Анатомия поведенческих циклов: стресс-тестирование модели переключения эвристик
Аннотация
В работе проводится всестороннее стресс-тестирование чувствительности модели переключения эвристических правил. Модель объясняет феномен тяжелых хвостов в распределении макроэкономических данных, который классические новокейнсианские модели не могут воспроизвести. Решением служит ослабление предпосылки о полной рациональности агентов. Агенты в модели опираются на выбор среди простых эвристических правил [De Grauwe, 2012]. Этот механизм создает волны оптимизма/пессимизма среди агентов, что и приводит к более затяжным отклонениям от равновесия. Мы демонстрируем, как реализация этого механизма зависит от значений параметров и шоков, в том числе за счет нелинейности модели. В заключение мы показываем, что при наиболее реалистичной параметризации модели не только существенно осложняется возврат экономики к равновесию, но и становится возможным ее длительное нахождение в состоянии, близком к равновесию, при незаякоренных ожиданиях агентов. Это, в свою очередь, усиливает реакцию на последующие шоки. Полученные результаты углубляют понимание модели переключения эвристик и закрывают пробел в понимании поведения механизма циклов пессимизма/оптимизма, ранее рассмотренных только в общем виде.
Скачивания
Литература
Akerlof G.A., Shiller R.J. Animal Spirits: How Human Psychology Drives the Economy, and Why it Matters for Global Capitalism. Princeton University Press, 2010.
Anderson S.P., De Palma A., Thisse J.F. Discrete Choice Theory of Product Differentiation. MIT Press, 1992.
Anufriev M., Hommes C., Makarewicz T. Learning to Forecast with Genetic Algorithms // Discussion Paper, Tech. rep. (February 2013).
Ascari G., Fagiolo G., Roventini A. Fat-Tail Distributions and Business-Cycle Models // Macroeconomic Dynamics. 2015. Vol. 19. № 2. P. 465–476.
Ascari G., Magnusson L.M., Mavroeidis S. Empirical Evidence on the Euler Equation for Consumption in the US // Journal of Monetary Economics. 2021. Vol. 117. P. 129–152.
Auerbach A.J., Gorodnichenko Y. Measuring the Output Responses to Fiscal Policy // American Economic Journal: Economic Policy. 2012. Vol. 4. № 2. P. 1–27.
Beaudry P., Galizia D., Portier F. Putting the Cycle Back into Business Cycle Analysis // The American Economic Review. 2020. Vol. 110. № 1. P. 1–47.
Blanchard O., Simon J. The Long and Large Decline in US Output Volatility // Brookings Papers on Economic Activity. 2001. Vol. 2001. № 1. P. 135–174.
Branch W.A. The Theory of Rationally Heterogeneous Expectations: Evidence from Survey Data on Inflation Expectations // The Economic Journal. 2004. Vol. 114. № 497. P. 592–621.
Branch W.A., McGough B.A New Keynesian Model with Heterogeneous Expectations // Journal of Economic Dynamics and Control. 2009. Vol. 33. № 5. P. 1036–105.
Branch W.A., McGough B. Dynamic Predictor Selection in a New Keynesian Model with Heterogeneous Expectations // Journal of Economic Dynamics and Control. 2010. Vol. 34. № 8. P. 1492–1508.
Brock W.A., Hommes C.H. A Rational Route to Randomness // Econometrica: Journal of the Econometric Society. 1997. P. 1059–1095.
Candia B., Coibion O., Gorodnichenko Y. The Inflation Expectations of US Firms: Evidence from a New Survey // Journal of Monetary Economics. 2024. Vol. 145. P. 103569.
Carrasco R., Labeaga J.M., David López-Salido J. Consumption and Habits: Evidence from Panel Data // The Economic Journal. 2005. Vol. 115. № 500. P. 144–165.
Carroll C.D. Macroeconomic Expectations of Households and Professional Forecasters // The Quarterly Journal of Economics. 2003. Vol. 118. № 1. P. 269–298.
Chib S., Ramamurthy S. DSGE Models with Student-t Errors // Econometric Reviews. 2014. Vol. 33. № 1–4. P. 152–171.
Christiano L.J. [On the Fit of New Keynesian Models]: Comment // Journal of Business & Economic Statistics. 2007. Vol. 25. № 2. P. 143–151.
