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Behavioral and experimental macroeconomics and policy analysis : a complex systems approach

Hommes, Cars H. - 2018

This survey discusses behavioral and experimental macroeconomics emphasizing a complex systems perspective. The economy consists of boundedly rational heterogeneous agents who do not fully understand their complex environment and use simple decision heuristics. Central to our survey is the...

Persistent link: https://www.econbiz.de/10011929804

Trust, but verify : de-anchoring of inflation expectations under learning and heterogeneity

Busetti, Fabio; Delle Monache, Davide; Gerali, Andrea; … - Task Force on Low Inflation (LIFT) - 2017

learning, choosing among a set of alternative forecasting models. The analysis is accompanied by empirical evidence on the …

Persistent link: https://www.econbiz.de/10011636284

On the indeterminacy of determinacy and indeterminacy

Beyer, Andreas; Farmer, Roger E. A. - 2003

A number of authors have attemted to test whether the U.S. economy is in a determinate or an indeterminate equilibrium. We argue that to answer this question, one must be impose a priori restrictions on lag length that cannot be tested. We provide examples of two economic models. Model 1...

Persistent link: https://www.econbiz.de/10009635896

On the indeterminacy of new-Keynesian economics

Beyer, Andreas; Farmer, Roger E. A. - 2004

We study identiÞcation in a class of three-equation monetary models. We argue that these models are typically not identiÞed. For any given exactly identiffed model, we provide an algorithm that generates a class of equivalent models that have the same reduced form. We use our algorithm to...

Persistent link: https://www.econbiz.de/10009636546

Business cycle dynamics under rational inattention

Maćkowiak, Bartosz; Wiederholt, Mirko - 2011

We develop a dynamic stochastic general equilibrium model with rational inattention by households and firms. Consumption responds slowly to interest rate changes because households decide to pay little attention to the real interest rate. Prices respond quickly to some shocks and slowly to other...

Persistent link: https://www.econbiz.de/10009006631

Learning from prices : amplification and business fluctuations

Chahrour, Ryan; Gaballo, Gaetano - 2017

We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically … alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate …

Persistent link: https://www.econbiz.de/10011648329

Sticky expectations and consumption dynamics

Carroll, Chris; Crawley, Edmund; Slacalek, Jirka; … - 2018

Macroeconomic models often invoke consumption "habits" to explain the substantial persistence of macroeconomic consumption growth. But a large literature has found no evidence of habits in the microeconomic datasets that measure the behavior of individual households. We show that the apparent...

Persistent link: https://www.econbiz.de/10011856412

The rational inattention filter

Maćkowiak, Bartosz; Matějka, Filip; Wiederholt, Mirko - 2017

Dynamic rational inattention problems used to be difficult to solve. This paper provides simple, analytical results for dynamic rational inattention problems. We start from the benchmark rational inattention problem. An agent tracks a variable of interest that follows a Gaussian process. The...

Persistent link: https://www.econbiz.de/10011636897

Lifting the banking veil : credit standards' harmonization through lending transparency

Kang, Jung Koo; Loumioti, Maria; Moerman, Regina Wittenberg - 2020

convergence in their credit terms, suggesting that transparency facilitates learning across a bank's different geographic regions …

Persistent link: https://www.econbiz.de/10012154163

Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach

Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021

We develop early warning models for financial crisis prediction by applying machine learning techniques to … macrofinancial data for 17 countries over 1870–2016. Most nonlin-ear machine learning models outperform logistic regression in out …-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …

Persistent link: https://www.econbiz.de/10012705396

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