Measurement of the Behaviors of Public Information Acquisition and Its Relationship with the Effectiveness of Monetary Policy

Abstract

Abstract:

Public expectation can significantly affect the effectiveness of monetary policy and in the process of expectation formation, public learning plays a crucial role. In view of this, this paper discusses the relationship between public's information acquisition behavior and the effectiveness of monetary policy through an information acquisition index. The index is constructed by using the Internet search volumes of some specific key words. Firstly, this paper proposes three assumptions based on macro financial game of asymmetric information. Then, a FAVAR model contained 69 monthly variables is estimated to evaluate the effectiveness of monetary policy. At the same time, sliding window technology is used to describe the temporal characters of the policy's effectiveness. Finally, the correlation between the effectiveness of monetary policy and the information acquisition index is tested. The empirical result shows that the index is highly correlated with macroeconomic fluctuations. Meanwhile, economic data play a crucial role in public expectation formation and in public rationality measurement. The public concern of macroeconomic data and policies may somewhat neutralize the stimulating effect of monetary expansion on output and remarkably reduce the level and volatility of inflation.

Key words: public expectation, monetary policy, macro financial game, factor-augment vector regressive model (FAVAR)

Yuan Ming. Measurement of the Behaviors of Public Information Acquisition and Its Relationship with the Effectiveness of Monetary Policy[J]. , 2017, 29(8): 13-22.

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