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Leaning against the wind in the New Keynesian model with heterogeneous expectations 在异质预期的新凯恩斯主义模型中逆风而行
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104993
Mikhail Anufriev , Fabio Lamantia , Davide Radi , Tomas Tichy
{"title":"Leaning against the wind in the New Keynesian model with heterogeneous expectations","authors":"Mikhail Anufriev ,&nbsp;Fabio Lamantia ,&nbsp;Davide Radi ,&nbsp;Tomas Tichy","doi":"10.1016/j.jedc.2024.104993","DOIUrl":"10.1016/j.jedc.2024.104993","url":null,"abstract":"<div><div>In this paper, we explore the efficiency of the Leaning Against the Wind (LAW) policy within the New Keynesian framework with heterogeneous expectations. To do this, we add a financial sector to the model, linking it with the real sector via the financial accelerator channel. We find that the range of parameters in the Taylor rule that enable the stability of the targeted equilibrium is reduced with the financial accelerator. However, expanding the Taylor rule via the LAW policy fails to counteract this effect and may even exacerbate it if the policy reacts to any mispricing. If applied conditionally on high mispricing, the LAW policy leads to co-existing stable targeted and non-targeted equilibria. Our simulations suggest that while the LAW policy can reduce the amplitude of endogenous fluctuations, it is inefficient in dealing with exogenous shocks and results in larger average deviations from the target.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104993"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information-constrained coordination of economic behavior 经济行为的信息约束协调
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104985
Guy Aridor , Rava Azeredo da Silveira , Michael Woodford
{"title":"Information-constrained coordination of economic behavior","authors":"Guy Aridor ,&nbsp;Rava Azeredo da Silveira ,&nbsp;Michael Woodford","doi":"10.1016/j.jedc.2024.104985","DOIUrl":"10.1016/j.jedc.2024.104985","url":null,"abstract":"<div><div>We analyze a coordination game with information-constrained players. The players' actions are based on a noisy compressed representation of the game's payoffs in a particular case, where the compressed representation is a latent state learned by a variational autoencoder (VAE). Our generalized VAE is optimized to trade off the average payoff obtained over a distribution of possible games against a measure of the congruence between the agent's internal model and the statistics of its environment. We apply our model to the coordination game in the experiment of <span><span>Frydman and Nunnari (2023)</span></span>, and show that it offers an explanation for two salient features of the experimental evidence: both the relatively continuous variation in the players' action probabilities with changes in the game payoffs, and the dependence of the degree of stochasticity of players' choices on the range of game payoffs encountered on different trials. Our approach also provides an account of the way in which play should gradually adjust to a change in the distribution of game payoffs that are encountered, offering an explanation for the history-dependent play documented by <span><span>Arifovic et al. (2013)</span></span>.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104985"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386571","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cooperation in temporary partnerships 临时伙伴关系中的合作
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104987
Gabriele Camera , Alessandro Gioffré
{"title":"Cooperation in temporary partnerships","authors":"Gabriele Camera ,&nbsp;Alessandro Gioffré","doi":"10.1016/j.jedc.2024.104987","DOIUrl":"10.1016/j.jedc.2024.104987","url":null,"abstract":"<div><div>The literature on cooperation in infinitely repeated Prisoner's Dilemmas covers the extreme opposites of the matching spectrum: <em>partners</em>, a player's opponent never changes, and <em>strangers</em>, a player's opponent randomly changes in every period. Here, we extend the analysis to settings where the opponent changes, but not in every period. In these temporary partnerships, players can deter some deviations by directly sanctioning their partner. Hence, relaxing the extreme assumption of one-period matchings can support some cooperation also off equilibrium because a class of strategies emerges that are less extreme than the typical “grim” strategy. We establish conditions supporting full cooperation as a subgame perfect equilibrium under a social norm that complements direct sanctions with a cyclical community sanction. Though this strategy less effectively incentivizes cooperation, it more effectively incentivizes punishment after a deviation, hence, can be preferable to the grim strategy under certain conditions.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104987"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cooperation under the shadow of political inequality 政治不平等阴影下的合作
