Download or read book Three Essays on Adaptive Learning in Macroeconomic Models written by and published by . This book was released on 2015 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three essays on adaptive learning in monetary economics written by Suleyman Cem Karaman and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Us Business Cycle Expectations Formation and Model Comparison written by Angelia Lee Grant and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the vast literature on understanding the disturbances that cause recessions, testing the importance of the assumption of rational expectations in macroeconomic models, and assessing model selection criteria. The main objective is to assess structural instabilities in macroeconomic models and to develop a new econometric methodology to compare different assumptions regarding expectations formation. Chapter 2 examines the role of oil price, demand, supply and monetary policy shocks during the 2001 US slowdown and Great Recession. It replicates the structural vector autoregression (VAR) of Peersman (2005) and extends it with time-varying parameters and stochastic volatility. Significant time variation is found in some impulse responses, with evidence that the constant coefficients VAR is erroneously representing structural instabilities as shocks. All models find that a combination of shocks caused the 2001 slowdown and Great Recession, but the role of individual shocks differs across models. Chapter 3 assesses the assumption of rational expectations versus adaptive learning in a dynamic stochastic general equilibrium (DSGE) model for the US economy. Using the framework in Smets and Wouters (2007) and Slobodyan and Wouters (2012), it finds that expectations implied by the rational expectations model are comparable to the adaptive learning models for actual and survey data on consumption and inflation. This chapter also formally assesses the overall fit of the model with different assumptions regarding expectations formation using the deviance information criterion (DIC), which is not commonly used to compare DSGE models. It finds that the rational expectations model is comparable to the adaptive learning models according to this criterion. Chapter 4 proposes fast algorithms for computing the DIC based on the integrated likelihood for a variety of high-dimensional latent variable models. The DIC has been a widely used Bayesian model comparison criterion since Spiegelhalter et al. (2002) introduced the concept and Celeux et al. (2006) introduced a number of alternative definitions for latent variable models. However, recent studies have cautioned against the use of some of these variants. While the DIC computed using the integrated likelihood seems to perform well, it is rarely used in practice due to computational burden. This chapter shows that the DICs based on the integrated likelihoods have much smaller numerical standard errors compared to the other DICs.

Download or read book Essays on Adaptive Learning in Macroeconomics and Finance written by Martin Lettau and published by . This book was released on 1994 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Adaptive Learning Institutions and Multiple Equilibria written by Laura Christina Steiger and published by . This book was released on 2009 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Solution and Estimation of Dynamic Macroeconomic Models written by Anthony Alan Smith and published by . This book was released on 1990 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in the Estimation of Dynamic Macroeconomic Models written by Taeyoung Doh and published by . This book was released on 2007 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Initialization of Adaptive Learning in Macroeconomic Models written by Michele Berardi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Non linear Effects in Dynamic Macroeconomic Models written by Sara Alizadeh Miyandoab and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Papers on Control Strategies for Macroeconomic Models written by Alfred L. Norman and published by . This book was released on 1979 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Granularity and Machine Learning in Macroeconomics written by Maximilian Jochen Vogler and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three independent chapters on granularity in macroeconomics and machine learning methods designed to solve the methodological challenges imposed by granular models, i.e. models with many different individual agents, firms or countries.In the first chapter, which is co-authored with Jesus Fernandez-Villaverde, Galo Nuno and George Sorg-Langhans, we develop a deep-learning algorithm to globally solve high-dimensional dynamic programming problems that result from granular macroeconomic models. We evaluate our methodology in a standard neoclassical growth model and then demonstrate its power in two high-dimensional granular applications - a model of dynamic capital allocation and a model of migration and labor mobility.In the second chapter, which is co-authored with Cecile Gaubert and Oleg Itskhoki, we focus on the importance of considering a granular firm distribution for government policy in an international trade setting, highlighting three implications: (i) In antitrust regulation, governments face an incentive to be overly lenient towards domestic mergers in comparative advantage sectors. (ii) In trade policy, targeting individual foreign exporters shifts the burden of tariffs from domestic consumers towards foreign producers. (iii) In industrial policy, while generally suboptimal in a closed economy subsidizing 'national champions' can be unilaterally welfare improving in an open economy.In the third chapter, I demonstrate the importance of considering granularity at the country level by demonstrating that economic crises drive cross-country migration. I show in an event study setting that net migration caused by the Euro crisis accounts for roughly 21% of all migration from EU countries into Germany between 2010-2019. In addition I highlight three salient facts: (i) This increase is mostly due to inflows rather than outflows. (ii) The migration response evolves gradually and achieves its maximum size only after five years. (iii) There is strong evidence for hysteresis.

