Problems in Dynamic Macroeconomics

9409354 Sargent本研究议程解决了实证宏观经济学中尚未解决的重要问题：总消费、资产价格和回报的期限结构，以及各种货币和财政政策组合对价格水平的影响。此外，它还包括在完全动态模型中分析制度转换的理论工作，以及如何将理论学习模型整合到实证研究中。更具体地说，本项目应用并扩展了消费和投资的动态计量经济学理论，包括多种耐用消费品、习惯、家庭“技术”的异质性、风险敏感性的参数化版本，以及具有长而有限的世代重叠的经济。该项目研究了具有完整和不完整市场的经济体中具有多种耐用品习惯和品味的家庭的总体情况。一个反复出现的主题是，永久性收入理论如何在各种情况下不断出现，以及如何在计量经济学上使用它们。将利用永久收入理论和计量经济学“动态指数”模型之间的联系进行估计和预测。在对这些模型的代际重叠应用中，该项目估计了从无资金支持的社会保障体系向有资金支持的社会保障体系过渡所带来的一些成本和收益。该项目还研究了一类货币模型，这些模型有望扩大证据的范围，从而将货币数量理论与其主要竞争对手之一的“真实钞票”理论区分开来。

9409354 Sargent This research agenda addresses important unresolved problems in empirical macroeconomics: aggregate consumption, asset prices, and the term structure of returns, as well as the price level impacts of various combinations of monetary and fiscal policy. In addition, it includes theoretical work analyzing regime switches in a fully dynamic model and how theoretical learning models should be integrated into empirical research. More specifically, this project applies and extends dynamic econometric theories of consumption and investment to include multiple durable consumption goods, habits, heterogeneity across household "technologies," a parametric version of risk- sensitivity, and economies with long but finitely lived overlapping generations of people. The project studies aggregation across households with habits and tastes for multiple durable goods both in economies with complete and incomplete markets. A recurring theme is how permanent income types of theory continue to surface in a variety of settings, and how they can be used econometrically. A link between permanent income theories and econometric "dynamic index" models will be exploited for estimation and forecasting. In an overlapping generations application of the models, the project estimates some of the costs and benefits that would be associated with a transition from an unfunded to a fully funded social security system. The project also examines a class of monetary models that promise to broaden the range of evidence than can be brought to bear on distinguished the quantity theory of money from one of its main competitors, the "real bills" theory.