Expectations, Learning and Economic Policy

现代经济理论的一个中心特征是企业和家庭做出的前瞻性决策。因此，对经济主体的预期是消费、投资、通胀和商业周期等宏观经济理论的关键组成部分。RE(理性预期)方法论为预期形成提供了一种优雅的基准理论：在给定可用信息的情况下，预期被假设为理性的，即代理人不会犯任何系统性错误。这种(现在是标准的)方法的两个基本问题涉及RE的可达性，即有限理性代理是否可以通过学习过程到达RE，以及RE均衡的不确定性或多重性的可能性。一个相关的问题是，认识到现实的决策者可能会使用错误指定的模型，并意识到这一限制，理性预期的核心信息是如何修改的。这些相互关联的问题对经济政策和商业周期建模有影响，本项目在几个方面进行了研究。整个项目的一个共同主题是学习在预期的演变中所起的作用。第一部分集中在货币和财政政策上。最近基于“新菲利普斯曲线”模型的研究获得了(在RE假设下)旨在实施最优政策的利率反馈规则。拟议中的研究表明，如果政策规则完全根据对基本面冲击的反应来制定--这可能看起来很自然--如果私人代理人遵循适应性学习规则，均衡将是不稳定的。然后，该项目表明，如果利率规则以正确的方式依赖于基本面冲击和观察到的私人预期，就可以实现稳定，并实施最优的相机抉择政策。该项目将分析扩展到货币当局可以承诺遵守固定规则的情况。其他扩展研究了货币和财政政策的相互作用，并研究了适应性学习对可能受到流动性陷阱影响的利率规则的影响。第二部分的重点是经济周期波动。对实际经济周期框架的扩展以纳入垄断竞争表明，多重性可能会出现，表现为预期驱动的围绕不确定稳定状态的波动。众所周知，这种可能性也出现在一些标准货币模型中。最近关于预期稳定性和适应性学习的研究提供了便利的工具，以确定这些“内生波动”是否会作为适应性学习规则的结果而出现。初步结果表明，在一定范围的参数学习下，“共振频率”解的子类是稳定的。该项目计算发生稳定内生波动的参数区域，并调查宏观经济政策是否可以用来防止内生波动的产生。第三条研究路线着眼于参数不足对经济政策的“卢卡斯批评”的影响，这是RE的戏剧性影响之一。认识到自己错误指定的私人代理将使用权衡跟踪和过滤的“恒定增益”学习规则做出回应。一个简单的例子是具有最佳调整系数的自适应预期。这个项目表明，在大部分参数空间中，货币政策仍然受到卢卡斯的批评。然而，也有一些领域的期望规则是不变的，卢卡斯的批评不适用。相关工作考察了(I)在铸币税模型中，在某些代理人不拥有当前信息的假设下，高通胀均衡在学习下的稳定性，(Ii)结构异质性在促进或阻碍RE均衡上的协调方面的作用，以及(Iii)学习参数不足可能产生预期的异质性。

A central feature of modem economic theory is the forward-looking decisions made by firms and households. Expectations of economic agents are therefore a key component of macroeconomic theories of consumption, investment, inflation and the business cycle. The RE (rational expectations) methodology has provided an elegant benchmark theory of expectation formation: expectations are assumed to be rational in the sense that agents do not make any systematic errors, given the available information. Two fundamental issues for this (now standard) approach concern the attainability of RE, i.e. whether boundedly rational agents can arrive at RE through a learning process, and the possibility of indeterminacy or multiplicity of RE equilibria. A related question is how the central messages of rational expectations are modified by the recognition that realistic decision-makers are likely to use misspecified models, and to be aware of this limitation. These interconnected issues, which have implications for economic policy and business cycle modeling, are pursued by this project on several fronts. A common theme throughout the project is the role that learning plays in the evolution of expectations.The first part focuses on monetary and fiscal policy. Recent work based on "new Phillips curve" models has obtained (under the RE assumption) interest rate feedback rules designed to implement optimal policy. The proposed research shows that if policy rules are formulated entirely in terms of responses to fundamental shocks, as might appear natural, the equilibrium will be unstable if private agents follow adaptive learning rules. The project then shows that stability can be achieved, and optimal discretionary policy implemented, if the interest rate rule depends in the right way on both the fundamental shocks and observed private expectations. This project extends the analysis to cases in which the monetary authorities can commit themselves to a fixed rule. Other extensions take up the interaction of monetary and fiscal policy and study the implications of adaptive learning for interest rate rules that may be subject to liquidity traps. The focus of the second part is business cycle fluctuations. Extensions of the Real Business Cycle framework to incorporate monopolistic competition have shown that multiplicities can arise, taking the form of expectation driven fluctuations around an indeterminate steady state. This possibility is known also to arise in some standard monetary models. Recent work on expectational stability and adaptive learning has provided convenient tools to determine whether these "endogenous fluctuations" can arise as outcomes of adaptive learning rules. Preliminary results show that a subclass of "resonant frequency" solutions is stable under learning for a range of parameters. This project computes the parameter regions for which stable endogenous fluctuations occur and investigates whether macroeconomic policy can be used to prevent endogenous fluctuations from arising. A third line of research looks at the implications of underparameterization for the "Lucas Critique" of economic policy, one of the dramatic implications of RE. Private agents that recognize their misspecification will respond by using "constant gain" learning rules that trade off tracking and filtering. A simple example is adaptive expectations with an optimally tuned coefficient. This project shows that for much of the parameter space monetary policy remains subject to the Lucas Critique. However, there are also regions in which the expectation rule is invariant and the Lucas Critique does not apply. Related work examines (i) the stability under learning of the high inflation equilibrium, in the seignorage model, to the assumption that some agents do not possess current information, (ii) the role of structural heterogeneity in facilitating or impeding coordination on a RE equilibrium, and (iii) the possibility that underparameterized learning may generate heterogeneity of expectations.