Continuous-Time Modeling of Dynamic, Stochastic Equilibrium Models - Theory and Applications

新凯恩斯主义（NK）商业周期模型仍然是研究总波动和设计货币和财政政策的主要模型。在金融危机之后，随着零利率政策（ZIRP）时期的延长，该理论陷入了困境，并在理论和实证方面受到了批评（Cochrane, 2017a）。与其他学说（例如，老凯恩斯主义模型和货币主义观点）相比，NK模型预测量化宽松操作与通货膨胀无关，但同时它们预测反事实动态和政策悖论。在这个项目中，我们处理这些批评，并试图开发潜在的解决方案。在最近的一篇文章中，我们表明，解释事实的能力，包括带有主动泰勒规则的零利率政策，在很大程度上取决于我们解释和求解模型的方式（Posch, 2018）。货币政策和财政政策的联合观点，特别是实施价格水平财政理论（FTPL）的思想，使我们能够选择不同的均衡，从而可能给出不同的解释。包括金融摩擦在内，如果没有金融摩擦，大规模资产购买形式的非常规货币政策（也被称为“量化宽松”操作）将无关紧要，这将使我们能够对重要渠道进行建模，并为全面理解最近的事件提供见解。我们的目标是为货币和财政政策制定新的（联合）战略，以应对未来的金融危机，甚至规避它们（Brunnermeier和Sannikov， 2016）。

New-Keynesian (NK) models of the business cycle are still the workhorse models in the study of aggregate fluctuations and in the design of monetary and fiscal policies. In the aftermath of the financial crisis, with an prolonged zero-interest rate policy (ZIRP) period, the theory has fallen on hard times and has been criticized on both the theoretical and empirical ends (Cochrane, 2017a). In contrast to alternative doctrines (e.g., Old-Keynesian models and the monetarist view) the NK models predict that quantitative easing operations are irrelevant for inflation, but at the same time they predict counterfactual dynamics and policy paradoxes. In this project we approach this criticism and try to develop potential solutions to the problems. In a recent contribution we show that the ability to explain the facts, including a ZIRP with an active Taylor rule, crucially depends on the way we interpret and solve the model (Posch, 2018). A joint view of monetary and fiscal policy, in particular implementing the ideas from the fiscal theory of the price level (FTPL), allows us to select different equilibria and thus potentially gives alternative explanations. Including financial frictions, without which unconventional monetary policies in the form of large scale asset purchases – also known as “Quantitative Easing” operations – would be irrelevant, will enable us to model the important channels and it provides insights for a comprehensive understanding of the recent episodes. Our goal is to develop new (joint) strategies for monetary and fiscal policy to cope with future financial crises, or even circumvent them (Brunnermeier and Sannikov, 2016).