Collaborative Research: Monetary DSGE Models: Advances in Theoretical Modelling and Econometric Analysis

合作研究：货币 DSGE 模型：理论建模和计量经济分析的进展

• 批准号: 1061358
• 负责人: Sadik Boragan Aruoba
• 金额: $ 25.09万
• 依托单位: University of Maryland, College Park
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2011
• 资助国家: 美国
• 起止时间: 2011-06-01 至 2015-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1061358&HistoricalAwards=false
• 关键词: Collaborative; Research; Monetary; DSGE; Models

This proposal contains four closely related projects. (1) The Zero-Lower Bound and Optimal Policy. The goal of this project is to characterize the properties of optimal monetary policy in the presence of a zero lower bound on nominal interest rates. As in Aruoba and Schorfheide (2010 AEJ Macro) the analysis will account for both the New Keynesian as well as Friedman welfare cost channel. While the latter has been largely ignored in the existing literature, the previous results document its quantitative importance. Unlike in AS, the welfare cost calculation will account for aggregate uncertainty. The PI's will consider optimized simple monetary policy rules as well as the fully optimal policy. (2) Credit Frictions and Liquidity. The goal is to develop an estimable monetary DSGE model in which financial shocks can disrupt the exchange of goods in decentralized markets that require money or some form of credit as a medium of exchange. The model is then estimated based on U.S. data and its fit is compared to a more flexible benchmark. The estimated model is used to assess monetary policy in crisis periods. (3) Nonlinear DSGE-Based Hierarchical Models. The goal of this project is to obtain a novel toolkit for the estimation and inference in potentially misspecified nonlinear DSGE models. These tools will be applied to the estimation and evaluation of the models described in Projects 1 and 2. Starting point is the DSGE-VAR framework developed by Del Negro and Schorfheide (2004 IER, 2009 AER). (4) Model Perturbations. The goal of this project is to develop and apply Bayesian econometric and computational techniques to account for uncertainty caused by auxiliary aspects of the specification of a DSGE model.Intellectual Merit of the Proposed ProjectsThe intellectual merit of the work is high, as the problems address developing models that capture important trade-offs and constraints faced by monetary policy makers and creating econometric tools that enable plausible characterizations of uncertainty - are widely acknowledged to be both highly challenging and crucially important for compelling empirical application of modern macroeconomic models to monetary policy analysis. The projects are timely, since the U.S. is experiencing a period of near-zero nominal interest rates and policy makers are debating the most effective monetary and fiscal policy instruments.Broader Impact of the Proposed ProjectsThe broader impacts of the projects are substantial and several-fold. First, it will contribute directly to teaching and learning via mentoring and collaborating with graduate students. Second, we will reach out to underrepresented groups via broad web-based dissemination of all research results. Third, the projects will enhance infrastructure for research and education by establishing a variety of collaborations: between disciplines (by deepening our understanding of the econometrics / macroeconomics interface), between researchers and nations (by utilizing national and international co-authorships and joint projects), and between academia and other communities including government and policy organizations (by facilitating and accelerating knowledge transfer from academia). This knowledge transfer is crucially important, because the problems on which the proposed research focuses are precisely those that have hindered widespread application of modern macroeconomic models in government and policy organizations. Hence if the intellectual merit of the research is high, its value is nevertheless much greater than that associated purely with its intellectual merit. Indeed, the research will significantly push modern macroeconomic modeling, policy analysis, and forecasting toward routine application, producing improved policy, and ultimately improved general performance of the macroeconomy

该提案包含四个密切相关的项目。(1)零下界与最优策略。该项目的目标是在名义利率下限为零的情况下，描述最优货币政策的特性。正如Aruoba和Schorfheide （2010 AEJ Macro）所述，该分析将考虑新凯恩斯主义和弗里德曼福利成本渠道。虽然后者在现有文献中很大程度上被忽视，但先前的结果证明了其数量重要性。与AS不同，福利成本计算将考虑总不确定性。PI将考虑最优的简单货币政策规则以及完全最优的政策。(2)信贷摩擦与流动性。目标是开发一种可估计的货币DSGE模型，在该模型中，金融冲击可以破坏分散市场中需要货币或某种形式的信贷作为交换媒介的商品交换。然后根据美国的数据对模型进行估计，并将其与更灵活的基准进行比较。该估计模型用于评估危机时期的货币政策。(3)基于dsge的非线性层次模型。该项目的目标是获得一个新的工具包，用于估计和推断潜在错误指定的非线性DSGE模型。这些工具将应用于项目1和项目2中描述的模型的估计和评估。起点是Del Negro和Schorfheide （2004 IER, 2009 AER）开发的DSGE-VAR框架。(4)模型摄动。该项目的目标是开发和应用贝叶斯计量经济和计算技术，以解释由DSGE模型规范的辅助方面引起的不确定性。建议项目的智力价值这项工作的智力价值很高，因为问题涉及开发模型，捕捉货币政策制定者面临的重要权衡和约束，并创建计量经济学工具，使不确定性的合理特征-被广泛认为是极具挑战性的，对于现代宏观经济模型在货币政策分析中的引人注目的实证应用至关重要。这些项目是及时的，因为美国正经历一个名义利率接近于零的时期，政策制定者正在讨论最有效的货币和财政政策工具。建议工程项目的更广泛影响这些工程项目的更广泛影响是巨大的，而且是多方面的。首先，它将通过与研究生的指导和合作，直接促进教学和学习。其次，我们将通过广泛的网络传播所有研究结果，接触到代表性不足的群体。第三，这些项目将通过建立各种合作来加强研究和教育的基础设施：学科之间（通过加深我们对计量经济学/宏观经济学界面的理解），研究人员与国家之间（通过利用国家和国际合作和联合项目），学术界与包括政府和政策组织在内的其他社区之间（通过促进和加速学术界的知识转移）。这种知识转移至关重要，因为所提议的研究关注的问题正是那些阻碍现代宏观经济模型在政府和政策组织中广泛应用的问题。因此，如果一项研究的智力价值很高，那么它的价值远远大于单纯的智力价值。事实上，该研究将显著推动现代宏观经济模型、政策分析和预测走向常规应用，产生改进的政策，并最终改善宏观经济的总体表现