动态随机一般均衡模型： 文献研究与未来展望

动态随机一般均衡 （DSGE） 模型是近10多年来宏观经济学发展的主要标志物。它为研究经济增长和经济波动提供了统一的分析框架。DSGE模型的产生和发展大体上经历了实际的经济周期（RBC）模型和新凯恩斯主义DSGE模型两个阶段。DSGE模型是一种动态模型,又考虑了随机冲击,还具有所需数据信息较少的简约化特征,因而受到政策制定者尤其是中央银行的青睐。DSGE模型现在在理论基础、理论模型与实际数据的匹配性、模型的估计方法等方面还存在这样那样的问题,但是这个模型体现着现代宏观经济学的许多共识和发展趋势,随着贝叶斯方法与DSGE模型的有机融合,随着计算机性能和计算能力的不断提高,DSGE模型将会得到进一步发展和改进。     

CONSISTENT VARIANCE OF THE LAPLACE‐TYPE ESTIMATORS: APPLICATION TO DSGE MODELS

The Laplace‐type estimator has become popular in applied macroeconomics, in particular for estimation of dynamic stochastic general equilibrium (DSGE) models. It is often obtained as the mean and variance of a parameter's quasi‐posterior distribution, which is defined using a classical estimation objective. We demonstrate that the objective must be properly scaled; otherwise, arbitrarily small confidence intervals can be obtained if calculated directly from the quasi‐posterior distribution. We estimate a standard DSGE model and find that scaling up the objective may be useful in estimation with problematic parameter identification. It this case, however, it is important to adjust the quasi‐posterior variance to obtain valid confidence intervals.     

Teaching courses in macroeconomics and monetary policy with Bloomberg analytics

In this article, the authors illustrate the use of Bloomberg for analyzing topics in macroeconomics and monetary policy in economics and finance courses. The hands-on experience that students gain from such a course has many benefits, including deeper learning and clearer understanding of data. The authors describe goals and learning objectives, then compare Bloomberg with Federal Reserve Economic Data (FRED). In addition, they provide examples of how to use Bloomberg in the classroom, describe how to have students perform sector analysis, show how Bloomberg tools are useful for analyzing monetary policy, discuss how to use Bloomberg to analyze the financial sector, and illustrate the platform’s use in a case study.     

Hayek, Keynes, and modern macroeconomics

The Great Recession seems to be creating a change in the trend of macroeconomic thinking. Prior to the financial crisis of 2008, dynamic stochastic general equilibrium (DSGE) models dominated the macroeconomics literature without any apparent challengers on the horizon. Since then, however, we have seen an increasing interest in macroeconomic models that address the state of confidence (??animal spirits??), complexity, cognition, and radical uncertainty. Most of the renewed interest in animal spirits, complexity, cognition, and radical uncertainty has come from a more or less ??Keynesian?? perspective. We discuss the potential to emphasize these elements from a more ??Hayekian?? perspective and argue that Austrian approaches to macroeconomics along these lines are more likely to resonate with mainstream economists than in years past.     

On the predictability of time-varying VAR and DSGE models

Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic fluctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspecifications as they are able to solve the trade-off between theoretical coherence and empirical fit. However, these models are still linear and they do not consider time variation for parameters. The time-varying properties in VAR or DSGE models capture the inherent nonlinearities and the adaptive underlying structure of the economy in a robust manner. In this article, we present a state-space time-varying parameter VAR model. Moreover, we focus on the DSGE–VAR that combines a microfounded DSGE model with the flexibility of a VAR framework. All the aforementioned models as well simple DSGEs and Bayesian VARs are used in a comparative investigation of their out-of-sample predictive performance regarding the US economy. The results indicate that while in general the classical VAR and BVARs provide with good forecasting results, in many cases the TVP–VAR and the DSGE–VAR outperform the other models.     

Teaching Inflation Targeting: An Analysis for Intermediate Macro

Over the last decade, many central banks have adopted policies known as inflation targeting. If intermediate-level macroeconomics students are to be prepared to think about current policy issues, it is important to provide them with an introduction to the macroeconomic implications of inflation targeting. Unfortunately, the standard aggregate demand-aggregate supply frameworks commonly used to teach intermediate macroeconomics are not well suited for this task because they are expressed in terms of output and the price level and because they fail to make explicit the policy objectives of the central bank. The author provides a simple graphical device involving the output gap and the inflation rate that overcomes these problems and that can be used to teach intermediate macroeconomics students about inflation targeting.     

