Erschienen in:Bundesbank Discussion Paper ; No. 39/2016
Umfang:
1 Online-Ressource (49 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2852977
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2016 erstellt
Beschreibung:
In this paper, we examine the influence of information rigidities concerning the net worth of banks on the real economy over time. In a first part, we show empirically that expectations about the net earnings of banks (as growth of net worth) are truly biased, particularly during the financial crisis. The forecast error of professional investors cannot be attributed to sticky information but rather to noisy information. Investors display a learning behavior with regard to past forecast errors in forming their expectations about future earnings during the crisis. In a second part, by drawing on a New Keynesian general equilibrium model with a banking sector, we demonstrate that, by quantitatively incorporating this type of information updating and expectations formation about the net worth of banks, noisy information can produce a slow recovery compared to a full information rational expectation case