Expectations, Learning and Economic Policy

现代经济理论的一个中心特征是企业和家庭做出的前瞻性决策。因此，经济主体的预期是消费、投资、通货膨胀和商业周期等宏观经济理论的关键组成部分。理性期望（RE）方法论提供了一个优雅的期望形成基准理论：期望被假设为理性的，因为在给定可用信息的情况下，主体不会犯任何系统错误。这种方法的两个基本问题（现在是标准的）涉及可再生资源的可获得性，即有界理性智能体是否可以通过学习过程到达可再生资源，以及可再生资源均衡的不确定性或多重性的可能性。一个相关的问题是，认识到现实的决策者可能会使用错误指定的模型，并意识到这种局限性，如何修改理性预期的核心信息。这些相互关联的问题对经济政策和商业周期建模有影响，本项目在几个方面进行了研究。贯穿整个项目的一个共同主题是学习在期望的演变中所扮演的角色。第一部分着重于货币和财政政策。最近基于“新菲利普斯曲线”模型的研究获得了（在RE假设下）旨在实施最优政策的利率反馈规则。拟议的研究表明，如果政策规则完全是根据对基本冲击的反应来制定的，那么如果私人代理人遵循适应性学习规则，那么均衡将是不稳定的。然后，该项目表明，如果利率规则以正确的方式依赖于基本冲击和观察到的私人预期，则可以实现稳定，并实施最优的自由裁量政策。该项目将分析扩展到货币当局可以承诺遵守固定规则的情况。其他扩展则涉及货币和财政政策的相互作用，并研究适应性学习对可能受制于流动性陷阱的利率规则的影响。第二部分的重点是经济周期波动。将真实商业周期框架进行扩展以纳入垄断竞争表明，多样性可能会出现，其形式是围绕不确定的稳定状态出现预期驱动的波动。这种可能性在一些标准货币模型中也会出现。最近关于预期稳定性和适应性学习的研究为确定这些“内生波动”是否可以作为适应性学习规则的结果而产生提供了方便的工具。初步结果表明，该类“谐振频率”解在一定参数范围内的学习下是稳定的。本项目计算发生稳定内生波动的参数区域，并研究是否可以使用宏观经济政策来防止内生波动的产生。第三条研究线关注经济政策的“卢卡斯批判”（Lucas Critique）的参数化不足的影响，这是可再生能源（RE）的重大影响之一。认识到自己的错误规范的私人代理人将通过使用“恒定增益”学习规则来做出反应，从而权衡跟踪和过滤。一个简单的例子是具有最佳调优系数的自适应期望。这个项目表明，对于许多参数空间，货币政策仍然受制于卢卡斯批判。然而，也存在期望规则不变且卢卡斯批判不适用的区域。相关工作考察了(i)在铸币税模型中，在假设某些主体不掌握当前信息的情况下，高通胀均衡学习下的稳定性；（ii）结构异质性在促进或阻碍可再生能源均衡协调方面的作用；（iii）欠参数化学习可能产生期望异质性的可能性。

A central feature of modem economic theory is the forward-looking decisions made by firms and households. Expectations of economic agents are therefore a key component of macroeconomic theories of consumption, investment, inflation and the business cycle. The RE (rational expectations) methodology has provided an elegant benchmark theory of expectation formation: expectations are assumed to be rational in the sense that agents do not make any systematic errors, given the available information. Two fundamental issues for this (now standard) approach concern the attainability of RE, i.e. whether boundedly rational agents can arrive at RE through a learning process, and the possibility of indeterminacy or multiplicity of RE equilibria. A related question is how the central messages of rational expectations are modified by the recognition that realistic decision-makers are likely to use misspecified models, and to be aware of this limitation. These interconnected issues, which have implications for economic policy and business cycle modeling, are pursued by this project on several fronts. A common theme throughout the project is the role that learning plays in the evolution of expectations.The first part focuses on monetary and fiscal policy. Recent work based on "new Phillips curve" models has obtained (under the RE assumption) interest rate feedback rules designed to implement optimal policy. The proposed research shows that if policy rules are formulated entirely in terms of responses to fundamental shocks, as might appear natural, the equilibrium will be unstable if private agents follow adaptive learning rules. The project then shows that stability can be achieved, and optimal discretionary policy implemented, if the interest rate rule depends in the right way on both the fundamental shocks and observed private expectations. This project extends the analysis to cases in which the monetary authorities can commit themselves to a fixed rule. Other extensions take up the interaction of monetary and fiscal policy and study the implications of adaptive learning for interest rate rules that may be subject to liquidity traps. The focus of the second part is business cycle fluctuations. Extensions of the Real Business Cycle framework to incorporate monopolistic competition have shown that multiplicities can arise, taking the form of expectation driven fluctuations around an indeterminate steady state. This possibility is known also to arise in some standard monetary models. Recent work on expectational stability and adaptive learning has provided convenient tools to determine whether these "endogenous fluctuations" can arise as outcomes of adaptive learning rules. Preliminary results show that a subclass of "resonant frequency" solutions is stable under learning for a range of parameters. This project computes the parameter regions for which stable endogenous fluctuations occur and investigates whether macroeconomic policy can be used to prevent endogenous fluctuations from arising. A third line of research looks at the implications of underparameterization for the "Lucas Critique" of economic policy, one of the dramatic implications of RE. Private agents that recognize their misspecification will respond by using "constant gain" learning rules that trade off tracking and filtering. A simple example is adaptive expectations with an optimally tuned coefficient. This project shows that for much of the parameter space monetary policy remains subject to the Lucas Critique. However, there are also regions in which the expectation rule is invariant and the Lucas Critique does not apply. Related work examines (i) the stability under learning of the high inflation equilibrium, in the seignorage model, to the assumption that some agents do not possess current information, (ii) the role of structural heterogeneity in facilitating or impeding coordination on a RE equilibrium, and (iii) the possibility that underparameterized learning may generate heterogeneity of expectations.