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.关联论文摘要：本文在包含内生资本积累（endogenous capital accumulation）的标准小型开放经济模型（small open economy model）框架下，考察模型设定偏误（model misspecification）与稳健性（Robustness，RB）对国际消费相关性的影响。研究表明，在金融市场（financial markets）存在资本流动（capital mobility）的情境下，RB通过使面临不同宏观经济不确定性（macroeconomic uncertainty）的各国对生产率冲击（productivity shocks）产生异质性消费响应，降低了国际消费相关性。此外，本文还证实，RB还能优化模型在三项消费动态矩（moments of consumption dynamics）上的预测表现：消费相对收入的相对波动率、消费的持续性，以及消费与产出的相关性。在通过检测错误概率（detection error probabilities）校准RB参数后，本文进一步证明，该模型能够定量解释观测到的国际消费相关性与其他消费矩特征。最后，本文发现，在经济主体因有限信息处理能力（finite information-processing capacity）无法完美观测状态变量的拓展模型中，基准模型的核心结论并未发生改变。