Expectations, Learning and Economic Policy

现代经济理论的一个核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、通货膨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）方法提供了一个优雅的基准理论的预期形成：预期被假定为理性的，在这个意义上，代理人不犯任何系统性错误，给定的可用信息。两个基本问题，这种方法（现在的标准）关注的可达性RE，即是否有界理性的代理可以到达RE通过学习过程中，和不确定性或多重RE平衡的可能性。一个相关的问题是，理性预期的核心信息是如何通过认识到现实的决策者可能使用错误指定的模型来修改的，并意识到这一局限性。这些相互关联的问题，这对经济政策和商业周期建模的影响，是追求这个项目在几个方面。本课题的一个共同主题是学习在预期演变中所起的作用。第一部分集中于货币和财政政策。最近的工作基于“新菲利普斯曲线”模型得到（在RE假设下）旨在实现最优政策的利率反馈规则。拟议的研究表明，如果政策规则制定完全根据基本面冲击的反应，可能会出现自然的，均衡将是不稳定的，如果私人代理人遵循自适应学习规则。 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，则可以实现稳定，并实施最优的自由裁量政策。这个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。其他扩展采取货币和财政政策的相互作用，并研究适应性学习的影响，利率规则，可能会受到流动性陷阱。第二部分的重点是经济周期波动。将真实的商业周期框架扩展到垄断竞争，表明可以出现多重性，表现为围绕不确定的稳定状态的预期驱动的波动。这种可能性在一些标准货币模型中也会出现。最近的预期稳定性和自适应学习的工作提供了方便的工具，以确定这些“内生波动”是否可以出现自适应学习规则的结果。初步结果表明，一个子类的“谐振频率”的解决方案是稳定的学习的参数范围。本项目计算稳定的内生波动发生的参数区域，并研究是否可以使用宏观经济政策来防止内生波动的发生。第三条研究路线着眼于参数化不足对经济政策的“卢卡斯批判”的影响，这是可再生能源的戏剧性影响之一。认识到自己的错误指定的私人代理将通过使用“恒定增益”学习规则来响应，该规则权衡了跟踪和过滤。一个简单的例子是具有最佳调整系数的自适应期望。该项目表明，在大部分参数空间内，货币政策仍然受制于卢卡斯批判。然而，也有一些地区的期望规则是不变的，卢卡斯批判不适用。 相关的工作研究（一）下学习的高通货膨胀均衡的稳定性，在searchage模型，假设一些代理不拥有当前的信息，（二）结构异质性的作用，促进或阻碍协调可再生能源均衡，和（iii）的可能性，underparameterized学习可能会产生异质性的期望。

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.