Four Projects about Macroeconomic Risk and Uncertainty: An Accomplishment Based Renewal

关于宏观经济风险和不确定性的四个项目：基于成就的更新

• 批准号: 0137035
• 负责人: Thomas Sargent
• 金额: --
• 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: 2002
• 资助国家: 美国
• 起止时间: 2002-06-01 至 2008-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0137035&HistoricalAwards=false
• 关键词: Four; Projects; about; Macroeconomic; Risk

This project consists of four related lines of research. 1. Model drift and stochastic volatility: The project uses computationally intensive Bayesian methods to organize evidence about the sources of drift in vector autoregressions of post WWII U.S. aggregate time series. It seeks to partition drift into parts due to the systematic or autoregressive part, on the one hand, and the conditional variances of innovations, on the other. There are some influential studies in the literature that purport to affirm drift in the systematic part of vector autoregressions, and other equally influential ones that deny it in favor of drifting volatilities. Insights about continuous time diffusions lead the investigator to suspect that it is much more difficult to detect drift in the systematic part than in the volatilities. Partitioning drift into these two parts is important for quantitatively evaluating monetary and fiscal policy rules and their effects. The project interprets the evidence assembled in the light of recent theoretical formulations of drifting coefficient models that focus on the government's learning process. 2. Self-confirming equilibria and monetary policy: A self-confirming equilibrium is a form of rational expectations that permits agents' models to disagree on events that occur with zero probability in equilibrium. Recent theories of agents' learning deliver this form of rational expectations equilibrium as a limit point. This project extends earlier work with self-confirming equilibria to an empirically more ambitious one based on a version of a 'new synthesis' macro model. It also studies escape routes, a new form of dynamics, and the lessons that they carry for a possible threat to our current low-inflation regime. 3. Robust control and filtering in macroeconomics: This project pursues applications of dynamic models of robust filtering and control. The aim of this work is to provide positive and normative models of decision making where the decision-maker regards his model as an approximation. Robust decision theory provides a model of caution. Robust control theory is applied to asset pricing puzzles and the formulation of monetary and fiscal policies. 4. Macroeconomic history: This project studies in depth two or three important stabilizations of inflation and focuses on the conditions that contributed to high or low output and unemployment costs of stabilization.

该项目包括四个相关的研究方向。1.模型漂移和随机波动：该项目使用计算密集型贝叶斯方法来组织有关二战后美国汇总时间序列的向量自回归中漂移来源的证据。 它试图将漂移分为两部分，一方面是由于系统或自回归部分，另一方面是由于创新的条件方差。在文献中有一些有影响力的研究声称在向量自回归的系统部分中肯定漂移，而其他同样有影响力的研究则否认它，支持漂移波动率。关于连续时间扩散的见解使研究者怀疑，在系统部分中检测漂移比在挥发部分中检测漂移要困难得多。将漂移分为这两部分对于定量评估货币和财政政策规则及其效果非常重要。 该项目解释了收集的证据，根据最近的漂移系数模型，侧重于政府的学习过程的理论公式。2.自我确认均衡和货币政策：自我确认均衡是理性预期的一种形式，它允许代理人的模型对均衡中发生概率为零的事件产生分歧。最近的代理学习理论将这种形式的理性预期均衡作为极限点。 这个项目扩展了早期的工作与自我确认的均衡经验更雄心勃勃的一个版本的基础上的“新综合”的宏观模型。 它还研究了逃生路线，一种新的动态形式，以及它们对我们目前的低通胀制度可能构成的威胁所带来的教训。3.宏观经济学中的鲁棒控制和滤波：本项目追求鲁棒滤波和控制的动态模型的应用。这项工作的目的是提供积极的和规范的决策模型，决策者认为他的模型作为一个近似。稳健决策理论提供了一个谨慎的模型。 鲁棒控制理论被应用于资产定价难题以及货币和财政政策的制定。4.宏观经济史：本项目深入研究两三个重要的通货膨胀稳定因素，并侧重于导致产出高或低的条件以及稳定的失业成本。