Inference and Macroeconomic Dynamics

该项目旨在提高我们在国家和国际一级了解、预测和控制宏观经济发展的能力。经济中的长期趋势变动，其时间尺度超出了我们现有数据的范围，提出了一些特殊的问题来进行推断，计量经济学家才刚刚开始解决这些问题。这个项目将开发在贝叶斯框架中处理这些问题的想法--明确数据和来自其他来源的信息(先前的信念)对长期动态行为知识的单独贡献。一个特别的重点将是将单变量模型在这一领域的最新结果推广到更实际的多变量模型。对于货币政策和其他形式的名义总需求管理在产生或抵消商业周期方面的重要性，宏观经济学家之间存在分歧。增加我们对这方面的认识，不仅对改善需求管理政策非常重要，而且对指导我们正在进行的银行体系重组也很重要。有关主要宏观经济总量之间关系的国际事实才刚刚开始被记录和理解。对货币变量创新(意外变化)的反应模式在初步工作中出现了令人惊讶的强劲表现，跨越国家、时间段和系统中包括的变量列表。这项研究将记录这些规律。这些规律给简单的标准理论带来了困难。例如，凯恩斯主义或货币主义理论将货币政策视为对商业周期的重大独立影响。真正的经济周期理论认为它是被动的和不重要的，因为产品和资产市场的平稳、动态运行。这项研究将使用几种新的和最近发展的建模策略来探索对这些规律的可能解释。

This project aims at improving our ability to understand, predict and control macroeconomic developments at the national and international level. Long term trend movements in the economy, at time scales exceeding the span of data we have available, raise special problems for inference that are just beginning to be addressed by econometricians. This project will develop ideas for approaching these problems in a Bayesian framework -- making explicit the separate contributions of the data and of information from other sources (prior beliefs) to knowledge of long term dynamic behavior. A special emphasis will be on extending the recent results in this area for univariate models to more practically relevant multivariate models. There is disagreement among macroeconomists on the importance of monetary policy and other forms of aggregate nominal demand management in generating or offsetting business cycles. Increasing our understanding in this area is important not only for improving demand management policy, but also in guiding the restructuring our banking system is undergoing. The international facts about relations among the main macroeconomics aggregates are only beginning to be documented and understood. Patterns of responses to innovations (surprise changes) in monetary variables appear in preliminary work surprisingly robust across countries, time periods, and lists of variables included in the system. This research will document these regularities. These regularities present difficulties for simple standard theories. For example, Keynesian or monetarist theories view monetary policy as a major independent influence on the business cycle. Real business cycle theories treat it as passive and unimportant because of the smooth dynamic functioning of product and asset markets. This research will explore possible interpretations of the regularities, using several kinds of new and recently developed modeling strategies.