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Professional survey forecasts and expectations in DSGE models
Rychalovska, Y. ; Slobodyan, Sergey ; Wouters, R.
In this paper, we demonstrate the usefulness of survey data for macroeconomic analysis and propose a strategy to integrate and efficiently utilize information from surveys in the DSGE setup. We extend the set of observable variables to include the data on consumption, investment, output, and inflation expectations, as measured by the Survey of Professional Forecasters (SPF). By doing so, we aim to discipline the dynamics of model-based expectations and evaluate alternative belief models. Our approach to exploit the timely information from surveys is based on re-specification of structural shocks into persistent and transitory components. Due to the SPF, we are able to improve identification of fundamental shocks and predictive power of the model by separating the sources of low and high frequency volatility. Furthermore, we show that models with an imperfectly-rational expectation formation mechanism based on Adaptive Learning (AL) can reduce important limitations implied by the Rational Expectation (RE) hypothesis. More specifically, our models based on belief updating can better capture macroeconomic trend shifts and, as a result, achieve superior long-term predictions. In addition, the AL mechanism can produce realistic time variation in the transmission of shocks and perceived macro-economic volatility, which allows the model to better explain the investment dynamics. Finally, AL models, which relax the RE constraint of internal consistency between the agents’ and model forecasts, can reproduce the main features of agents’ predictions in line with SPF evidence and, at the same time, can generate improved model forecasts, thus diminishing possible inefficiencies present in surveys.
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Essays on Macroeconomics with Financial Frictions
Audzei, Volha ; Slobodyan, Sergey (vedoucí práce) ; Wouters, Rafael (oponent) ; Benigno, Pierpaolo (oponent)
V této disertaci je zkoumáno, jak upuštění od předpokladu racionálních očekávání ovlivní výstupy makroekonomických modelů. Konkrétně ukazujeme, jak nedokonalé informace ekonomických agentů na finančních trzích působí na jejich rozhodovací proces za přítomnosti rizika, dále pak na efekt monetární politiky na banky, půjčky a rovnovážný výběr. V svém prvním paperu začleňujeme mezibankovní trh do standardního DSGE modelu, přičemž mezibankovní úroková míra a objem půjček závisí na důvěře na trhu a na riziku protistrany. Toto ve výsledku znamená, že pokud na trhu panuje představa, že došlo ke zvýšení míry rizika protistrany, pak dochází k zamrznutí úvěrových trhů. Změny v důvěře v trhy pak mohou zapříčinit zamrznutí úvěrových trhů, a tudíž prohloubit recesi. Ve své práci teoreticky napodobujeme některé politiky centrálních bank. Konkrétně napodobujeme cílené a necílené poskytnutí likvidity a snížení úrokové míry z rezerv. Naše výsledky ukazují, že pokud centrální banka svými zákroky nijak nezmění očekávání ekonomických agentů, pak mají opatření centrální banky pouze omezený vliv na nabídku úvěrů. Snížení úrokové míry z rezerv prohlubuje recesi, protože toto opatření snižuje výnosy bank. Poskytnutí dodatečné likvidity vede k mírnému zvýšení úvěrové aktivity bank, ale zároveň toto opatření snižuje efektivitu,...
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Monetary Policy, Inflation and Dollarization in the Economies of Central Asia
Isakova, Asel ; Kočenda, Evžen (vedoucí práce) ; Čihák, Martin (oponent) ; Wouters, Rafael (oponent)
Dissertation Monetary Policy, Inflation and Dollarization in the Economies of Central Asia Asel Isakova Abstract The present dissertation consists of three studies on the issues of inflation, monetary policy effects and dollarization in three economies in Central Asia - Kazakhstan, the Kyrgyz Republic and Tajikistan. These economies have undergone a deep transformation from central planning to market economies. The profound economic transformation which took place after these countries became independent, combined with liberalization of prices and trade, resulted in hyperinflation, general economic instability, and large fiscal and external imbalances. Central banks in the region had managed to combine the policies and tools to take control of inflation in the late 1990s. This was the period when positive economic growth was observed in the region. A negative shock for these countries was caused by the Russian crisis in 1998, though the consequences of this financial turmoil were softened by the measures of the regional central banks concerning the flexibility of the exchange rates. Since 2000, these economies have been characterized by single-digit inflation rates, except Tajikistan, and high positive economic growth. The monetary policy framework has evolved over the transition period. Macroeconomic...
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