Expectations and Economic Fluctuations

预期和经济波动

• 批准号: 9617501
• 负责人: George Evans
• 金额: $ 16.07万
• 依托单位: University of Oregon Eugene
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1997
• 资助国家: 美国
• 起止时间: 1997-06-01 至 2000-11-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9617501&HistoricalAwards=false
• 关键词: Expectations; Economic; Fluctuations

9617501 Evans This project addresses the important and as yet unresolved issue whether expectations have power as independent variables to explain fluctuations in aggregate economic variables such as GDP or inflation. A recurrent theme in macroeconomics has been the hypothesis that expectations do matter, and that their importance is of the same order of magnitude as monetary, productivity and fiscal shocks. But standard dynamic macroeconomic models assume away the possibility of an independent role in explaining economic fluctuations and those models which allow for this possibility make unappealing assumptions. This project constructs models in which expectations have an independent role and in which such solutions are stable under adaptive learning. A new version of the seignorage model of inflation will be developed which includes a fiscal restriction (inspired in part by the European Union conditions for Monetary Union) on the maximum size of the deficit relative to GDP. When this model is studied under adaptive learning a number of novel features emerge. For example, this project shows that it my be possible to become trapped in a high inflation equilibrium, even when a low inflation equilibrium exists. However, a policy which tightens the fiscal restriction can induce the economy to move to the low inflation equilibrium. A second line of research will analyze the stability of the rational expectations equilibrium (REE) in a general dynamic multivariate linear model. Many applied macroeconomic models can be approximated by this framework. The project derives general conditions for REE to be stable under adaptive learning and apply the results to a range of examples. A third line of research develops a version of an endogenous growth model which exhibits growth cycles, i.e., equilibrium fluctuations in growth rates generated by self fulfilling shifts in business confidence and investment. The underlying mechanisms are based on (1) complementarities between capital inputs and (2) monopolistic competition in the development of new designs. Related work includes (1) a comparison to the data of the statistical time series implications of the increasing returns growth model, (2) investigation of the implications for asset prices of modeling asset demands as guided by a genetic algorithm,, (3) the development of new technical tools for analyzing the convergence of adaptive learning in the presence of multiple equilibria (4) study of the implications for convergence of the presence of heterogeneous expectations. ??

9617501 Evans 该项目解决了一个重要且尚未解决的问题，即预期是否有能力作为自变量来解释 GDP 或通货膨胀等总体经济变量的波动。 宏观经济学中一个反复出现的主题是这样的假设：预期确实很重要，而且其重要性与货币、生产率和财政冲击具有相同的数量级。 但标准的动态宏观经济模型假设了在解释经济波动中发挥独立作用的可能性，而那些考虑到这种可能性的模型做出了毫无吸引力的假设。 该项目构建的模型中，期望具有独立作用，并且此类解决方案在自适应学习下是稳定的。 将开发新版本的通货膨胀铸币税模型，其中包括对相对于 GDP 的赤字最大规模的财政限制（部分受到欧盟货币联盟条件的启发）。 当在自适应学习下研究该模型时，出现了许多新特征。 例如，该项目表明，即使存在低通胀均衡，也有可能陷入高通胀均衡。 然而，收紧财政限制的政策可以促使经济转向低通胀均衡。 第二项研究将分析一般动态多元线性模型中理性预期均衡（REE）的稳定性。 许多应用的宏观经济模型都可以用这个框架来近似。 该项目得出了 REE 在自适应学习下保持稳定的一般条件，并将结果应用于一系列示例。 第三条研究开发了内生增长模型的一个版本，该模型展示了增长周期，即由商业信心和投资的自我实现变化所产生的增长率的均衡波动。 其根本机制基于（1）资本投入之间的互补性和（2）新设计开发中的垄断竞争。 相关工作包括（1）与递增收益增长模型的统计时间序列影响的数据进行比较，（2）研究以遗传算法为指导的资产需求建模对资产价格的影响，（3）开发新技术工具，用于分析存在多重均衡的情况下自适应学习的收敛性（4）研究异质预期存在的收敛性影响。 ??