Flexibility and Uncertainty: Implications for Aggregate Fluctuations

与实际经济周期分析中使用的具有代表性的代理人新古典增长模型相比，本项目开发的模型可以更好地实现真实和金融现象之间的全面整合。这将是一个重要的贡献，因为实际经济周期理论中使用的模型似乎无法解释商业周期频率下资产价格的波动，或者美国国债平均年回报率与股票回报率之间的利差。这个项目中开发的模型在脉冲(经常性不确定性)和传播机制(在灵活和不灵活行为之间的选择)上都不同于真实经济周期理论。对经济的冲击只能部分观察到。因此，代表代理人从那些可观察到的电击中得出关于真正电击的推论。这些推论会受到“信心”反复波动的影响。通过根据美国经济的长期增长事实校准其参数，通过模型经济再现了实际经济的关键统计数据。更具体地说，该模型再现了消费、产出和投资等实际规模，并观察了有关资产价格波动、股票溢价和利率期限结构的金融统计数据。

This project develops a model which can better achieve an overall integration between real and financial phenomena than the representative agent neoclassical growth model used in real business cycle analysis. This would be an important contribution because the models employed in Real Business Cycle theory appear to be unable to account for the volatility of asset prices at business cycle frequency or the spread between the average annual returns of Treasury Bills and the return on equities. The model developed in this project differs both in its impulse (recurring uncertainty) and propagation mechanisms (the choice between flexible and inflexible actions) from Real Business Cycle theory. Shocks to the economy are only partially observable. As a result, the representative agent draws an inference about the true shock from those which are observable. These inferences are subject to recurring fluctuations in "confidence." By calibrating its parameters to long-run growth facts of the U.S. economy, key statistics of the actual economy are reproduced through the model economy. More specifically, the model reproduces real magnitudes such as consumption, output and investment, and observed financial statistics on the volatility of asset prices, the premium on equities, and the term structure of interest rates.