.3886/E148421V1 (text/html)
https://www.aeaweb.org/doi/10.1257/mac.20200053.appx (application/pdf)
https://www.aeaweb.org/doi/10.1257/mac.20200053.ds (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
Working Paper: Robust Predictions for DSGE Models with Incomplete Information (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aea:aejmac:v:15:y:2023:i:1:p:173-208

Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions

DOI: 10.1257/mac.20200053

Access Statistics for this article

American Economic Journal: Macroeconomics is currently edited by Simon Gilchrist

More articles in American Economic Journal: Macroeconomics from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().