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-06 DOI: 10.1016/j.jedc.2024.104988
Yaroslav Rosokha , Xinxin Lyu , Denis Tverskoi , Sergey Gavrilets
{"title":"Cooperation under the shadow of political inequality","authors":"Yaroslav Rosokha ,&nbsp;Xinxin Lyu ,&nbsp;Denis Tverskoi ,&nbsp;Sergey Gavrilets","doi":"10.1016/j.jedc.2024.104988","DOIUrl":"10.1016/j.jedc.2024.104988","url":null,"abstract":"<div><div>We study cooperation among individuals and groups facing a dynamic social dilemma in which the benefits of cooperation are divided according to political power obtained in a contest. The main theoretical and experimental results focus on the role of the incumbency advantage. Specifically, an incumbency advantage in the political contest leads to a rapid breakdown of cooperation in the social dilemma. In addition, we investigate whether groups behave differently than individuals and provide simulations based on the individual evolutionary learning model of Arifovic and Ledyard (2012) to shed light on the difference observed in the experiment.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104988"},"PeriodicalIF":1.9,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An individual evolutionary learning model meets Cournot 个体进化学习模型与古诺模型相符合
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-06 DOI: 10.1016/j.jedc.2024.104992
Jasmina Arifovic , Liang Diao , Nobuyuki Hanaki
{"title":"An individual evolutionary learning model meets Cournot","authors":"Jasmina Arifovic ,&nbsp;Liang Diao ,&nbsp;Nobuyuki Hanaki","doi":"10.1016/j.jedc.2024.104992","DOIUrl":"10.1016/j.jedc.2024.104992","url":null,"abstract":"<div><div>We extend the individual evolutionary learning model by incorporating other-regarding considerations and apply the model to some Cournot games. Using a model fitted to the experimental data of a repeated three-player Cournot game (with non-linear cost and demand functions), we provide out-of-sample predictions regarding the “feedback effects” and “number effects” and test them using the data gathered via newly conducted experiments. The prediction regarding the feedback effect is partially confirmed. Namely, it is observed for the three- and four-player games, but not the two-player game. The prediction regarding the number effect is also partially confirmed in that while the model predicts the number effect to be observed with detailed feedback, and not under aggregate feedback, the effect is observed with both types of feedback.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104992"},"PeriodicalIF":1.9,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Dynare toolbox for social learning expectations 社会学习期望的动态工具箱
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-05 DOI: 10.1016/j.jedc.2024.104984
Alex Grimaud , Isabelle Salle , Gauthier Vermandel
{"title":"A Dynare toolbox for social learning expectations","authors":"Alex Grimaud ,&nbsp;Isabelle Salle ,&nbsp;Gauthier Vermandel","doi":"10.1016/j.jedc.2024.104984","DOIUrl":"10.1016/j.jedc.2024.104984","url":null,"abstract":"<div><div>Social learning (SL) is a behavioral model in which expectations and the resulting aggregate dynamics stem from the interactions of a large number of heterogeneous agents. Nonetheless, this framework has so far lacked a parsimonious development with a general-solution method. This paper bridges this gap and introduces a <span>Dynare</span> toolbox to solve any linear state-space model with SL expectations, opening up a wide range of potential applications. As an illustration, optimal monetary policy rules are studied in a microfounded New Keynesian (NK) model under SL and rational expectations (RE).</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104984"},"PeriodicalIF":1.9,"publicationDate":"2024-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Is monetary and fiscal policy conflict that dire? 货币政策和财政政策的冲突有那么可怕吗？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-05 DOI: 10.1016/j.jedc.2024.104982
Jeremy Kronick , Luba Petersen
