Data for: Robust control, informational frictions, and international consumption correlations

Abstract of associated article: In this paper we examine the effects of model misspecification (robustness or RB) on international consumption correlations in an otherwise standard small open economy model with endogenous capital accumulation. We show that in the presence of capital mobility in financial markets, RB lowers the international consumption correlations by generating heterogeneous responses of consumption to productivity shocks across countries facing different macroeconomic uncertainty. In addition, we show that RB can also improve the model's predictions in three other moments of consumption dynamics: the relative volatility of consumption to income, the persistence of consumption, and the correlation between consumption and output. After calibrating the RB parameter using the detection error probabilities, we show that the model can explain the observed international consumption correlations as well as the other consumption moments quantitatively. Finally, we show that the main conclusions of our benchmark model do not change in an extension in which the agent cannot observe the state perfectly due to finite information-processing capacity.

本文旨在探讨模型设定偏差（稳健性或RB）对标准小开放经济模型中内生资本积累所导致的国际消费相关性的影响。在金融市场资本流动性存在的前提下，我们揭示了稳健性如何通过产生不同宏观经济不确定性环境下的国家对于生产力冲击的消费异质性反应，从而降低国际消费相关性。此外，我们亦证实稳健性还能在消费动态的三个其他时刻提升模型的预测能力：消费相对于收入的相对波动性、消费的持续性以及消费与产出之间的相关性。通过利用检测误差概率对稳健性参数进行校准后，我们表明模型能够定量地解释所观察到的国际消费相关性及其他消费时刻。最终，我们展示了基准模型的主要结论在一种拓展情景下依然成立，在该情景中，由于信息处理能力有限，智能体无法完美地观察状态。