| 1. |
- Bask, Mikael, et al.
(författare)
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Optimal monetary policy under learning and structural uncertainty in a New Keynesian model with a cost channel and inflation inertia
- 2016
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889 .- 1879-1743. ; 69, s. 112-126
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Tidskriftsartikel (refereegranskat)abstract
- We investigate whether expectations-based optimal monetary policy rules under discretion and under commitment can enforce a determinate and least squares learnable rational expectations equilibrium (REE) in a New Keynesian model with inflation inertia and a cost channel of monetary policy transmission. Our numerical results show that commitment rules can enforce a determinate and learnable REE for all parameter constellations considered, whereas discretionary rules are not always able to enforce the same desirable outcome in the economy. We also examine different types of misapprehensions in policy-making and find that an incorrect assessment of the economy's true structure by the central bank greatly affects its capability to enforce a determinate and learnable, although suboptimal, REE. Thus, our numerical results highlight the relevance of this type of analysis for the design and conduct of monetary policy.
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| 2. |
- Basso, Henrique
(författare)
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Delegation, time inconsistency and sustainable equilibrium
- 2009
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889 .- 1879-1743. ; 33:8, s. 1617-1629
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Tidskriftsartikel (refereegranskat)abstract
- This paper analyzes the effectiveness of delegation in solving the time inconsistency problem of monetary policy using a microfounded general equilibrium model where delegation and reappointment are explicitly included into the government's strategy. The method of Chari and Kehoe [1990. Sustainable plans. Journal of Political Economy 98 (4), 783–802] is applied to characterize the entire set of sustainable outcomes. Countering McCallum's [1995. Two fallacies concerning central-bank independence. American Economic Review 85 (2), 207–211] second fallacy, delegation is able to eliminate the time inconsistency problem, with the commitment policy being sustained under discretion for any intertemporal discount rate.
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| 3. |
- Christiano, Lawrence J., et al.
(författare)
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Introducing financial frictions and unemployment into a small open economy model
- 2011
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889 .- 1879-1743. ; 35:12, s. 1999-2041
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Tidskriftsartikel (refereegranskat)abstract
- Which are the main frictions and the driving forces of business cycle dynamics in an open economy? To answer this question we extend the standard new Keynesian model in three dimensions: we incorporate financing frictions for capital, employment frictions for labor and extend the model into a small open economy setting. We estimate the model on Swedish data. Our main results are that (i) a financial shock is pivotal for explaining fluctuations in investment and GDP. (ii) The marginal efficiency of investment shock has negligible importance. (iii) The labor supply shock is unimportant in explaining GDP and no high frequency wage markup shock is needed.
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| 4. |
- Gustavsson, Magnus, 1972-, et al.
(författare)
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Does the labor-income process contain a unit root? : Evidence from individual-specific time series
- 2014
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier. - 0165-1889 .- 1879-1743. ; 47, s. 152-167
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Tidskriftsartikel (refereegranskat)abstract
- Calibrations of models related to life-cycle behavior of consumption and saving often invoke the important assumption of a unit root in individuals' labor-income process. We for the first time test this assumption using methods for univariate time series. Based on longitudinal register data from 1968 to 2005, we first estimate an autoregressive model for each individual using a method for approximately median-unbiased estimation. We then exploit the resulting distribution of the individual-specific estimates to draw inference about the presence of a unit root. Results indicate that earnings for the representative worker are governed by a process where shocks to earnings have moderate persistence and are both economically and statistically significantly different from having permanent effects. These results question the heavy use of unit-root processes for earnings.
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| 5. |
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| 6. |
- Tahvonen, Olli, et al.
(författare)
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Optimizing high-dimensional stochastic forestry via reinforcement learning
- 2022
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier. - 0165-1889 .- 1879-1743. ; 145
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Tidskriftsartikel (refereegranskat)abstract
- In proceeding beyond the generic optimal rotation model, forest economic research has applied various specifications that aim to circumvent the problems of high dimensional-ity. We specify an age-and size-structured mixed-species optimal harvesting model with binary variables for harvest timing, stochastic stand growth, and stochastic prices. Rein-forcement learning allows solving this high-dimensional model without simplifications. In addition to presenting new features in reservation price schedules and effects of stochas-ticity, our setup allows evaluating the simplifications in the existing research. We find that one-or two-dimensional models lose a high fraction of attainable economic output while the commonly applied size-structured matrix model overestimates economic profitability, yields deviations in harvest timing, including optimal rotation, and dilutes the effects of stochasticity. Reinforcement learning is found to be an efficient and promising method for detailed age-and size-structured optimization models in resource economics. (c) 2022 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )
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