Working Paper: CEPR ID: DP16765
Authors: Heiner Mikosch; Christopher Roth; Samad Sarferaz; Johannes Wohlfart
Abstract: We leverage the small open economy Switzerland as a testing ground for basic premisesof macroeconomic models of endogenous information acquisition, using tailored surveysof firms and households. First, we show that firms perceive a greater exposureto exchange rate movements than households, which is reflected in higher levels ofinformation acquisition and less dispersed beliefs about past and future exchangerate realizations. Similarly, within the two samples, acquisition of exchange rate informationstrongly increases in various proxies for stake size. Second, householdswho perceive higher costs of acquiring or processing information acquire less information.Finally, an exogenous increase in the perceived uncertainty of the exchangerate increases firms’ demand for a report about exchange rate developments, but nothouseholds’. Our findings inform the modeling of information frictions in macroeconomics.
Keywords: information acquisition; uncertainty; stake size; firms; households
JEL Codes: D12; D14; D83; D84; E32; G11
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Firms' demand for special report on exchange rate developments (F31) | Reduction in the share of individuals opting out of receiving any report (J26) |
| Perceived exchange rate uncertainty (F31) | Households' demand for special report on exchange rate developments (F31) |
| Exogenous increase in perceived exchange rate uncertainty (F31) | Firms' demand for special report on exchange rate developments (F31) |