Indeterminate forecast accuracy under indeterminacy

This paper studies whether the observed time variation in the forecast accuracy of macro-econometric models can be reconciled with the monetary policy stance that induces (in)determinacy in stylized DSGE models. Using a small-scale New Keynesian monetary framework as laboratory and structural parameters calibrated to the estimates obtained on U.S. data from different macroeconomics regimes, we exploit reduced-form econometric models – such as Vector Autoregressions – to assess their regime-specific forecastability. We show that conducting (pseudo) out-of-sample forecast comparisons in the presence of indeterminacy is a non-trivial exercise, even when sunspot shocks play no role in generating the data. Overall, our simulation experiment suggests that equilibrium indeterminacy need not lead to superior (absolute or relative) forecast accuracy. This finding challenges the view that the deteriorating performance of forecast models over the Great Moderation relative to the Great Inflation was entirely due to changes in the U.S. monetary policy.     

On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models

This paper studies how rare disasters and uncertainty shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the results in Schmitt-Grohé and Uribe (2004) to third order, we derive propositions for how rare disasters, stochastic volatility, and GARCH affect any type of risk premia in a wide class of DSGE models. To quantify the effects, we set up a standard New Keynesian DSGE model where total factor productivity includes rare disasters, stochastic volatility, and GARCH. We find that rare disasters increase the level of the 10-year nominal term premium, whereas a key effect of uncertainty shocks, i.e. stochastic volatility and GARCH, is an increase in the variability of this premium.     

Programmed Learning-Policy Analysis: An Experiment in Teaching Principles of Economics

Darnton reports on an experiment using programmed instruction in macroeconomics. He also explains how assignments to write “position papers” on economic policies are used. An analysis of the experiment deals with the time devoted to the course by students and instructor, student understanding of economics and student attitude toward this approach. The TUCE was used as the testing instrument, and Darnton asserts that the experimental group did better than the control group on complex application questions. The experimental approach proved to be popular with the students, and the author claims that it provided for a more efficient use of faculty resources.     

The Optimal Level and Disposition of Saving and the Mix of Monetary and Fiscal Policy in Intermediate Macroeconomics

The optimal level of saving and its optimal disposition between investment in the domestic capital stock and the accumulation of overseas assets should be an important topic in intermediate macroeconomics courses. This article shows how the analysis of this topic can be presented to students.     

Teaching Macroeconomics After the Crisis: A Survey Among Undergraduate Instructors in Europe and the United States

The Great Recession raised questions of what and how macroeconomists teach at academic institutions around the globe, and what changes in the macroeconomics curriculum should be made. The authors conducted a survey of undergraduate macroeconomics instructors affiliated with colleges and universities in Europe and the United States at the end of 2010. The results show that courses feature very much the same lineups of models as they did before the crisis. A notable exception concerns public debt dynamics, which receives considerably more emphasis. The finer fabric of undergraduate macroeconomics teaching, however, shows substantial shifts: A host of topics related to financial markets has entered the curriculum, and there is more interest in economic history, the history of economic thought, and case studies.     

Great Recession and Macroeconomic Theory: A Useless Crisis?

ABSTRACT

The global financial crisis of 2007–08 and the subsequent Great Recession have pushed many economists to acknowledge a fundamental limit in the theoretical models elaborated after the monetarist counter-revolution: these models disregard the financial system. The years following the Great Recession have thus been marked by the development of what can be called the ‘Financial Frictions Approach’, a theoretical approach based on the addition of the financial system to the New Keynesian DSGE model. The results of this line of research are beginning to appear also in macroeconomics textbooks. Significant examples are the publication of the seventh edition of Blanchard’s textbook, and the publication of the third edition of the textbook co-authored by Blanchard, Amighini and Giavazzi. The objective of this work is twofold: (i) to show that the new model presented by Blanchard, Amighini and Giavazzi, which reflects the results of the ‘Financial Frictions Approach’, does not allow to elaborate a coherent explanation of the Great Recession and (ii) to present the pillars of an alternative theoretical model based on the lessons of Keynes, Schumpeter and Minsky.     

Evolutionary macroeconomics: a research agenda

In this article, the goal is to offer a new research agenda for evolutionary macroeconomics. The article commences with a broad review of the main ideas in the history of thought concerning the determinants of economic growth and an introduction to the evolutionary perspective. This is followed by a selective review of recent evolutionary approaches to macroeconomics. These approaches are found to be somewhat disconnected. It is argued that the ‘micro-meso-macro’ approach to economic evolution is capable of resolving this problem by offering an analytical framework in which macroeconomics can be built upon ‘meso-foundations’, not micro-foundations, as asserted in the mainstream. It is also stressed that the economic system and its components are complex adaptive systems and that this complexity must not be assumed away through the imposition of simplistic assumptions made for analytical convenience. It is explained that complex economic systems are, at base, energetic in character but differ from biological complex systems in the way that they collect, store and apply knowledge. It is argued that a focus upon stocks and flows of energy and knowledge in complex economic systems can yield an appropriate analytical framework for macroeconomics. It is explained how such a framework can be connected with key insights of both Schumpeter and Keynes that have been eliminated in modern macroeconomics. A macroeconomic framework that cannot be operationalized empirically is of limited usefulness so, in the last part of the article, an appropriate methodology for evolutionary macroeconomics is discussed.     