Clements K.W., Vo L. Global Consumption Patterns, Quality and Food Demand // QUALITY AND FOOD DEMAND. October 11, 2021.
Cogley T., Sargent T.J. Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US // Review of Economic Dynamics. 2005. Vol. 8. № 2. P. 262–302.
Cogley T., Sargent T.J. Evolving Post-World War II US Inflation Dynamics // NBER Macroeconomics Annual. 2001. Vol. 16. P. 331–373.
Corsello F., Neri S., Tagliabracci A. Anchored or De-anchored? That Is the Question // European Journal of Political Economy. 2021. Vol. 69.
Cúrdia V., Del Negro M., Greenwald D.L. Rare Shocks, Great Recessions // Journal of Applied Econometrics. 2014. Vol. 29. № 7. P. 1031–1052.
Dave C., Dressler S.J., Malik S. A Cautionary Tale of Fat Tails. University of Alberta, Faculty of Arts, Department of Economics, 2022.
Dave C., Malik S. A Tale of Fat Tails // European Economic Review. 2017. Vol. 100. P. 293–317.
Dave C., Sorge M.M. Equilibrium Indeterminacy and Sunspot Tales // European Economic Review. 2021. Vol. 140.
Dave C., Sorge M.M. Fat‐Tailed DSGE Models: A Survey and New Results // Journal of Economic Surveys. 2025. Vol. 39. № 1. P. 146–171.
Dawid H., Gatti D.D. Agent-Based Macroeconomics // Handbook of Computational Economics. 2018. Vol. 4. P. 63–156.
De Grauwe P. Animal Spirits and Monetary Policy // Economic Theory. 2011. Vol. 47. P. 423–457.
De Grauwe P. Booms and Busts in Economic Activity: A Behavioral Explanation // Journal of Economic Behavior & Organization. 2012. Vol. 83. № 3. P. 484–501.
De Grauwe P., Ji Y. Structural Reforms, Animal Spirits, and Monetary Policies // European Economic Review. 2020. Vol. 124.
De Grauwe P., Ji Y. Trust and Monetary Policy // Journal of Forecasting. 2024. Vol. 43. № 4. P. 903–931.
Dennis R. Consumption Habits in a New Keynesian Business Cycle Model // Journal of Money, Credit and Banking. 2009. Vol. 41. № 5. P. 1015–1030.
Dennis R. Consumption-Habits in a New Keynesian Business Cycle Model // Working Paper 2008-35. 2008.
Duffy J. et al. Macroeconomics: A Survey of Laboratory Research. University of California, 2016. P. 1–90.
Dufour J.M., Khalaf L., Kichian M. On the Precision of Calvo Parameter Estimates in Structural NKPC Models // Journal of Economic Dynamics and Control. 2010. Vol. 34. № 9. P. 1582–1595.
Eichenbaum M., Fisher J.D.M. Estimating the Frequency of Price Re-optimization in Calvo-Style Models // Journal of Monetary Economics. 2007. Vol. 54. № 7. P. 2032–2047.
Fagiolo G. et al. Detrending and the Distributional Properties of US Output Time Series // LEM Working Paper Series. 2009. № 2009/14.
Fernández-Villaverde J., Guerrón-Quintana P.A. Uncertainty Shocks and Business Cycle Research // Review of Economic Dynamics. 2020. Vol. 37. P. S118-S146.
Fernández-Villaverde J., Guerrón-Quintana P., Rubio-Ramírez J.F. Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in US Data. National Bureau of Economic Research, 2010. № w15928.
Fernández-Villaverde J., Rubio-Ramírez J.F. Estimating Macroeconomic Models: A Likelihood Approach // The Review of Economic Studies. 2007. Vol. 74. № 4. P. 1059–1087./j.1467-937X.2007.00437.x
Fischer J.J. De-anchored Inflation Expectations and Monetary Policy. Technical Report. European University Institute, 2022.
Grazzini J., Richiardi M.G., Tsionas M. Bayesian Estimation of Agent-Based Models // Journal of Economic Dynamics and Control. 2017. Vol. 77. P. 26–47.
Havranek T., Rusnak M., Sokolova A. Habit Formation in Consumption: A Meta-Analysis // European Economic Review. 2017. Vol. 95. P. 142–167.
