Understanding macroeconomic fluctuations with unobserved networks

通过不可观察的网络了解宏观经济波动

• 批准号: DP220101043
• 负责人: Prof Valentyn Panchenko
• 金额: $ 14.35万
• 依托单位: The University of New South Wales
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2022
• 资助国家: 澳大利亚
• 起止时间: 2022-07-01 至 2025-06-30
• 项目状态: 未结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP220101043
• 关键词: Understanding; macroeconomic; fluctuations; unobserved; networks

Whilst empirical evidence suggests that firm-level shocks can have large aggregate effects, via network connections, macroeconomic policies have mostly an aggregate nature. This project aims to build a new framework to disentangle aggregate shocks from shocks to individual units. The major innovations are i) to infer the network from the data and ii) to jointly estimate aggregate factors and network effects. Expected outcomes are i) measures of systemic risk and ii) a theoretical framework to study the optimality of aggregate versus sectoral stabilization policies. Benefits include a better understanding of macroeconomic fluctuations in Australia and proposed economic policies to mitigate large and persistent declines in employment and GDP.

虽然经验证据表明，公司层面的冲击可以通过网络联系产生巨大的聚集效应，但宏观经济政策大多具有聚集的性质。该项目旨在建立一个新的框架，从对单个单位的冲击中分离出总体冲击。主要的创新是：1)从数据中推断网络；2)联合估计综合因素和网络效应。预期结果是：一)衡量系统性风险；二)研究总体稳定政策相对于部门稳定政策的最佳性的理论框架。好处包括更好地了解澳大利亚的宏观经济波动，以及拟议的经济政策，以缓解就业和GDP的大幅和持续下降。