{"title":"Is monetary and fiscal policy conflict that dire?","authors":"Jeremy Kronick ,&nbsp;Luba Petersen","doi":"10.1016/j.jedc.2024.104982","DOIUrl":"10.1016/j.jedc.2024.104982","url":null,"abstract":"<div><div>Theory predicts that inflation can become unstable when policymakers are in conflict about their post-recession recovery strategies, with the fiscal authority actively borrowing and spending to stimulate economic growth while the monetary authority raises interest rates to tame inflation. Such policy conflict can generate a debt-inflation spiral when agents are forward-looking. We show that the dire effects of policy conflict are less concerning when agents form backward-looking expectations. We then test this prediction in a learning-to-forecast experiment. Our results suggest that policy conflict does not necessarily lead to worse economic outcomes. This finding is driven by the fact that agents rely mostly on recent macroeconomic trends to formulate their expectations and do not meaningfully factor the government debt level or future regime shifts into their expectations.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104982"},"PeriodicalIF":1.9,"publicationDate":"2024-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Efficiency gains through social influence in a minimum effort game 在最小努力博弈中通过社会影响获得效率
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-04 DOI: 10.1016/j.jedc.2024.104977
Jasmina Arifovic , Herbert Dawid , Mariam Nanumyan
{"title":"Efficiency gains through social influence in a minimum effort game","authors":"Jasmina Arifovic ,&nbsp;Herbert Dawid ,&nbsp;Mariam Nanumyan","doi":"10.1016/j.jedc.2024.104977","DOIUrl":"10.1016/j.jedc.2024.104977","url":null,"abstract":"<div><div>We explore the role of social influence in coordinating effort choice in a game with strategic complementarities. Agents are repeatedly randomly partitioned into groups to play a minimum effort game and choose their effort based on their beliefs about the minimal effort among the other group members. Individual expectations about this minimal effort are influenced by their own experience and by communication of beliefs within a social network. We show that increasing the importance of social influence in the expectation formation process has positive effects on the emerging (long-run) effort level, thereby improving the efficiency of the outcome. Furthermore, a more centralized social network leads to higher average efficiency, but also to increased variance of outcomes. Communication of actual minimum effort cannot replace the communication of beliefs as a device fostering the emergence of high long-run effort.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104977"},"PeriodicalIF":1.9,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sources of artificial intelligence 人工智能的来源
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-04 DOI: 10.1016/j.jedc.2024.104989
Thomas J. Sargent
{"title":"Sources of artificial intelligence","authors":"Thomas J. Sargent","doi":"10.1016/j.jedc.2024.104989","DOIUrl":"10.1016/j.jedc.2024.104989","url":null,"abstract":"<div><div>This paper describes limits of human intelligence and how humans invented artificial intelligence and machine learning. It explores the paradoxical situation that the tools that data scientists have used to develop artificial intelligence are about subjects in which we humans have hard-wired cognitive challenges that mislead us.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104989"},"PeriodicalIF":1.9,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CANVAS: A Canadian behavioral agent-based model for monetary policy CANVAS：加拿大基于行为主体的货币政策模型
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-04 DOI: 10.1016/j.jedc.2024.104986
Cars Hommes , Mario He , Sebastian Poledna , Melissa Siqueira , Yang Zhang
{"title":"CANVAS: A Canadian behavioral agent-based model for monetary policy","authors":"Cars Hommes ,&nbsp;Mario He ,&nbsp;Sebastian Poledna ,&nbsp;Melissa Siqueira ,&nbsp;Yang Zhang","doi":"10.1016/j.jedc.2024.104986","DOIUrl":"10.1016/j.jedc.2024.104986","url":null,"abstract":"<div><div>We develop the Canadian behavioral Agent-Based Model (CANVAS) that complements traditional macroeconomic models for forecasting and monetary policy analysis. CANVAS represents a next-generation modeling effort featuring enhancements in three dimensions: introducing household and firm heterogeneity, departing from rational expectations, and modeling price and quantity setting heuristics within a production network. The expanded modeling capacity is achieved by harnessing large-scale Canadian micro- and macroeconomic datasets and incorporating adaptive learning and simple heuristics. The out-of-sample forecasting performance of CANVAS is found to be competitive with a benchmark vector auto-regressive (VAR) model and a DSGE model. When applied to analyze the COVID-19 pandemic episode, our model helps explain both the macroeconomic movement and the interplay between expectation formation and cost-push shocks. CANVAS is one of the first macroeconomic agent-based models applied by a central bank to support projection and alternative scenarios, marking an advancement in the toolkit of central banks and enriching monetary policy analysis.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104986"},"PeriodicalIF":1.9,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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