Robust animal spirits
Robust animal spirits
复制标题
DOI：
10.1016/j.jmoneco.2012.10.017
复制
发表时间：
2012-12-01
影响因子：
4.1
通讯作者：
Smith, M. E.
中科院分区：
文献类型：
--
作者：
Bidder, R. M.;Smith, M. E.
在一个真实的商业周期模型中，代理人对模型错误指定的恐惧与随机波动相互作用，从而引起随时间变化的最坏情况。这些随时间变化的最坏情况场景捕捉了动物精神的概念，其中用于评估决策规则和资产价格的概率分布不一定反映经济的基本特征。家庭对世界持悲观看法，其悲观程度随经济总体波动程度而变化，这意味着波动冲击的影响会扩大。通过使用摄动方法和蒙特卡罗技术，我们扩展了鲁棒控制方法分析的模型类，包括排序的非线性生产为基础的DSGE模型，在学术研究和决策实践中很受欢迎。(C)2012 Elsevier B.V.保留所有权利。
In a real business cycle model, an agent's fear of model misspecification interacts with stochastic volatility to induce time varying worst case scenarios. These time varying worst case scenarios capture a notion of animal spirits where the probability distributions used to evaluate decision rules and price assets do not necessarily reflect the fundamental characteristics of the economy. Households entertain a pessimistic view of the world and their pessimism varies with the overall level of volatility in the economy, implying an amplification of the effects of volatility shocks. By using perturbation methods and Monte Carlo techniques we extend the class of models analyzed with robust control methods to include the sort of nonlinear production-based DSGE models that are popular in academic research and policymaking practice. (C) 2012 Elsevier B.V. All rights reserved.