ERN: Theoretical Dynamic Models (Topic)最新文献

{"title":"From CATS to CAOS: Fiscal Multipliers and Agents’ Expectations in a Macroeconomic Agent-Based Model","authors":"Severin Reissl","doi":"10.2139/ssrn.3611318","DOIUrl":"https://doi.org/10.2139/ssrn.3611318","url":null,"abstract":"This paper uses a macroeconomic agent-based model building on Delli Gatti et al. (2011) to investigate the influence of agents’ expectations and consumption choices on government expenditure multipliers. Following a thorough investigation of the size of the multiplier in the pre-existing baseline model, a modification is introduced, allowing agents to engage in inter-temporal optimization of consumption subject to a budget constraint which is based on estimates of future income. Compared to the baseline, the fiscal multiplier is strongly affected by this alternative consumption behavior, becoming significantly smaller. In a further step, agents’ beliefs about the effects of government expenditure shocks are explicitly introduced. In the case of exogenously imposed beliefs coupled either with adaptation of individual beliefs or switching behavior between different types of beliefs, it is shown that both optimistic and pessimistic expectations can be temporarily self-fulfilling and either increase or decrease the value of the multiplier. Both forms of belief dynamics also allow for the incorporation of announcement effects of fiscal policy. In a final experiment, agents are allowed to engage in least-squares learning in order to gain an estimate of the effect of government expenditure shocks on future income. It is shown that under least squares learning, beliefs are ‘rational’ insofar as they lead to broadly correct predictions on average. The paper hence contributes to addressing aspects of the Lucas critique as applied to macro-ABMs, since agents react systematically (and reasonably) to announcements of changes in fiscal policy.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125645755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models","authors":"Juan Li, Wenqiang Li, Gechun Liang","doi":"10.2139/ssrn.3601075","DOIUrl":"https://doi.org/10.2139/ssrn.3601075","url":null,"abstract":"This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the dynamics of the underlying stocks depends on the correlated stochastic factors. The uncertainty stems from the probability measure chosen by an investor to evaluate the performance. We obtain directly the representation of the power robust forward performance process in factor-form by combining the zero-sum stochastic differential game and ergodic BSDE approach. We also establish the connections with the risk-sensitive zero-sum stochastic differential games over an infinite horizon with ergodic payoff criteria, as well as with the classical power robust expected utility for long time horizons.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"612 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133872051","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Research on the Impact of Innovation on Economic Development: Theoretical Models","authors":"L. Spankulova, Layly Tokaeva","doi":"10.2139/ssrn.3593189","DOIUrl":"https://doi.org/10.2139/ssrn.3593189","url":null,"abstract":"The forerunner of modern research was the theoretical work of the 1950-60s, in which it was proposed to measure innovation with the help of indirect indicators, such as the number of patents issued to an organization or its employees; significant capital and operating costs of companies in research and development, design, engineering, manufacturing and marketing, etc. Models of exogenous growth, being part of the general theory of economic growth, originate in the early works of R. Solow [Solow, 1957]. Since consistency was the most important characteristic of the classical Solow model, two main drivers of economic growth stand out in it: an increase in labor costs and the concept of capital. The concept of capital is based on knowledge, which is positioned as a new factor in economic growth. As an indicator integrating \"intangible assets\" necessary for economic, financial and innovative activities. A model of the logical and meaningful interconnection of long-term economic growth and an increase in the quality of life determined by innovation activity was proposed by R. Solow [Solow, 1957]. Systematic work on the development of endogenous growth models was started in the works of Uzawa [Uzawa, 1965], the Romer model [Romer, 1986], the Uzawa-Lucas model [Lucas, 1988]. A model with human capital — for example, the Mankyu, Romer and Weil model, the Romer model, and the Lucas model — show the impact of exchange of ideas on economic growth. By modifying the neoclassical model of economic growth (by introducing labor mobility), an analysis is made of the impact of migration on economic growth. The paper shows that the effect of migration on the convergence of countries in terms of GDP occurs due to the spread of technology between countries (exchange of ideas).","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124705485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An Analysis of Monetary Policy in a Monetary Search Model with Non-unitary Discounting (Originally entitled: A Monetary Search Model with Non-unitary Discounting)","authors":"Daiki Maeda","doi":"10.2139/ssrn.3458766","DOIUrl":"https://doi.org/10.2139/ssrn.3458766","url":null,"abstract":"Based on findings in the behavioral economics literature, I incorporate non-unitary discounting into a monetary search model to study optimal monetary policy. I apply non-unitary discounting, that is, discount rates that are different across goods. With this extension to the model, I find that there are cases where optimal monetary policy deviates from the Friedman rule.