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Essays on incomplete information, model uncertainty, and macroeconomic policy.

机译:关于不完整信息,模型不确定性和宏观经济政策的论文。

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摘要

In this dissertation I study the role of incomplete information and model uncertainty in the design of macroeconomic policies.;In Chapter 1, I study the information contained in the equilibrium aggregate price level of an economy where firms make output price decisions faced with incomplete information about economy-wide disturbances. This chapter makes three contributions to the literature on monetary business cycle and incomplete information. First, it proposes a set of techniques in the frequency domain that allow for the explicit derivation of individual heterogeneous expectations while preserving the tractability of the fixed point condition typical of rational expectations. Second, it develops and solves a stylized model where aggregate price plays a key informational role of the type advocated by Hayek. Finally, it presents an application to monetary policy.;Chapter 2 characterizes the frequency domain properties of linear systems with feedback control rules. The goal of the analysis is to derive restrictions on how feedback rules restrict the frequency by frequency fluctuations that underlie a time series of state variables. Existing results in the control theory literature are expanded to account for discrete time bivariate systems with rational expectations. The basic methods presented in this chapter provide ways to understand how fluctuations at different frequencies are subject to tradeoffs via the choice of a feedback rule.;Chapter 3 contributes to the policy evaluation literature by developing new strategies to study alternative policy rules. I compare optimal rules to simple rules within canonical monetary policy models. The policy rules are evaluated under minimax and minimax regret criteria. These criteria force the policymaker to guard against a worst-case scenario, but minimax regret confronts the policymaker with uncertainty about the true model. The results indicate that the case for a model-specific optimal rule can break down when uncertainty exists about which of several models is true. Further, it is shown that the assumption that the policymaker's loss function is known can obscure policy tradeoffs that exist in the short, medium and long run. Thus, policy evaluation is more difficult once it is recognized that model and preference uncertainty can interact.
机译:在这篇论文中,我研究了不完全信息和模型不确定性在宏观经济政策设计中的作用。在第一章中,我研究了经济的均衡总价格水平中所包含的信息,在这种情况下,企业在面临价格信息不完全的情况下做出价格决策整个经济领域的动荡。本章对有关货币商业周期和不完整信息的文献做出了三点贡献。首先,它提出了频域中的一组技术,这些技术允许显式推导单个异质期望,同时保留理性期望典型定点条件的易处理性。其次,它开发并解决了一种程式化的模型,其中总价格扮演了哈耶克所倡导的那种关键的信息角色。最后,它提出了一种在货币政策上的应用。第二章用反馈控制规则描述了线性系统的频域特性。该分析的目的是得出关于反馈规则如何通过状态变量的时间序列基础上的频率波动来限制频率的限制。控制理论文献中的现有结果被扩展为考虑具有合理期望的离散时间二元系统。本章介绍的基本方法提供了通过选择反馈规则来理解不同频率上的波动如何权衡的方法。第三章通过开发研究替代策略规则的新策略,为策略评估文献做出了贡献。我将规范的货币政策模型中的最佳规则与简单规则进行了比较。在最小最大和最小最大后悔标准下评估策略规则。这些标准迫使决策者要防范最坏的情况,但是最小极大的遗憾使决策者对真实模型不确定。结果表明,当存在关于几个模型中哪个模型正确的不确定性时,针对模型的最佳规则的情况可能会破裂。此外,表明决策者损失函数已知的假设可以掩盖短期,中期和长期存在的政策权衡。因此,一旦认识到模型和偏好不确定性可以相互作用,政策评估就更加困难。

著录项

  • 作者

    Rondina, Giacomo.;

  • 作者单位

    The University of Wisconsin - Madison.;

  • 授予单位 The University of Wisconsin - Madison.;
  • 学科 Economics Theory.
  • 学位 Ph.D.
  • 年度 2007
  • 页码 190 p.
  • 总页数 190
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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