EITM: Estimation and Analysis of Dynamic General Equilibrium Models

制定和评估经济政策是经济学的中心任务。健全的经济政策建立在对经济和政策旨在解决的问题的基本理解的基础上。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，并评估现有的和拟议的新政策。针对动态一般均衡模型的估计和分析，作者提出了五个方案。尽管这些模型最终将对更广泛的政策分析有用，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方式方面的作用。初步研究结果表明，这些冲击以标准实际商业周期模型预测的方式影响经济，但这仅仅是因为货币政策的性质。分析表明，在一次积极的技术冲击之后，就业人数会上升，这是因为美联储允许货币供应在这种冲击之后增加。相反，如果货币政策是不宽松的，那么在一场积极的科技冲击之后，就会出现持续的、效率低下的就业率下降。这些发现突显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，具有独立的利益，是开发一套与估计一般均衡模型相关的时间序列工具。第二个项目将扩大第一个项目中应用的一般均衡模型的计量经济学估计，以允许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干扰。将探索新的策略来识别数据中的这些冲击。估计的模型将用于将实际历史时间序列分解为由于各种基本面冲击而产生的分量。这些模型将被用来调查货币政策如何应对冲击，以及它应该如何应对冲击。第三个项目将专注于美国在20世纪经历的最大的经济动荡，即1930年代的大萧条。作者将考虑弗里德曼和施瓦茨(1963)的假设，即如果美联储遵循更好的货币政策，大萧条就不会那么严重。由于这一分析涉及一种反事实--如果遵循不同的货币政策，上世纪30年代会发生什么--因此需要一个模型。相应地，将估计出一个能反映美国经济基本轮廓的模型。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20世纪30年代冲击经济的经济冲击的估计将被纳入该模型。然后，作者将使用该模型来研究，如果采取不同的货币政策应对这些冲击，是否能够避免上世纪30年代的经济灾难。除了揭示大萧条的动态，该项目预计将产生一个模型，将有助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，即一个处于金融危机中的小型开放经济体是应该提高利率并捍卫其汇率，还是应该大幅降低利率并让汇率下降。在早些时候的一篇论文中，作者指出，一项政策或另一项政策是最优的取决于经济结构。这位研究人员现在建议使用从各种新兴市场经济体提取的数据来估计这种结构。预计由此产生的结构将为管理金融危机的最佳战略提供新的线索。第五个项目将探索“预期陷阱”假设，即随着时间的推移，各国内部通胀的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，这一假说已经在静态模型中得到了阐明。因此，它无法解决美国在上世纪80年代初从高通胀向低通胀转型期间遭受的明显产出和就业成本。最近的计算进展将被用来分析一个包含预期陷阱假说的模型，该模型似乎能够重现过渡经验。广泛的影响：这些项目将使与定量、动态一般均衡模型的估计和分析有关的软件可供一般政策分析师使用，特别是对中央银行。

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.