【主讲】Yulei Luo (香港大学)
【主题】Robustifying the Permanent Income Model with Rational Inattention
【时间】2011年12月27日 (周二) 15：30-17：00
【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 implications of model uncertainty due to robustness (RB) for consumption decisions, aggregate savings, and welfare under limited information-processing capacity (rational inattention or RI) in an otherwise standard permanent income model with filtering. We first show that RB and risk-sensitivity (RS) are observationally equivalent (OE) under imperfect information due to RI in the sense that they lead to the same consumption and saving decisions if consumers use the regular Kalman filter to extract signals. Second, we find that once allowing RS consumers to use the risk-sensitive filter and RB consumers to use the robust Kalman filter to extract signals, the absolute and linear OE between RB and RS no longer holds; instead, we find a conditional and nonlinear OE between RB and RS. Furthermore, we find that in the filtering problem, either a stronger preference for robustness in the Kalman gain, a stronger risk-sensitive preference, or higher channel capacity can increase the Kalman gain. Finally, we explore how RB in the filtering problem interacts with RI and affects consumption dynamics, aggregate savings, and the welfare costs of uncertainty.
