The role of agent heterogeneity on the demand-side in the DSGE framework

异质性，即代理人、企业和机构之间的差异，是经济的共同特征，无论是富人还是穷人。如果异质性在经济体中无处不在，那么用于政策分析和预测的严肃的动态模型应该考虑到这些。共同动态随机一般均衡(DSGE)模型挑出了有代表性的代理人的行为，因此对财政和货币政策决策如何影响经济不平等保持沉默。我们将在DSGE框架中调查代理异构性在需求侧的作用。通过引入一个具有异质性的易于处理的模型，本文将提出一个框架，该框架将对货币政策和财政政策、劳动力市场和金融市场的异质性以及经济不平等之间的联系提供见解。该模型应提供证据，说明异质因素模型是否能产生与数据一致的结果，特别是关于经济不平等的结果。本文将引入构建块来创新异质代理框架，建立一个模型，捕获具有不同技能和获得金融商品的代理。第一章问题：金融市场异质性对货币和财政政策的有效性意味着什么？人们注意到，一些专注于投资于产出资产的国家的经济增长速度快于那些选择流动性更高、但在产出生产过程中不那么重要的投资工具的国家。本章将构建一个在财政货币当局和名义刚性存在的情况下的家庭模型。一个家庭应有机会将储蓄投资于生产性、产出性资产，获取长期生产性资产，并将金融资产，即与生产无关的资产，出售给另一个家庭，获取短期金融资产。另一个家庭将储蓄投资于这些不产生产出的金融资产。一个重要的区别是，这些生产性资产和非生产性资产是不完美的。在这样一个动态随机一般均衡模型框架下，本章将提出一个新的模型，该模型捕捉了异质动因、名义刚性以及财政和货币政策在短期经济不平等动态中的作用。第二章将把论文的重点从金融市场转移到劳动力市场的异质性上。它应该回答的问题是，在不同的财政和货币制度下，劳动力市场中的代理人异质性如何影响失业率？第二章中的异类代理人模型将涵盖两个效用最大化的家庭，在财政和货币当局的领导下，他们消费商品、休闲和储蓄。一个家庭应该被塑造为比另一个家庭更有技能。这种方法将对政府支持下劳动力供应行为的变化、通货膨胀以及僵化下的大流行等极端黑天鹅现象产生影响。第三章将把第一章和第二章结合到一个更大规模的异质主体动态随机一般均衡模型中，该模型具有金融市场准入和劳动力市场参与者的异质性。这种模型捕捉了金融和劳动力市场主体的异质性，使我们能够产生与数据一致的预测，并分析异质行为和经济不平等，以应对冲击。脱离具有代表性的代理人框架的建模方法，包括并捕捉代理人异质性的存在，将在不同家庭如何应对经济冲击方面产生更丰富的结果，特别是强调在一个被锁定的经济体中实行积极的财政和货币政策时，劳动力市场和金融市场的不平等如何发生变化。这种捕捉多重异质性的新的建模方法将为更知情的财政和货币政策制定提供工具。

Heterogeneities, the differences between agents, firms and institutions, are common characteristics of economies, rich and poor. If heterogeneities are ubiquitous in economies, serious dynamic models used for policy analysis and forecasts should account for these. Common Dynamic Stochastic General Equilibrium (DSGE) models single out the behaviours of representative agents', and thus remain silent on how fiscal and monetary policy decisions affect economic inequalities. We will investigate The role of agent heterogeneity on the demand-side in the DSGE framework. By introducing a tractable model with heterogeneities, this thesis shall put forward a framework that will provide insights into the links between monetary and fiscal policy, heterogeneities in labour markets and financial markets, and economic inequality. The model shall provide evidence on whether heterogenous agent models can produce consistent results with the data, particularly about economic inequality. This thesis will introduce building blocks to innovate the heterogenous agent framework, formulating a model that captures agents with differing skills and access to financial goods. Chapter 1 Question What does financial market heterogeneity mean for the effectiveness of monetary and fiscal policy? It has been observed that some countries that focus on investing in output-producing assets have grown faster economically than countries that choose more liquid, yet far less important in the output-production process, investment vessels. This chapter shall construct a model with households under the existence of fiscal and monetary authority and nominal rigidities. One household shall have access to invest savings into productive, output-producing assets, capturing long-term productive assets, and sell financial assets, assets unrelated to production, capturing short-term financial assets, to the other household. The other household invests savings into these financial, non-output-producing assets. An important distinction is that these productive and unproductive assets are imperfect. In such a DSGE framework, this chapter will propose a novel model that captures the interactions between heterogeneous agents, nominal rigidities, and fiscal and monetary policy roles on short-run economic inequality dynamics. Chapter 2 shall move the thesis's focus away from financial markets and toward heterogeneity in labour markets. The question it shall answer is How do agent heterogeneities in the labour market affect unemployment under differing fiscal and monetary regimes? The heterogeneous agent model in chapter two shall capture two utility-maximising households, under fiscal and monetary authorities, that consume goods, leisure and savings. One household shall be modelled as more skilled than the other. Such an approach shall generate results on changes in labour supply behaviour under government support, inflation and extreme black swan phenomena like a pandemic under rigidities. Chapter 3 shall bring Chapters 1 and 2 together in a larger-scale heterogeneous agent DSGE model with heterogeneity in financial market access and labour market participants. Such a model captures financial and labour market agent heterogeneity, allowing us to generate predictions consistent with the data and analyse heterogeneous behaviour and economic inequality in response to shocks. Modelling approaches moving away from the representative agent framework, which embraces and captures the existence of agent heterogeneities, shall generate richer results on how different households respond to shocks subjected to the economy, particularly highlighting how inequalities in labour and financial markets change when active fiscal and monetary policy is applied in a locked-down economy. Such a novel modelling approach capturing multiple heterogeneities shall provide a tool for better-informed fiscal and monetary policymaking.