EITM: Estimation and Analysis of Dynamic General Equilibrium Models

EITM:动态一般均衡模型的估计和分析

基本信息

  • 批准号:
    0339529
  • 负责人:
  • 金额:
    $ 20.22万
  • 依托单位:
  • 依托单位国家:
    美国
  • 项目类别:
    Continuing Grant
  • 财政年份:
    2004
  • 资助国家:
    美国
  • 起止时间:
    2004-03-15 至 2008-02-29
  • 项目状态:
    已结题

项目摘要

Formulating and evaluating economic policies are central tasks of economics. Sound economic policy is based on a fundamental understanding of the economy and the problems that policy is designed to address. This requires coherent, empirically based models that can be used to understand the economy and to evaluate both existing and proposed new policies. The author proposes five projects directed towards the estimation and analysis of dynamic general equilibrium models. Although the models ultimately will be useful for the analysis of policy more broadly, the specific focus of the research will be on monetary policy.The purpose of the first project is to better understand the role of monetary policy in determining the way technological shocks propagate through the economy. Preliminary findings suggest that these shocks affect the economy in the way predicted by standard real business cycle models, but only because of the nature of monetary policy. The analysis suggests that employment rises after a positive technology shock, and that this is due to the fact that the Federal Reserve allows the money supply to increase after such a shock. If monetary policy were instead non-accommodative, a persistent - and inefficient - fall in employment would occur in the wake of a positive technology shock. The findings highlight the potential importance of monetary policy in macroeconomic dynamics. A key part of the project, of independent interest, is the development of a set of time series tools relevant for estimating a general equilibrium model.The second project would extend the econometric estimation of general equilibrium models applied in the first project to allow for a broad range of shocks to economic fundamentals, including various types of disturbances to money demand, to technology, and to government spending. New strategies will be explored for identifying these shocks in the data. The estimated models will be used to decompose actual historical time series into components due to the various fundamental shocks. The models will be used to investigate how monetary policy has responded to shocks, and how it should respond to shocks.The third project will focus on the greatest economic convulsion experienced by the United States in the 20th century, the Great Depression of the 1930s. The author will consider Friedman and Schwartz's (1963) hypothesis that the Great Depression would not have been nearly so severe, had the US Federal Reserve followed a better monetary policy. Since the analysis concerns a counterfactual - what would have happened in the 1930s if a different monetary policy had been followed - a model is required. Accordingly, a model will be estimated which captures the basic outlines of the US economy. This will be accomplished by adding a banking sector and financial frictions to the model used in the first two projects. An estimate of the economic shocks hitting the economy in the 1930s will be incorporated into the model. The author will then use the model to investigate whether a different monetary policy response to these shocks would have prevented the economic disaster of the 1930s. In addition to shedding light on the dynamics of the Great Depression, the project is expected to produce a model that will be useful for analysis of modern economies like those of the United States or the Euro area.The fourth project will address the continuing debate over whether a small, open economy in a financial crisis should raise its interest rate and defend its exchange rate, or sharply reduce the interest rate and let the exchange rate drop. In an earlier paper, the author showed that whether one policy or the other is optimal depends on the structure of the economy. The investigator now proposes to estimate that structure using data drawn from various emerging market economies. The expectation is that the resulting structure will shed new light on the optimal strategy for the management of a financial crisis.The fifth project would explore the 'expectations trap' hypothesis that the periodic rise and fall in inflation within countries over time is a consequence of lack of commitment in monetary policy. Up to now, this hypothesis has been articulated in static models. As a consequence, it cannot address the apparent output and employment costs suffered by the US in its transition, in the early 1980s, from high inflation to low inflation. Recent computational advances will be exploited to analyze a model that incorporates the expectations trap hypothesis and appears to be capable of reproducing the transitional experience.Broader Impact: The projects will make software pertaining to the estimation and analysis of quantitative, dynamic general equilibrium models available to policy analysts in general, and to central banks in particular.
制定和评估经济政策是经济学的核心任务。健全的经济政策是基于对经济和政策旨在解决的问题的基本理解。这需要连贯的、基于经验的模型,这些模型可以用来理解经济,评估现有的和拟议的新政策。本文作者提出了五个关于动态一般均衡模型的估计和分析的方案。虽然这些模型最终将有助于更广泛地分析政策,但研究的具体重点将是货币政策。第一个项目的目的是更好地理解货币政策在决定技术冲击在经济中传播的方式方面的作用。初步研究结果表明,这些冲击以标准真实的商业周期模型预测的方式影响经济,但这只是因为货币政策的性质。分析表明,就业率在正面的技术冲击后上升,这是由于联邦允许货币供应量在这种冲击后增加。相反,如果货币政策是非强制性的,那么在积极的技术冲击之后,就业就会出现持续的--而且是低效的--下降。研究结果强调了货币政策在宏观经济动态中的潜在重要性。该项目的一个关键部分是开发一套与估计一般均衡模型有关的时间序列工具,这是独立的兴趣所在。第二个项目将扩展第一个项目中应用的一般均衡模型的计量经济学估计,以考虑到对经济基本面的广泛冲击,包括对货币需求、技术和政府支出的各种扰动。将探讨新的战略,以确定这些冲击的数据。估计的模型将被用来分解实际的历史时间序列的组成部分,由于各种基本冲击。模型将用于研究货币政策如何应对冲击,以及应该如何应对冲击。第三个项目将关注美国在20世纪世纪经历的最大经济动荡,即20世纪30年代的大萧条。作者将考虑弗里德曼和施瓦茨(1963)的假设,即如果美国联邦采取更好的货币政策,大萧条就不会如此严重。由于分析关注的是一个反事实--如果在20世纪30年代采取不同的货币政策会发生什么--因此需要一个模型。 因此,将估计一个模型,该模型捕捉了美国经济的基本轮廓。这将通过在前两个项目中使用的模型中添加银行部门和金融摩擦来实现。对1930年代经济冲击的估计将被纳入模型。然后,作者将使用该模型来研究针对这些冲击的不同货币政策反应是否可以防止20世纪30年代的经济灾难。除了揭示大萧条的动态之外,该项目预计将产生一个模型,用于分析美国或欧元区等现代经济体。第四个项目将解决持续存在的争论,即一个小型开放经济体在金融危机中是否应该提高利率并捍卫其汇率,或者大幅降息,让汇率下降。在早期的一篇论文中,作者表明,一项政策或另一项政策是否最优取决于经济结构。调查员现在提议利用从各种新兴市场经济体获得的数据来估计这一结构。 预计由此产生的结构将为金融危机管理的最佳战略提供新的启示。第五个项目将探讨“预期陷阱”假设,即各国通货膨胀随着时间的推移而周期性上升和下降是缺乏货币政策承诺的结果。 到目前为止,这一假设已经在静态模型中阐明。因此,它无法解决美国在20世纪80年代初从高通胀向低通胀过渡时所承受的明显产出和就业成本。最新的计算技术将被用来分析一个模型,该模型包含了预期陷阱假设,并且似乎能够再现过渡时期的经验。更广泛的影响:该项目将使有关定量的、动态的一般均衡模型的估计和分析的软件可用于一般的政策分析师,特别是中央银行。

