Inference and Macroeconomic Dynamics

这个项目旨在提高我们理解、预测 控制国家宏观经济发展， 国际一级。 经济的长期趋势变动， 在时间尺度上超过了我们现有的数据范围， 为推理提出了一些特殊的问题， 由计量经济学家来解决。 这个项目将发展想法 在贝叶斯框架中处理这些问题， 明确数据和 从其他来源的信息（先前的信念）到知识 长期动态行为。 将特别强调 扩展了单变量模型在这一领域的最新结果 更实用的多变量模型。 宏观经济学家对以下问题的重要性存在分歧： 货币政策和其他形式的名义总需求 在产生或抵消商业周期的管理。 增加我们对这一领域的了解不仅重要， 改善需求管理政策，同时也指导 我们的银行体系正在进行重组。 的 关于主要宏观经济学之间关系的国际事实 对总量的记录和了解才刚刚开始。 对创新（意外变化）的反应模式 货币变量在初步工作中出现令人惊讶的强劲 在不同国家、不同时间段和变量列表中， 系统中 本研究将记录这些数据。 这些缺陷给简单标准带来了困难 理论 例如，凯恩斯主义或货币主义理论认为， 货币政策作为对企业的主要独立影响 周期 真实的商业周期理论将其视为被动的， 不重要，因为产品的平稳动态功能 资产市场。 这项研究将探索可能的 解释的，使用几种新的 以及最近开发的建模策略。

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.