Hicks J.R.Mr. Keynes and the «Classics»; A Suggested Interpretation // Econometrica: Journal of the Econometric Society. 1937. P. 147–159.
Hommes C. Behavioral and Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach // Journal of Economic Literature. 2021. Vol. 59. № 1. P. 149–219.
Hommes C. The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab // Journal of Economic Dynamics and Control. 2011. Vol. 35. № 1. P. 1–24.
Hommes C., Massaro D., Weber M. Monetary Policy under Behavioral Expectations: Theory and Experiment // European Economic Review. 2019. Vol. 118. P. 193–212.
Jang T.S., Sacht S. Animal Spirits and the Business Cycle: Empirical Evidence from Moment Matching // Metroeconomica. 2016. Vol. 67. № 1. P. 76–113.
Jang T.S., Sacht S. Forecast Heuristics, Consumer Expectations, and New-Keynesian Macroeconomics: A Horse Race // Journal of Economic Behavior & Organization. 2021. Vol. 182. P. 493–511.
Justiniano A., Primiceri G.E. The Time-Varying Volatility of Macroeconomic Fluctuations // The American Economic Review. 2008. Vol. 98. № 3. P. 604–641.
Kahneman D. Maps of Bounded Rationality: A Perspective on Intuitive Judgement and Choice. 2002.
Keynes J.M. The General Theory of Employment, Interest, and Money. London: Macmillan and Co., 1936.
Kim C.J., Kim Y. Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? // Studies in Nonlinear Dynamics & Econometrics. 2008. Vol. 12. № 3.
Korkmaz S. Backward-Looking Phillips Curve, Forward-Looking Phillips Curve and Application on Turkey // International Research Journal of Finance and Economics. 2010. Vol. 55. P. 170–176.
Korniotis G.M. Estimating Panel Models with Internal and External Habit Formation // Journal of Business & Economic Statistics. 2010. Vol. 28. № 1. P. 145–158.
Kukacka J., Sacht S. Estimation of Heuristic Switching in Behavioral Macroeconomic Models // Journal of Economic Dynamics and Control. 2023. Vol. 146. P. 104585.
Leith C., Moldovan I., Rossi R. Optimal Monetary Policy in a New Keynesian Model with Habits in Consumption // Review of Economic Dynamics. 2012. Vol. 15. № 3. P. 416–435.
Mankiw N.G., Reis R., Wolfers J. Disagreement about Inflation Expectations // NBER Macroeconomics Annual. 2003. Vol. 18. P. 209–248.
Milani F. Expectation Shocks and Learning As Drivers of the Business Cycle // The Economic Journal. 2011. Vol. 121. № 552. P. 379–401.
Milani F. Expectations, Learning and Macroeconomic Persistence // Journal of Monetary Economics. 2007. Vol. 54. № 7. P. 2065–2082.
Milani F. Learning and Time-Varying Macroeconomic Volatility // Journal of Economic Dynamics and Control. 2014. Vol. 47. P. 94–114.
Neusser K. Time-Varying Rational Expectations Models // Journal of Economic Dynamics and Control. 2019. Vol. 107.
Ozden T. Heterogeneous Expectations and the Business Cycle at the Effective Lower Bound. 2021.
Petrova K. Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models // Journal of Time Series Analysis. 2019. Vol. 40. № 1. P. 151–157.
Rudd J., Whelan K. New Tests of the New-Keynesian Phillips Curve // Journal of Monetary Economics. 2005. Vol. 52. № 6. P. 1167–1181.
Sims C.A., Zha T. Were There Regime Switches in US Monetary Policy? // The American Economic Review. 2006. Vol. 96. № 1. P. 54–81.
Stock J.H., Watson M.W. Has the Business Cycle Changed and Why? // NBER Macroeconomics Annual. 2002. Vol. 17. P. 159–218.
Thurstone L.L. A Mental Unit of Measurement // Psychological Review. 1927. Vol. 34. № 6. P. 415.
Tversky A., Kahneman D. Judgment under Uncertainty: Heuristics and Biases: Biases in Judgments Reveal Some Heuristics of Thinking under Uncertainty // Science. 1974. Vol. 185. № 4157. P. 1124–1131.
Zimmermann S. Relative Consumption: The Strength of Internal and External Habits.
