The role of agent heterogeneity on the demand-side in the DSGE framework

DSGE 框架中需求方主体异质性的作用

• 批准号: 2867971
• 金额: --
• 依托单位: University of Bath
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2023
• 资助国家: 英国
• 起止时间: 2023 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2867971
• 关键词: role; agent; heterogeneity; demand; side; role; agent; heterogeneity; demand; side

Heterogeneities, the differences between agents, firms and institutions, are common characteristics of economies, rich and poor. If heterogeneities are ubiquitous in economies, serious dynamic models used for policy analysis and forecasts should account for these. Common Dynamic Stochastic General Equilibrium (DSGE) models single out the behaviours of representative agents', and thus remain silent on how fiscal and monetary policy decisions affect economic inequalities. We will investigate The role of agent heterogeneity on the demand-side in the DSGE framework. By introducing a tractable model with heterogeneities, this thesis shall put forward a framework that will provide insights into the links between monetary and fiscal policy, heterogeneities in labour markets and financial markets, and economic inequality. The model shall provide evidence on whether heterogenous agent models can produce consistent results with the data, particularly about economic inequality. This thesis will introduce building blocks to innovate the heterogenous agent framework, formulating a model that captures agents with differing skills and access to financial goods. Chapter 1 Question What does financial market heterogeneity mean for the effectiveness of monetary and fiscal policy? It has been observed that some countries that focus on investing in output-producing assets have grown faster economically than countries that choose more liquid, yet far less important in the output-production process, investment vessels. This chapter shall construct a model with households under the existence of fiscal and monetary authority and nominal rigidities. One household shall have access to invest savings into productive, output-producing assets, capturing long-term productive assets, and sell financial assets, assets unrelated to production, capturing short-term financial assets, to the other household. The other household invests savings into these financial, non-output-producing assets. An important distinction is that these productive and unproductive assets are imperfect. In such a DSGE framework, this chapter will propose a novel model that captures the interactions between heterogeneous agents, nominal rigidities, and fiscal and monetary policy roles on short-run economic inequality dynamics. Chapter 2 shall move the thesis's focus away from financial markets and toward heterogeneity in labour markets. The question it shall answer is How do agent heterogeneities in the labour market affect unemployment under differing fiscal and monetary regimes? The heterogeneous agent model in chapter two shall capture two utility-maximising households, under fiscal and monetary authorities, that consume goods, leisure and savings. One household shall be modelled as more skilled than the other. Such an approach shall generate results on changes in labour supply behaviour under government support, inflation and extreme black swan phenomena like a pandemic under rigidities. Chapter 3 shall bring Chapters 1 and 2 together in a larger-scale heterogeneous agent DSGE model with heterogeneity in financial market access and labour market participants. Such a model captures financial and labour market agent heterogeneity, allowing us to generate predictions consistent with the data and analyse heterogeneous behaviour and economic inequality in response to shocks. Modelling approaches moving away from the representative agent framework, which embraces and captures the existence of agent heterogeneities, shall generate richer results on how different households respond to shocks subjected to the economy, particularly highlighting how inequalities in labour and financial markets change when active fiscal and monetary policy is applied in a locked-down economy. Such a novel modelling approach capturing multiple heterogeneities shall provide a tool for better-informed fiscal and monetary policymaking.

异质性，代理商，企业和机构之间的差异是经济的共同特征，富人和贫穷。如果异质性在经济体中无处不在，则用于政策分析和预测的认真动态模型应考虑到这些。共同的动态随机通用平衡（DSGE）模型勾选了代表代理人的行为，因此对财政和货币政策决策如何影响经济不平等。我们将研究代理异质性在DSGE框架中需求侧的作用。通过引入具有异质性的可访问模型，该论文将提出一个框架，该框架将为货币与财政政策，劳动力市场和金融市场的异质性以及经济不平等之间的联系提供见解。该模型应提供证据，表明异质剂模型是否可以与数据产生一致的结果，尤其是关于经济不平等的结果。本论文将引入构建基础来创新异质代理框架，制定一种模型，该模型捕获具有不同技能和获得金融产品的代理商。第1章问题金融市场异质性对货币和财政政策的有效性意味着什么？已经观察到，一些专注于投资产量产量资产的国家的经济增长速度比选择更多液体的国家更快，但在产量生产过程中，投资船只的重要性要远不止。本章应在财政和货币权威和名义僵化的存在下建立一个模型。一个家庭应获得投资储蓄投资于生产性，产出产出的资产，捕获长期生产资产，出售金融资产，与生产无关的资产，捕获短期金融资产的资产，向其他家庭捕获。其他家庭将节省在这些财务，非公开生产资产中。一个重要的区别是，这些生产性和非生产性资产是不完善的。在这样的DSGE框架中，本章将提出一个新型模型，该模型捕捉异质代理，名义刚性以及财政和货币政策在短期经济不平等动力学上的互动。第2章应将论文的重点从金融市场转移到劳动力市场的异质性。它要回答的问题是，劳动力市场的代理人异质性如何影响不同的财政和货币制度下的失业？第二章中的异质代理模型应在财政和货币当局下捕获两个公用事业最大化的家庭，以消耗货物，休闲和储蓄。一个家庭的建模应比另一个家庭更熟练。这种方法应在政府支持，通货膨胀和极端黑天鹅现象下的劳动供应行为变化（如僵化下的大流行）产生结果。第3章应将第1章和第2章融合在一起，以较大的异质代理DSGE模型，其在金融市场获取和劳动力市场参与者中具有异质性。这样的模型捕获了金融和劳动力市场代理人的异质性，使我们能够产生与数据一致的预测，并分析对冲击的反应性行为和经济不平等。建模方法摆脱了代表性代理框架，该框架包含并捕获了代理异质性的存在，将对不同家庭如何应对经济的冲击做出反应，尤其强调，当劳动和金融市场的不平等现象如何变化时，当主动的财政和货币政策将如何在锁定的经济中应用时。这种新型的建模方法捕获多种异质性，应为更有信息的财政和货币决策提供工具。