DSGE Nash: Solving Nash games in macro models

IF 1.9 3区 经济学 Q2 ECONOMICS
Massimo Ferrari Minesso , Maria Sole Pagliari
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引用次数: 0

Abstract

This paper presents DSGE Nash, a toolkit to solve for pure strategy Nash equilibria of global games in macro models. Nash equilibria are computed with a decentralized approach: each player controls only its own policy function while other agents in the economy act independently. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad range of settings, including the possibility of matching empirical data. Importantly, it allows to solve for the equilibrium in the presence of non-linearities or conditionally on shocks. When only one player is selected, the problem is re-framed as a standard optimal policy problem. We apply the algorithm to a standard two-country open-economy model, where central banks compete for rate setting. In the Nash equilibrium, central banks symmetrically trade-off inflation for output stabilization, in the presence of a zero lower bound constraint, the equilibrium becomes asymmetric: the central bank in the shock-originating economy implements a tighter policy, to reduce the zero lower bound duration, while the central bank in the other country opts for a more lenient rate setting strategy.
DSGE纳什:在宏观模型中解决纳什博弈
本文提出了一种求解宏观模型全局博弈纯策略纳什均衡的工具DSGE Nash。纳什均衡是用分散的方法计算的:每个参与者只控制自己的政策功能,而经济中的其他代理人独立行动。虽然主要是为了解决DSGE模型中的纳什均衡而设计的,但该工具包包含了广泛的设置,包括匹配经验数据的可能性。重要的是,它允许在非线性或有条件的冲击下求解平衡。当只选择一个参与者时,问题被重新定义为标准的最优策略问题。我们将该算法应用于标准的两国开放经济模型,在该模型中,中央银行竞争利率设定。在纳什均衡中,中央银行为了稳定产出而对称地权衡通货膨胀,在存在零下限约束的情况下,均衡变得不对称:冲击产生经济体的中央银行实施更紧缩的政策,以缩短零下限持续时间,而另一个国家的中央银行选择更宽松的利率制定策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.10
自引率
10.50%
发文量
199
期刊介绍: The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.
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