Uncertainty and Incentives in Macroeconomic Policy

拟议的研究包括两个不同但相关的项目，探讨不确定性和信息不对称对宏观经济政策的影响。 第一个项目侧重于在不确定性下设计最优政策，特别是货币政策的货币导向模型。本计画的研究主要是考虑政策相关动态随机一般均衡模型的估计，并探讨经验结构不确定性下的最优政策设计。然后，该项目开发和应用一种新的和相对通用的方法来处理许多不同形式的不确定性。这种方法通过在马尔可夫链中嵌入不同的结构模型来捕获模型的不确定性，这种设置可以应用于许多不同的应用程序。总体而言，本项目将为政策分析开发理论上合理、实证上相关的模型，并为政策制定者在不确定环境中的政策行为提供实践指导。第二个项目考虑动态环境中信息不对称的影响，并量化信息摩擦在总体经济中的重要性。 虽然信息不对称长期以来被认为是重要的经济问题的主机，理论上的困难阻碍了发展的信息摩擦的数量总量模型。该项目开发了新的理论方法，将强有力的结果应用于连续时间随机控制。这种方法使得动态合同模型的分析变得容易，并为广泛的应用打开了大门。本课题将利用这些方法，分析信息不对称对有效配置和均衡配置的综合影响，说明信息扭曲如何有助于解释经济增长、消费、就业、资产价格等方面的重要现象。该提案中的许多结果具有很强的政策含义。 特别是，第一个项目的大部分内容都明确针对不确定性下的货币政策设计。通过分析不确定性的经验相关来源，本项目有助于设计政策规则，这将导致良好的经济绩效。 虽然第二个项目更具理论性，但它对经济增长和就业等问题有影响，这些问题在政策讨论中至关重要。 这项研究也将广泛传播。 该项目的很大一部分涉及新理论方法的发展。研究人员将在互联网上提供记录良好的用户友好的计算机代码，以便其他研究人员可以应用新方法。

The proposed research consists of two distinct but related projects which explore the implications of uncertainty and asymmetric information for macroeconomic policy. The first project focuses on empirically-oriented models for the design of optimal policy, particularly monetary policy, under uncertainty. The research in this project considers the estimation of policy-relevant dynamic stochastic general equilibrium models and studies the design of optimal policy under empirically structured uncertainty. The project then develops and applies a new and relatively general method for dealing with many different forms of uncertainty. This method captures model uncertainty by embedding different structural models within a Markov chain, a setup which can be applied to a host of different applications. Overall, this project will lead to the development of theoretically sound and empirically relevant models for policy analysis, and will provide practical guidance on the conduct of policy in the uncertain environments policymakers face.The second project considers the implications of asymmetric information in dynamic environments, and quantifies the importance of information frictions in aggregate economies. While informational asymmetries have long been considered important for a host of economic issues, theoretical difficulties have hindered the development of quantitative aggregate models with information frictions. This project develops new theoretical methods which apply powerful results in continuous time stochastic control. This approachmakes amenable the analysis of dynamic contracting models, and opens the door to a wide array of applications. This project will use these methods to analyze the aggregate effects of asymmetric information in efficient and equilibrium allocations, showing how the informational distortions can help explain key phenomena in economic growth, consumption, employment, and asset prices.Broader Impacts. Many of the results in the proposal have strong policy implications. In particular, most of the first project is explicitly aimed at the design of monetary policy under uncertainty. By analyzing the empirically relevant sources of uncertainty, this projects helps design policy rules which will lead to good economic performance. While the second project is more theoretical, it has implications for issues such as economic growth and employment which are of prime importance in policy discussions. This research will also be broadly disseminated. A large portion of the project deals with the development of new theoretical methods. The investigator will make well-documented user-friendly computer code available on the internet so that other researchers can apply the new methods.