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: 1061725
• 负责人: Frank Schorfheide
• 金额: $ 27.7万
• 依托单位: University of Pennsylvania
• 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=1061725&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）零降低的界限和最佳策略。该项目的目的是表征最佳货币政策的特性，而在标称利率的零下限存在下。就像在Aruoba和Schorfheide（2010 AEJ宏）中一样，分析将解释新的凯恩斯主义者和弗里德曼福利成本渠道。虽然后者在现有文献中已在很大程度上被忽略，但先前的结果记录了其定量重要性。与AS不同，福利成本计算将占总体不确定性。 PI将考虑优化的简单货币政策规则以及完全最佳的政策。 （2）信用摩擦和流动性。目的是开发一种可估计的货币DSGE模型，在该模型中，金融冲击可以破坏需要金钱或某种形式的信贷作为交换媒介的分散市场中商品的交换。然后根据美国数据估算该模型，并将其拟合度与更灵活的基准进行比较。估计的模型用于评估危机期间的货币政策。 （3）基于非线性DSGE的分层模型。该项目的目的是获得一个新颖的工具包，以估计和推断潜在的误指定的非线性DSGE模型。这些工具将应用于项目1和2中描述的模型的估计和评估。起点是由Del Negro和Schorfheide开发的DSGE-VAR框架（2004 IER，2009 AER）。 （4）模型扰动。该项目的目的是开发和应用贝叶斯计量经济学和计算技术，以解释由DSGE模型规范的辅助方面引起的不确定性。拟议项目的智力优点是较高的智力优点，因为这些问题的问题很高，因为要探讨了捕获经济型和构成经济学工具的重要模型，并构成了经济学工具，并构成了经济学的工具，并构成了经济学工具，这些工具构成了实现的工具，这些工具是实现的，这些工具构成了实现的工具 - 构成了实现的工具 - 被认为对将现代宏观经济模型的经验应用于货币政策分析的实证应用而言既充满挑战又至关重要。这些项目是及时的，因为美国正在经历接近零的名义利率，而政策制定者正在辩论最有效的货币和财政政策工具。拟议项目对项目的更广泛影响的影响是巨大的，几乎是几倍。首先，它将通过指导和与研究生合作直接为教学和学习做出贡献。其次，我们将通过对所有研究结果的广泛分发来与代表性不足的群体接触。第三，这些项目将通过建立各种合作来增强研究和教育的基础架构：在学科之间（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（通过国家和国际共同事务和项目）之间以及包括学术界和其他社区之间的政府和政策组织（包括学术界和法学上的知识）（通过面对面的社区和加入的社区）之间（通过面对面的社区）（通过面对面的社区）之间（通过旁观者和加入）之间（通过面对面）进行转移（by Facelia and Facilitations）。这种知识转移至关重要，因为拟议的研究重点的问题恰恰是那些阻碍了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，如果研究的智力优点很高，它的价值仍比纯粹与知识分子相关的价值高得多。确实，这项研究将大大将现代宏观经济建模，政策分析和预测推向常规应用，提高政策的改进，并最终改善宏观经济的一般绩效