项目成果

期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)

数据更新时间:{{ journalArticles.updateTime }}

{{ item.title }}
{{ item.translation_title }}
  • DOI:
    {{ item.doi }}
  • 发表时间:
    {{ item.publish_year }}
  • 期刊:
  • 影响因子:
    {{ item.factor }}
  • 作者:
    {{ item.authors }}
  • 通讯作者:
    {{ item.author }}

数据更新时间:{{ journalArticles.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ monograph.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ sciAawards.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ conferencePapers.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ patent.updateTime }}

Lawrence Christiano其他文献

Lawrence Christiano的其他文献

{{ item.title }}
{{ item.translation_title }}
  • DOI:
    {{ item.doi }}
  • 发表时间:
    {{ item.publish_year }}
  • 期刊:
  • 影响因子:
    {{ item.factor }}
  • 作者:
    {{ item.authors }}
  • 通讯作者:
    {{ item.author }}

{{ truncateString('Lawrence Christiano', 18)}}的其他基金

The Inflation Bias Hypothesis and Monetary Policy in the Open Economy
开放经济中的通货膨胀偏差假说与货币政策
  • 批准号:
    9986707
  • 财政年份:
    2000
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Continuing Grant
Monetary Policy and the Monetary Transmission Mechanism
货币政策和货币传导机制
  • 批准号:
    9601253
  • 财政年份:
    1996
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Continuing Grant
The Monetary Transmission Mechanism: Quanitative Theory and Policy Implications
货币传导机制:定量理论和政策含义
  • 批准号:
    9310245
  • 财政年份:
    1993
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Continuing Grant
Estimating Two Continuous Time Economic Models
估计两个连续时间经济模型
  • 批准号:
    8511151
  • 财政年份:
    1985
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Continuing Grant

相似海外基金

Deepening and Expanding Research for Efficient Methods of Function Estimation in High Dimensional Statistical Analysis
高维统计分析中高效函数估计方法的深化和拓展研究
  • 批准号:
    23H03353
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Grant-in-Aid for Scientific Research (B)
Coincident estimation of cell elasticity and intracellular pressure by atomic force measurement and its elastic shell theory analysis
原子力测量细胞弹性和细胞内压力的一致估计及其弹性壳理论分析
  • 批准号:
    23H01143
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Grant-in-Aid for Scientific Research (B)
Development of practical analysis method by Bayesian estimation using XPS simulation system
使用 XPS 模拟系统开发贝叶斯估计实用分析方法
  • 批准号:
    23KJ0471
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Grant-in-Aid for JSPS Fellows
Electrocardiogram-based deep learning and decision analysis to improve atrial fibrillation risk estimation
基于心电图的深度学习和决策分析改善房颤风险评估
  • 批准号:
    10722762
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
Estimation of Crime Risk Areas on Spatial Autocorrelation Analysis based on Situational Crime Prevention Approach
基于情景犯罪预防方法的空间自相关分析犯罪风险区域估计
  • 批准号:
    23K04068
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)
Establishment of the method for biological tissue domain estimation and analysis based on spatial omics data
基于空间组学数据的生物组织域估计与分析方法的建立
  • 批准号:
    23K11303
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)
Analysis of the temperature dependence of the tunnel magnetoresitance based on the first-principles estimation of the interfacial s-d exchange interaction
基于界面s-d交换相互作用第一性原理估计的隧道磁阻温度依赖性分析
  • 批准号:
    23K03933
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)
Principled phylogenomic analysis without gene tree estimation
无需基因树估计的有原则的系统发育分析
  • 批准号:
    2308495
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Standard Grant
Developing guidance for analysis and reporting of oral epidemiological studies to inform burden estimation
制定口腔流行病学研究分析和报告指南,为负担估计提供信息
  • 批准号:
    MR/X011208/1
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
    Research Grant
Predictive value of Parkinson's Disease gait model-derived features for disease severity and progression estimation: An individual patient data meta-analysis.
帕金森病步态模型衍生特征对疾病严重程度和进展估计的预测价值:个体患者数据荟萃分析。
  • 批准号:
    495240
  • 财政年份:
    2023
  • 资助金额:
    $ 20.22万
  • 项目类别:
{{ showInfoDetail.title }}

作者:{{ showInfoDetail.author }}

知道了