Monetary Policy under Imperfect Common Knowledge: Theory and Experimental Evidence

不完全常识下的货币政策：理论和实验证据

• 批准号: 55272677
• 负责人: Professor Dr. Frank Heinemann
• 金额: --
• 依托单位: Bureau dÉconomie Théorique et Appliquée (BETA)
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2008
• 资助国家: 德国
• 起止时间: 2007-12-31 至 2010-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/55272677?language=en
• 关键词: Monetary; Policy; under; Imperfect; Common

This project aims at extending dynamic stochastic general equilibrium (DSGE) models for analyzing the impact of macroeconomic shocks and monetary policy towards imperfect common knowledge. Rigidities in prices, wages or information can explain non-neutrality of monetary policy and sluggish adjustments of the economy to shocks. Currently, sticky information delivers the best fit of impulse response functions with observed data. However, this approach is criticized for its assumption that in each period only a fraction of firms has access to new information, while in reality relevant information is publicly available.Experimental evidence shows that public information does not lead to common knowledge. Instead, observed behaviour can be better explained by assuming that agents employ limited degrees of rationality (higher order beliefs) in their expectations about the beliefs of other agents.In this project, we will apply models of strategic uncertainty that incorporate limited levels of higher order beliefs to models of monetary policy, in particular DSGE models. We want to answer whether they yield an acceptable fit of impulse response functions with observed data (potentially better than the sticky price model), whether our alternative modelling approach implies different strategies for optimal monetary policy, what these strategies are, and how the degree of higher order beliefs can be affected by central bank transparency.

本项目旨在扩展动态随机一般均衡（DSGE）模型，用于分析宏观经济冲击和货币政策对不完全常识的影响。价格、工资或信息的僵化可以解释货币政策的非中性以及经济对冲击的缓慢调整。目前，粘性信息提供了脉冲响应函数与观测数据的最佳拟合。然而，这种方法受到批评，因为它假设在每个时期只有一小部分公司能够获得新信息，而实际上有关信息是公开的。实验证据表明，公共信息不会导致共同知识。相反，观察到的行为可以通过假设代理人在他们对其他代理人的信念的期望中使用有限程度的理性（高阶信念）来更好地解释。在本项目中，我们将把战略不确定性模型应用于货币政策模型，特别是DSGE模型，该模型包含有限水平的高阶信念。我们想要回答它们是否与观察到的数据产生可接受的脉冲响应函数拟合（可能比粘性价格模型更好），我们的替代建模方法是否意味着最优货币政策的不同策略，这些策略是什么，以及高阶信念的程度如何受到央行透明度的影响。