Abstract
How does uncertainty influence how households form beliefs about the economy? We show that the impact of uncertainty on consumers' inflation belief rigidity depends crucially on its sources, such as information noise or economic volatility, in line with the predictions of a broad class of belief-updating models. First, we document a decline in households' belief rigidity at the pandemic's onset, attributed to households seeking information to navigate a more uncertain economic landscape. Second, we document an increase in households' belief rigidity during the subsequent period of high inflation, driven by a deterioration in the accuracy of information, further increasing uncertainty. Overall, we demonstrate that belief rigidity can help distinguish between sources of uncertainty, with opposite effects on information frictions and macro-finance real outcomes, such as the Phillips Curve.