Model Uncertainty and Macrodynamics

模型不确定性和宏观动力学

• 批准号: 9809470
• 负责人: Thomas Sargent
• 金额: $ 11.98万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1998
• 资助国家: 美国
• 起止时间: 1998-09-15 至 2003-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9809470&HistoricalAwards=false
• 关键词: Model; Uncertainty; Macrodynamics

This project involves four studies of macroeconomic dynamics all set in contexts where decisions are made under model uncertainty. The first involves extending the authors previous work on robust decision and equilibrium theory. Here, model uncertainty induces decision makers to incorporate a preference for robustness of decisions across models. The aim is to extend characterizations of the effects of Knightian uncertainty on prices of risky securities. The second study analyzes adaptive learning as a source of recurrent dynamics. The author develops and applies a theory of the recurrent dynamics that a class of adaptive models displays away from rational expectations equilibria. The third study involves the discovery of key technical principles governing the proper supply of monies of different denominations as an historical case study of social learning. The final study employs the use of an econometric model of hidden periodicity as a laboratory in which to evaluate competing theoretical models of heterogeneity of beliefs (i.e., rational beliefs versus merging of beliefs). The first two studies and the last one are united in various ways, including the use of common econometric and mathematical methods used to characterize and manipulate the distance between models.

该项目涉及四项宏观经济动态研究，所有这些研究都是在模型不确定性下做出决策的背景下进行的。 第一个涉及扩展作者以前的工作，稳健决策和均衡理论。 在这里，模型的不确定性诱导决策者将跨模型的决策的鲁棒性的偏好。 其目的是扩展的特性的影响，风险证券的价格的不确定性。 第二项研究分析了自适应学习作为循环动力的来源。 作者发展并应用了一类自适应模型远离理性预期均衡的循环动态理论。 第三项研究涉及发现管理不同面额货币适当供应的关键技术原则，作为社会学习的历史案例研究。 最后一项研究采用了隐藏周期性的计量经济学模型作为实验室，以评估信念异质性的竞争理论模型（即，理性信念与信念融合）。 前两项研究和最后一项研究以各种方式结合在一起，包括使用常见的计量经济学和数学方法来表征和操纵模型之间的距离。