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131567219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Réformes Agricoles, Emploi Et Réduction De La Pauvreté: Une Analyse En Équilibre Général Dynamique (Agricultural Reforms, Employment, and Poverty Reduction: A Dynamic General Equilibrium Analysis)","authors":"Soumana Harouna Idé, S. Sangare, Fatimata Ousseini, Bibata Mahamadou","doi":"10.2139/ssrn.3455301","DOIUrl":"https://doi.org/10.2139/ssrn.3455301","url":null,"abstract":"<b>French Abstract:</b> Le Niger ambitionne de mobiliser et valoriser ses ressources en eau pour satisfaire ses besoins d’irrigation. La présente étude évalue l’impact d’une plus grande mobilisation de ces eaux sur les agrégats macroéconomiques : la production agricole, l’emploi, le revenu des ménages et la pauvreté. Le Modèle d’Equilibre Général Calculable (MEGC) dynamique est utilisé pour mettre en œuvre un premier scénario examinant les répercussions d’une augmentation de la production des eaux souterraines puis un autre portant sur les effets d’un accroissement de l’offre des eaux de surface. Les résultats estimés sur une période de 15 ans illustrent les mécanismes de transmission selon les types d’investissements privilégiés. Dans les deux scénarios, on observe une amélioration significative de la production agricole, la croissance économique et le revenu des ménages agricoles. Toutefois, les effets sont nettement plus importants lorsque des efforts sont fournis pour mobiliser les eaux de surface.<br><br><b>English Abstract:</b> Niger aims to mobilize and leverage water resources to meet its irrigation water needs. This study evaluates the impact of large-scale water mobilization on macroenomic aggregates: agricultural production, employment, household income, and poverty. The dynamic Computable General Equilibrium (CGE) model was used to set up a first scenario to examine the repercussions of an increase of groundwater production and another scenario on the effects of a growth of surface water supplies. The results, estimated over a period of 15 years, show transmission mechanisms according to the preferred types of investments. In both scenarios, we observe a significant improvement of agricultural production, economic growth, and agricultural household income. However, the effects are obviously more important with greater efforts to mobilize surface waters.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134035841","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Online Estimation of DSGE Models","authors":"Michael D Cai, Marco Del Negro, Edward P. Herbst, Ethan Matlin, Reca Sarfati, F. Schorfheide","doi":"10.2139/ssrn.3426004","DOIUrl":"https://doi.org/10.2139/ssrn.3426004","url":null,"abstract":"\u0000 This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating dynamic stochastic general equilibrium (DSGE) model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for ‘online’ estimation (that is, re-estimating a model as new data become available), and provide examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts and study the sensitivity of the predictive performance to changes in the prior distribution. We find that making priors less informative (compared with the benchmark priors used in the literature) by increasing the prior variance does not lead to a deterioration of forecast accuracy.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127994683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Overlooked Importance of Benjamin Friedman’s Original, 1979 Critique of the Foundations of Rational Expectations Supplied by Lucas and Sargent: The Fallacy of Long Runism (Conditional a Priorism)","authors":"M. E. Brady","doi":"10.2139/ssrn.3367673","DOIUrl":"https://doi.org/10.2139/ssrn.3367673","url":null,"abstract":"Lucas, Sargent, and all other proponents, advocates, users and supports of the Rational Expectations Hypothesis have overlooked the fact that their claim that decision makers can learn about and apply in the short run knowledge of the long run convergence properties of objective frequency probability distributions, as the number of observations in the series approaches infinity, is problematic. The argument, that they can learn, grasp and apply such long run knowledge and apply it in any short-run period of time, is called the fallacy of long runism (conditional apriorism). Nicholas Rescher demonstrated this repeatedly in work published in the mid to late 1970s. This error was originally made by Charles Sanders Pierce and Hans Reichenbach in their theoretical frequentist approaches to probability. <br><br>Benjamin Friedman noticed the dependence of the Lucas–Sargent( 1979) claim, that decision-makers can come to know the long run convergence properties of the mechanism that is generating the long run series of observations, knowledge of which can only be learned in the distant, very long run as the limit is approached as the number of observations approaches infinity, about the applicability of the rational expectations hypothesis. Lucas-Sargent sidestepped this criticism by claiming that they could use the Bayesian, Subjective theory of probability as their foundation instead. However, in the early 2000’s, Anderson, Hansen, and Sargent (2003) and Hansen and Sargent (2011) stated that they could not use the subjective theory of probability as the foundation for the Rational Expectations Hypothesis because a large number of restrictions imposed by the rational expectations hypothesis conflicted directly with the theory of subjective probability as developed by L J Savage in 1954. Anderson, Hansen, and Sargent (2003) and Hansen and Sargent (2011) reverted to the claim that the foundation of the Rational Expectations Hypothesis was objective frequentist probability theory. However, they simply repeat the original position published in 1979 by Lucas and Sargent. Benjamin Friedman’s original critique of rational expectations in 1979 is applicable again. <br><br> The failure