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，考察了模型设定偏误（model misspecification，即稳健性Robustness，RB）对跨国消费相关性的影响。研究表明，在金融市场存在资本流动的情形下，RB会通过使面临不同宏观经济不确定性（macroeconomic uncertainty）的各国消费对生产率冲击（productivity shocks）产生异质性响应，进而降低跨国消费相关性水平。此外，本文还证实，RB还可从消费动态的另外三个矩统计量维度优化模型的预测效果：消费相对于收入的相对波动率、消费的持续性，以及消费与产出的相关性。在利用探测错误概率（detection error probabilities）校准RB参数后，本文发现该模型能够定量解释观测到的跨国消费相关性及其他消费动态矩特征。最后，本文通过拓展模型验证：当经济主体因有限信息处理能力（finite information-processing capacity）无法完全观测经济状态时，基准模型的核心结论并未发生改变。