The role of agent heterogeneity on the demand-side in the DSGE framework

异质性，即代理人、公司和机构之间的差异，是富国和穷国经济体的共同特征。如果异质性在经济体中普遍存在，那么用于政策分析和预测的严肃动态模型应该解释这些。常见的动态随机一般均衡（DSGE）模型挑选出代表性代理人的行为，因此对财政和货币政策决定如何影响经济不平等保持沉默。我们将调查的作用，代理异质性的需求侧的DSGE框架。通过引入一个易于处理的异质性模型，本文将提出一个框架，将提供洞察货币和财政政策，劳动力市场和金融市场的异质性，经济不平等之间的联系。该模型应提供证据，证明异质代理模型是否能产生与数据一致的结果，特别是关于经济不平等的结果。本论文将引入构建模块来创新异质代理框架，制定一个模型，捕获具有不同技能和访问金融产品的代理。第一章金融市场异质性对货币政策和财政政策的有效性意味着什么？人们注意到，一些侧重于投资产出资产的国家，其经济增长速度快于选择流动性更强、但在产出生产过程中重要性低得多的投资渠道的国家。本章将构建一个存在财政和货币当局以及名义刚性的家庭模型。一个家庭可以将储蓄投资于生产性、产出性资产，获得长期生产性资产，并向另一个家庭出售金融资产，即与生产无关的资产，获得短期金融资产。另一个家庭将储蓄投资于这些金融、非产出资产。一个重要的区别是，这些生产性资产和非生产性资产都是不完美的。在这样一个DSGE框架中，本章将提出一个新的模型，该模型捕捉了异质主体、名义刚性以及财政和货币政策对短期经济不平等动态的作用之间的相互作用。第2章将把论文的重点从金融市场转移到劳动力市场的异质性。它应该回答的问题是，在不同的财政和货币制度下，劳动力市场的代理异质性如何影响失业？第二章中的异质代理人模型将捕捉两个效用最大化的家庭，在财政和货币当局的领导下，消费商品，休闲和储蓄。一个家庭应被塑造成比另一个家庭更有技能。这种方法将在政府支持下的劳动力供应行为变化、通货膨胀和极端黑天鹅现象（如刚性下的大流行病）方面产生结果。第3章将第1章和第2章一起在一个更大规模的异质性代理DSGE模型与异质性的金融市场准入和劳动力市场参与者。这种模型捕捉到金融和劳动力市场主体的异质性，使我们能够生成与数据一致的预测，并分析应对冲击的异质性行为和经济不平等。脱离代表性代理人框架的建模方法（该框架包含并捕捉代理人异质性的存在），将产生关于不同家庭如何应对经济冲击的更丰富的结果，特别是突出在锁定经济中实施积极的财政和货币政策时劳动力和金融市场的不平等如何变化。这种捕捉多种异质性的新型建模方法将为更知情的财政和货币决策提供工具。

Heterogeneities, the differences between agents, firms and institutions, are common characteristics of economies, rich and poor. If heterogeneities are ubiquitous in economies, serious dynamic models used for policy analysis and forecasts should account for these. Common Dynamic Stochastic General Equilibrium (DSGE) models single out the behaviours of representative agents', and thus remain silent on how fiscal and monetary policy decisions affect economic inequalities. We will investigate The role of agent heterogeneity on the demand-side in the DSGE framework. By introducing a tractable model with heterogeneities, this thesis shall put forward a framework that will provide insights into the links between monetary and fiscal policy, heterogeneities in labour markets and financial markets, and economic inequality. The model shall provide evidence on whether heterogenous agent models can produce consistent results with the data, particularly about economic inequality. This thesis will introduce building blocks to innovate the heterogenous agent framework, formulating a model that captures agents with differing skills and access to financial goods. Chapter 1 Question What does financial market heterogeneity mean for the effectiveness of monetary and fiscal policy? It has been observed that some countries that focus on investing in output-producing assets have grown faster economically than countries that choose more liquid, yet far less important in the output-production process, investment vessels. This chapter shall construct a model with households under the existence of fiscal and monetary authority and nominal rigidities. One household shall have access to invest savings into productive, output-producing assets, capturing long-term productive assets, and sell financial assets, assets unrelated to production, capturing short-term financial assets, to the other household. The other household invests savings into these financial, non-output-producing assets. An important distinction is that these productive and unproductive assets are imperfect. In such a DSGE framework, this chapter will propose a novel model that captures the interactions between heterogeneous agents, nominal rigidities, and fiscal and monetary policy roles on short-run economic inequality dynamics. Chapter 2 shall move the thesis's focus away from financial markets and toward heterogeneity in labour markets. The question it shall answer is How do agent heterogeneities in the labour market affect unemployment under differing fiscal and monetary regimes? The heterogeneous agent model in chapter two shall capture two utility-maximising households, under fiscal and monetary authorities, that consume goods, leisure and savings. One household shall be modelled as more skilled than the other. Such an approach shall generate results on changes in labour supply behaviour under government support, inflation and extreme black swan phenomena like a pandemic under rigidities. Chapter 3 shall bring Chapters 1 and 2 together in a larger-scale heterogeneous agent DSGE model with heterogeneity in financial market access and labour market participants. Such a model captures financial and labour market agent heterogeneity, allowing us to generate predictions consistent with the data and analyse heterogeneous behaviour and economic inequality in response to shocks. Modelling approaches moving away from the representative agent framework, which embraces and captures the existence of agent heterogeneities, shall generate richer results on how different households respond to shocks subjected to the economy, particularly highlighting how inequalities in labour and financial markets change when active fiscal and monetary policy is applied in a locked-down economy. Such a novel modelling approach capturing multiple heterogeneities shall provide a tool for better-informed fiscal and monetary policymaking.