Quantitative methods for monetary and fiscal policy

这个项目的一个组成部分将探索通过将信息通道的香农容量的概念引入到标准的动态经济理论中来解释经济行为中延迟和惯性的性质的可能性。这已经被证明意味着对永久收入理论预测的现实修改，似乎进一步扩展的时机已经成熟。另一个组件将改进和应用计算机代码，以求动态随机平衡模型解的泰勒级数展开。这类模型正越来越多地被用于央行政策分析，因此这些方法的更广泛应用将很快应用于重要问题。在评估我们货币机构的改革建议时，对于美国货币政策在20世纪期间发生了多少以及以何种方式发生了变化，存在着一种争议。这项研究项目的一个组成部分将应用贝叶斯模型比较方法，进一步探讨关于这些问题的文献中相互矛盾的结论的来源。广泛影响计量经济学方法论的最新发展及其与决策理论的联系，使采用新的量化建模方法进行货币政策分析成为现实。本提案其他组成部分中的局部扩展规划和贝叶斯时变参数和模型选择方法很可能在央行对其方法的修订中得到应用。该项目的一个组成部分是继续保持调查员与央行研究部门的现有联系，既传播该项目的研究结果，又更多地了解政策过程中的分析瓶颈。

One component of this project will explore the possibility of explaining the nature of delay and inertia in economic behavior by importing into standard dynamic economic theory from communications engineering the notion of the Shannon capacity of an information channel. This has already been shown to imply realistic modifications of the predictions of the permanent income theory, and appears ripe for further extension.Another component will improve and apply computer code for finding Taylor series expansions of solutions to dynamic stochastic equilibrium models. Such models are seeing increasing use in central bank policy analysis, so that wider availability of these methods will find quick application to important problems.There is a dispute, relevant to the evaluation of reform proposals for our monetary institutions, over how much and in what way monetary policy has changed in the US over the course of the twentieth century. A component of this research project will apply Bayesian model comparison methods to look further into the sources of conflicting conclusions in the literature on these issues.Broader ImpactRecent developments in econometric methodology and in its connection to decision theory have made it practical to take new approaches to quantitative modeling for monetary policy analysis. The local expansion programming and the Bayesian time-varying parameters and model choice methods in other components of this proposal are likely to find application in the central bank revisions of their methods. One component of this project is to continue existing contacts of the investigator with central bank research departments, both to disseminate the results of this project's research and to learn more about the analytic bottlenecks in the policy process.