Behavioral Heterogeneity in U.S. Inflation Dynamics

In this article we develop and estimate a behavioral model of inflation dynamics with heterogeneous firms. In our stylized framework there are two groups of price setters, fundamentalists and random walk believers. Fundamentalists are forward-looking in the sense that they believe in a present-value relationship between inflation and real marginal costs, while random walk believers are backward-looking, using the simplest rule of thumb, naive expectations, to forecast inflation. Agents are allowed to switch between these different forecasting strategies conditional on their recent relative forecasting performance. We estimate the switching model using aggregate and survey data. Our results support behavioral heterogeneity and the significance of evolutionary learning mechanism. We show that there is substantial time variation in the weights of forward-looking and backward-looking behavior. Although on average the majority of firms use the simple backward-looking rule, the market has phases in which it is dominated by either the fundamentalists or the random walk believers.

本文构建并估计了一类包含异质性企业的通胀动态行为模型。在本文的简约分析框架中，存在两类价格设定主体：基本面派（fundamentalists）与随机游走信念者（random walk believers）。基本面派具备前瞻性，即他们认同通胀与实际边际成本之间存在现值关联关系；而随机游走信念者则持后顾性视角，采用最简单的经验法则——朴素预期（naive expectations）进行通胀预测。行为主体可依据近期相对预测表现，在这两类不同的预测策略间进行切换。本文基于加总数据与调研数据对该切换模型进行估计，研究结果证实了行为异质性的存在，以及演化学习机制的显著性。研究表明，前瞻性与后顾性行为的权重存在显著的时序变动。尽管平均而言多数企业会采用简单的后顾性规则，但市场会阶段性地由基本面派或随机游走信念者主导。