of any user, proponent or advocate of the rational expectations hypothesis to demonstrate the forecasting superiority of the rational expectation’s hypothesis over other approaches, through the use of proper scoring rules in the nearly 60 years that have passed since the publication of Muth’s original exposition of the rational expectation’s hypothesis, calls into question the claims made by Lucas and Sargent in 1979 about rational expectations. <br><br>It is difficult to find a specific theory of probability upon which proponents, advocates, user, or supporters of the rational expectations hypothesis in the literature agree is to be used to support their claims. Currently, the combined use of both subjective and objective theories of probability, which often occurs many times simu","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116002537","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Short Note on Aggregating Productivity","authors":"D. Baqaee, E. Farhi","doi":"10.2139/ssrn.3353922","DOIUrl":"https://doi.org/10.2139/ssrn.3353922","url":null,"abstract":"This paper discusses two simple decompositions for aggregate productivity analysis in the presence of distortions and in general equilibrium. The first is a generalization of Baqaee and Farhi (2017) and the second is due to Petrin and Levinsohn (2012). In the process, we propose a new “distorted” Solow residual which, contrary to the traditional Solow residual, accurately measures changes in aggregate productivity in disaggregated economies with distortions. These formulas apply to any collection of producers ranging from one isolated producer to an industry or to an entire economy. They can be useful for empiricists and theorists alike. Potential applications of these formulas include: (1) decomposing aggregate productivity into its microeconomic sources, separating technical and allocative efficiency; (2) aggregating microeconomic estimates (for example, from natural experiments) to assess macroeconomic effects; (3) constructing and interpreting aggregate counterfactuals. Despite their simplicity, the formulas are general, allowing for production networks, multi-product firms, and non-constant returns. They are also entirely nonparametric. They only assume market clearing and cost minimization.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124315447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Don’T Tax Capital €” Optimal Ramsey Taxation in Heterogeneous Agent Economies with Quasi-Linear Preferences","authors":"YiLi Chien, Y. Wen","doi":"10.20955/wp.2019.007","DOIUrl":"https://doi.org/10.20955/wp.2019.007","url":null,"abstract":"We build a tractable infinite-horizon Aiyagari-type model with quasi-linear preferences to address a set of long-standing issues in the optimal Ramsey taxation literature. The tractability of our model enables us to analytically establish several strong and novel results: (i) The optimal capital tax is exclusively zero in a Ramsey steady state regardless of the modified golden rule and government debt limits. (ii) Along the transition path toward a Ramsey steady state, optimal capital tax depends positively on the elasticity of intertemporal substitution. (iii) When a Ramsey steady state (featuring a non-binding government debt limit) does not exist but is erroneously assumed to exist, the modified golden rule always \"holds\" and the implied \"optimal\" long-run capital tax is strictly positive, reminiscent of the result obtained by Aiyagari (1995). (iv) Whether the modified golden rule holds depends critically on the government's capacity to issue debts, but has no bearing on the planner's long-run capital tax scheme. (v) The optimal debt-to-GDP ratio in the absence of a binding debt limit, however, is determined by a positive wedge times the modified-golden-rule saving rate; the wedge is decreasing in the strength of the individual self-insurance position and approaches zero when the idiosyncratic risk vanishes or markets are complete. The key insight behind our results is the Ramsey planner's ultimate concern for self-insurance. Since taxing capital in the steady state permanently hinders individuals' self-insurance positions, the Ramsey planner prefers (i) taxing capital only in the short run and (ii) issuing debt rather than imposing a steady-state capital tax to correct the capital-overaccumulation problem under precautionary saving motives. Thus, in sharp contrast to Aiyagari's argument, permanent capital taxation is not the optimal tool to achieve aggregate allocative efficiency despite overaccumulation of capital, and the modified golden rule can fail to hold in a Ramsey equilibrium whenever the government encounters a debt-limit.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129635460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Heterogeneous Households Under Uncertainty","authors":"P. Veronesi","doi":"10.2139/ssrn.3302757","DOIUrl":"https://doi.org/10.2139/ssrn.3302757","url":null,"abstract":"I characterize a dynamic economy under general distributions of households’ risk tolerance, endowments, and beliefs about long-term growth. As the economy expands and the stock market rises (a) the fraction of households with declining consumption-share increases; (b) the wealth-share of high risk-tolerant households increases; (c) richer households’ wealth display a higher CAPM beta; and (d) households’ portfolios change qualitatively. A log-utility investor for instance borrows in contractions but lends in expansions. Variations in uncertainty and expected growth generate trading volume due to risk sharing. Higher uncertainty increases stock prices, risk premiums, volatility, wealth inequality and the dispersion of portfolio holdings, consistently with the events in the late 1990s.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129105496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}