Inference and Macroeconomic Dynamics

这个项目旨在提高我们在国家和国际一级了解、预测和控制宏观经济发展的能力。经济中的长期趋势运动，在超过我们现有数据跨度的时间尺度上，提出了计量经济学家刚刚开始解决的特殊推理问题。该项目将开发在贝叶斯框架中处理这些问题的想法-明确数据和来自其他来源的信息（先验信念）对长期动态行为知识的单独贡献。特别强调将这一领域的单变量模型的最新结果扩展到更实际相关的多变量模型。宏观经济学家对货币政策和其他形式的名义总需求管理在产生或抵消商业周期中的重要性存在分歧。加深对这一领域的了解，不仅对完善需求管理政策，而且对指导我国正在进行的银行体系重组具有重要意义。关于主要宏观经济总量之间关系的国际事实才刚刚开始被记录和理解。在初步工作中，对货币变量的创新（意外变化）的反应模式在不同国家、不同时期和系统中包含的变量列表中表现出惊人的强劲。本研究将记录这些规律。这些规律给简单的标准理论带来了困难。例如，凯恩斯主义或货币主义理论将货币政策视为对商业周期的主要独立影响。真正的商业周期理论认为它是被动和不重要的，因为产品和资产市场是平稳的动态运行。本研究将使用几种新的和最近开发的建模策略，探索对这些规律的可能解释。

This project aims at improving our ability to understand, predict and control macroeconomic developments at the national and international level. Long term trend movements in the economy, at time scales exceeding the span of data we have available, raise special problems for inference that are just beginning to be addressed by econometricians. This project will develop ideas for approaching these problems in a Bayesian framework -- making explicit the separate contributions of the data and of information from other sources (prior beliefs) to knowledge of long term dynamic behavior. A special emphasis will be on extending the recent results in this area for univariate models to more practically relevant multivariate models. There is disagreement among macroeconomists on the importance of monetary policy and other forms of aggregate nominal demand management in generating or offsetting business cycles. Increasing our understanding in this area is important not only for improving demand management policy, but also in guiding the restructuring our banking system is undergoing. The international facts about relations among the main macroeconomics aggregates are only beginning to be documented and understood. Patterns of responses to innovations (surprise changes) in monetary variables appear in preliminary work surprisingly robust across countries, time periods, and lists of variables included in the system. This research will document these regularities. These regularities present difficulties for simple standard theories. For example, Keynesian or monetarist theories view monetary policy as a major independent influence on the business cycle. Real business cycle theories treat it as passive and unimportant because of the smooth dynamic functioning of product and asset markets. This research will explore possible interpretations of the regularities, using several kinds of new and recently developed modeling strategies.