诊断预期在开放经济中的重要性

The Importance of Diagnostic Expectations in Open Economies Selim Elekdag, Mananirina Razafitsiory, Luis-Felipe Zanna WP/25/246 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers are IMF Working Paper Institute of Capacity Development The Importance of Diagnostic Expectations in Open EconomiesPrepared bySelim Elekdag, MananirinaRazafitsiory,andLuis-Felipe Zanna* Authorized for distribution by Andy BergNovember2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of the ABSTRACT:We develop and estimate a parsimonious New-Keynesian small open-economy model thatincorporates Diagnostic Expectations (DE)—a behavioral alternative to Rational Expectations (RE). Under DE,agents systematically overreact to new information, generating additional endogenous volatility. Our empiricalanalysis provides robust support for the DE framework: it fits Canadian data significantly better than the nested WORKING PAPERS The Importance of Diagnostic Prepared bySelim Elekdag,Mananirina Razafitsiory,andLuis-Felipe Zanna Contents I.Introduction......................................................................................................................................................4 2.1Diagnostic Expectations—A primer....................................................................................................62.2Households.........................................................................................................................................72.3Firms...................................................................................................................................................92.4The Government...............................................................................................................................11 III.Model Estimations.......................................................................................................................................12 3.1Data..................................................................................................................................................123.2Bayesian Estimation.........................................................................................................................123.3Prior Distributions..............................................................................................................................133.4Estimation Results............................................................................................................................13 IV.Model Properties.........................................................................................................................................14 4.1Impulse Responses..........................................................................................................................144.2Variance Decompositions.................................................................................................................174.3Output-Inflation Volatility Trade-Offs.................................................................................................18 V.Conclusion....................................................................................................................................................19 Appendix I: Data................................................................................................................................................35 Appendix II: Microeconomic Foundations, the Steady State and the Linearized Model............................37 A. Microeconomic Foundations....................................................................................................................37A.1 Households.....................................................................................................................................37A.2 Firms...............................................................................................................................................37B. Steady State............................................................................................................................................39 Appendix III: Supplementary IRF Analysis.....................................................................................................42 References.........................................................................................................................................................47 FIGURES Figure 1. Data.....................................................................................................................................................21Figure 2. Impulse Responses: Monetary Policy Shock (μm)............................