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.
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