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

这个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的贝叶斯方法来组织关于二战后美国总时间序列的矢量自回归漂移来源的证据。它试图将漂移划分为部分，一方面是由于系统或自回归的部分，另一方面是创新的条件方差。文献中有一些有影响力的研究声称肯定向量自回归系统部分的漂移，而其他同样有影响力的研究则否认它，支持漂移波动。对连续时间扩散的洞察使研究者怀疑，在系统部分检测漂移比在波动部分检测漂移要困难得多。将漂移划分为这两个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。该项目解释了根据最近关注政府学习过程的漂移系数模型的理论公式收集的证据。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零概率发生的事件产生分歧。最近关于主体学习的理论将这种形式的理性预期均衡作为一个极限点。该项目将早期的自我确认均衡工作扩展到基于“新综合”宏观模型版本的经验上更具雄心的工作。它还研究了逃离路线，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：该项目研究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和规范的决策模型，其中决策者认为他的模型是一个近似。稳健决策理论提供了一个谨慎的模型。稳健控制理论应用于资产定价难题和货币和财政政策的制定。4. 宏观经济历史：该项目深入研究了两次或三次重要的通胀稳定，并着重于导致高或低产出的条件以及稳定的失业成本。

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.