Download or read book Essay on Beliefs and the Macroeconomy written by Pooya Molavi and published by . This book was released on 2019 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays. The first essay explores a form of bounded rationality where agents learn about the economy with possibly misspecified models. I consider a recursive general-equilibrium framework that nests a large class of macroeconomic models. Misspecification is represented as a constraint on the set of beliefs agents can entertain. I introduce the solution concept of constrained-rational-expectations equilibrium (CREE), in which each agent selects the belief from her constrained set that is closest to the endogenous distribution of observables in the Kullback-Leibler divergence. If the set of permissible beliefs contains the rational-expectations equilibria (REE), then the REE are CREE; otherwise, they are not. I show that a CREE exists, that it arises naturally as the limit of adaptive and Bayesian learning, and that it incorporates a version of the Lucas critique. I then apply CREE to a particular novel form of bounded rationality where beliefs are constrained to factor models with a small number of endogenously chosen factors. Misspecification leads to amplification or dampening of shocks and history dependence. The calibrated economy exhibits hump-shaped impulse responses and co-movements in consumption, output, hours, and investment that resemble business-cycle fluctuations. In the second essay, I ask the following question: What are the testable restrictions imposed on the dynamics of an agent's belief by the hypothesis of Bayesian rationality, which do not rely on the additional assumption that the agent has an objectively correct prior? In this paper, I argue that there are essentially no such restrictions. I consider an agent who chooses a sequence of actions and an econometrician who observes the agent's actions and is interested in testing the hypothesis that the agent is Bayesian. I argue that--absent a priori knowledge on the part of the econometrician on the set of models considered by the agent--there are almost no observations that would lead the econometrician to conclude that the agent is not Bayesian. This result holds even if the set of actions is sufficiently rich that the agent's action fully reveals her belief about the payoff-relevant state and even if the econometrician observes a large number of identical agents facing the same sequence of decision problems. In the third essay, I propose an equilibrium search and matching model with permanent worker heterogeneity, asymmetric information, and endogenous separations and study the dynamics of adverse selection in the labor market. The interaction between asymmetric information and endogenous separations leads to a cyclical adverse selection problem that has testable predictions both for the aggregate variables and for individual workers' outcomes. First, a deterioration in the distribution of ability in the pool of the unemployed leads firms to raise their hiring standards, thus resulting in shifting out of the Beveridge curve. Second, if the separation rate is log-supermodular (log-submodular) in productivity and ability, the pool of the unemployed becomes more (less) adversely selected in downturns. Third, firms rationally discriminate against the long-term unemployed by demanding more unequivocally positive signals of their ability before hiring them. Fourth, this scarring effect is more (less) severe for lower-ability workers and after deeper recessions if the separation rate is log-supermodular (log-submodular). I conclude by providing conditions on the fundamentals of the economy that lead to log-supermodular and log-submodular separation rates.

Download or read book Three Essays on Stock flow Consistent Macroeconomic Modeling written by Claudio H. Dos Santos and published by . This book was released on 2003 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Finance written by Feifei Li and published by . This book was released on 2005 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book DSGE Models in Macroeconomics written by Nathan Balke and published by Emerald Group Publishing. This book was released on 2012-11-29 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy

Download or read book Adaptive Learning by Genetic Algorithms written by Herbert Dawid and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fact that I have the opportunity to present a second edition of this monograph is an indicator for the growing size of the community concerned with agent-based computational economics. The rapid developments in this field make it very difficult to keep a volume like this, which is partly devoted to surveying the literature, up to date. I have done my best to incorporate the relevant new developments in this revised edition but it is in the nature of such a work that the selection of material covered is biased by the authors personal interest and his informational constraints. My apologies go to all researchers in this field whose work is not or not adequately represented in this book. Besides the correction of some errors and typos several additions have been made. In the literature survey sections 2.4 (which was also reorganized) and 3.5 new material was added. I have also added a new section in chapter 3 which deals with the question how well empirically observed phenomena can be explained by GA simulations. A new section in chapter 6 presents a rather extensive analysis of the behavior of a two population GA in the framework of a sealed bid double auction market. Further minor additions and changes were made throughout the text.

Download or read book How Do Adaptive Learning Expectations Rationalize Stronger Monetary Policy Response in Brazil written by Allan Dizioli and published by International Monetary Fund. This book was released on 2023-01-27 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates a standard Dynamic Stochastic General Equilibrium (DSGE) model that includes a wage and price Phillip's curves with different expectation formation processes for Brazil and the USA. Other than the standard rational expectation process, we also use a limited rationality process, the adaptive learning model. In this context, we show that the separate inclusion of a labor market in the model helps to anchor inflation even in a situation of adaptive expectations, a positive output gap and inflation above target. The estimation results show that the adaptive learning model does a better job in fitting the data in both Brazil and the USA. In addition, the estimation shows that expectations are more backward-looking and started to drift away sooner in 2021 in Brazil than in the USA. We then conduct optimal policy exercises that prescribe early monetary policy tightening in the context of positive output gaps and inflation far above the central bank target.