Quantitative methods for monetary and fiscal policy

该项目的一个组成部分将探讨通过从通信工程中引入信息通道的香农容量概念来解释经济行为中的延迟和惯性的性质的可能性。这已经被证明意味着对永久收入理论的预测进行现实的修改，并且似乎已经成熟，可以进一步扩展。另一个组成部分将改进和应用计算机代码，以找到动态随机均衡模型解的泰勒级数展开式。这些模型在中央银行政策分析中的应用越来越广泛，因此，这些方法的广泛应用将迅速应用于重要问题。关于美国货币政策在20世纪发生了多大程度的变化以及如何变化，存在着一场争论，这与对我们货币机构改革建议的评估有关。本研究项目的一个组成部分将应用贝叶斯模型比较方法，以进一步探讨在文献中对这些问题的矛盾结论的来源。更广泛的影响最近的发展，在计量经济学方法，并在其连接到决策理论已经实际采取新的方法来定量建模的货币政策分析。本建议其他部分中的局部扩张规划和贝叶斯时变参数和模型选择方法可能会在中央银行对其方法的修订中得到应用。该项目的一个组成部分是继续保持调查员与中央银行研究部门的现有联系，传播该项目的研究成果，并更多地了解政策过程中的分析瓶颈。

One component of this project will explore the possibility of explaining the nature of delay and inertia in economic behavior by importing into standard dynamic economic theory from communications engineering the notion of the Shannon capacity of an information channel. This has already been shown to imply realistic modifications of the predictions of the permanent income theory, and appears ripe for further extension.Another component will improve and apply computer code for finding Taylor series expansions of solutions to dynamic stochastic equilibrium models. Such models are seeing increasing use in central bank policy analysis, so that wider availability of these methods will find quick application to important problems.There is a dispute, relevant to the evaluation of reform proposals for our monetary institutions, over how much and in what way monetary policy has changed in the US over the course of the twentieth century. A component of this research project will apply Bayesian model comparison methods to look further into the sources of conflicting conclusions in the literature on these issues.Broader ImpactRecent developments in econometric methodology and in its connection to decision theory have made it practical to take new approaches to quantitative modeling for monetary policy analysis. The local expansion programming and the Bayesian time-varying parameters and model choice methods in other components of this proposal are likely to find application in the central bank revisions of their methods. One component of this project is to continue existing contacts of the investigator with central bank research departments, both to disseminate the results of this project's research and to learn more about the analytic bottlenecks in the policy process.