Tweeting Your Way to Improved #Writing, #Reflection,and #Community

Economics appears to be lagging behind other fields in the adoption of Web 2.0 technologies in the classroom. Twitter is an online microblogging utility, permitting posts of up to 140 characters called tweets. The utility is rapidly making its way into secondary and post-secondary classrooms as a complement to traditional instruction and an active learning tool. In this article, the author describes how Twitter was employed as a complement to traditional lecture in a small macroeconomics principles course (the instrument is applicable to courses at any level). The brevity of the tweets forces students to express their thoughts concisely and is believed to develop reflection and writing skills while expanding the class community.     

Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence

The literature on monetary economy has aroused growing interest in macroeconomics. Due to computational advancements, models have become increasingly more complex and accurate, allowing for an in-depth analysis of the relationships between real economic variables and nominal variables. Therefore, using a dynamic stochastic general equilibrium (DSGE) model, based on Gali and Monacelli (2005), we propose and estimate a model for the Brazilian economy by employing Bayesian methods so as to assess whether the Central Bank of Brazil takes exchange rate fluctuations into account in the conduct of monetary policy. The most striking result of the present study is that the Central Bank of Brazil does not directly change the interest rate path due to exchange rate movements. A simulation exercise is also used. Our conclusion is that the economy quickly accommodates shocks induced separately on the exchange rate, on the terms of trade, interest rate, and global inflation.     

Teaching Ecological and Feminist Economics in the Principles Course

It can be difficult to incorporate ecological and feminist concerns into introductory courses, when one is also obliged to teach neoclassical analysis. In this essay we briefly describe how one might extend existing “multi-paradigmatic” approaches to feminist and ecological concerns, and then present an new alternative approach that may be more suitable for some students. This “broader questions and bigger toolbox” approach can be applied in both microeconomics and macroeconomics introductory classrooms.     

The Use of Narrative Interview in Teaching Principles of Macroeconomics

The author describes the design and implementation of one experiential learning assignment used in a principles of macroeconomics course. The learning exercise provides an active role for students and results in a relational experience that provides traditional undergraduate students with a frame of reference with which to interpret the impact of macroeconomic events and policy on their daily lives.     

Conflict,distribution, and finance in alternative macroeconomic traditions

Power and conflict are issues that loom large in the work of David Gordon. They are also issues that are largely absent in conventional macroeconomics. This paper shows how these concepts can be introduced within alternative macroeconomic traditions, and it shows how their significance depends on the particulars governing the construction of the macroeconomic process. The paper details the implicit economic process embedded in the new classical, neo-Keynesian, classical Marxist, and Kaleckian constructions of macroeconomics. It then develops a general post Keynesian model that fuses the insights of the classical Marxist and Kaleckian models regarding the significance of conflict and income distribution, with the insights of the neo-Keynesian model regarding the place of finance. Last, the paper argues that finance matters both for aggregate demand and as a worker discipline device. This represents a supply side channel for finance that links with modern new classical models that emphasize credit rationing     

Real Business Cycle Models: An Introduction

In this article we present a simple real business cycle (RBC) model, in order to show that these models capture many of the features of business cycles in the real economy. While these models are very abstract, we argue that they are a useful way of thinking about the macro-economy. RBC models have also been influential in refocusing attention on supply issues in macroeconomics, after a long postwar focus on aggregate demand management in Australia and most other western economies. Policies such as structural reform and labour market reform are clearly aimed at influencing the supply side of the economy and productivity, and can be understood within the framework of RBC theory. RBC models have developed rapidly recently, yet there remains a good deal of misunderstanding about the methods and aims of these models. In this article we present a review of the literature and examine a simple model, using graphical techniques, to clarify some issues. We also argue that these models, while having limitations, have caused a fruitful re-examination of supply issues in economics, after the almost exclusive focus on aggregate demand in macroeconomics until the late 1970s.     

Extending the Principles of Intensive Writing to Large Macroeconomics Classes

The authors report on the design and implementation of a pilot program to extend the principles of intensive writing outlined by W. Lee Hansen (1998), Murray S. Simpson and Shireen E. Carroll (1999) and David Carless (2006) to large macroeconomics classes. The key aspect of this program was its collaborative nature, with staff from two specialist units joining forces with two economics instructors to provide students with significant resources and direction in a short program of writing, embedded within an intermediate macroeconomics subject at the University of Technology, Sydney (UTS). The objective was to test potential strategies and to identify points of improvement for a more intensive program of writing development at the next stage of implementation. The authors review the literature on student writing and associated assessment issues, outline the central design features of the UTS program, and take a closer look at the centerpiece of a strategy for overcoming writing problems: a series of writing workshops targeted at two related assignments within the intermediate macroeconomics course.