解释宏观经济惯性之谜
Explaining the Macroeconomic Inertia Puzzle
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中文总结 AI 辅助
本文通过将调查预期替代主体自身预期，结合嵌入不可观测成分模型的异质性主体一般均衡框架，解释了宏观经济惯性之谜，并指出惯性政策会延长传导滞后。
中文摘要 AI 辅助
基准宏观经济模型需要额外摩擦来解释总变量对突发冲击或政策变化的迟缓反应。本文表明，标准异质性主体（HA）模型、Blanchard（1985）的永久青年模型和Bewley（1986）的不完全市场模型，无需习惯形成偏好或任何特定的预期反应不足模型来削弱消费-储蓄决策的响应性，即可与总消费惯性一致。相反，本文通过直接用主体对收入和利率的调查预期替代其自身预期，在标准HA模型中复制了观测到的消费惯性。本文提出了一种宏观经济惯性的新理论，该理论通过将预期的不可观测成分模型嵌入易处理的HA一般均衡环境，使调查预期中观测到的外推偏差合理化。当预期无法完全解释冲击的均衡放大作用时，就会产生惯性，这种放大在HA经济体中很大。这种不完善的推断导致预期逐渐脱离锚定，因为主体反复将均衡结果的大幅反应简单归因于更大的冲击。该理论还阐明了惯性货币政策规则和财政赤字延迟融资的一个新缺陷：行动更缓慢的政策制度由于其在锚定预期方面有效性降低，会经历更长的传导滞后。
英文摘要
Benchmark macroeconomic models require additional frictions to explain the sluggish response of aggregate variables to sudden shocks or changes in policy. I show that standard heterogeneous agent (HA) models, the Blanchard (1985) perpetual youth and Bewley (1986) incomplete markets models, are consistent with aggregate consumption inertia without the use of habit preferences or any specific model of expectation underreaction to dampen the responsiveness of consumption savings decisions. I instead replicate observed consumption inertia in standard HA models by directly substituting survey expectations of income and interest rates for agents' expectations. I propose a new theory of macroeconomic inertia that rationalizes the observed extrapolation bias in survey expectations by embedding an unobserved components model of expectations into a tractable HA general equilibrium environment. Inertia results when expectations imperfectly account for the equilibrium amplification of shocks, which is large in HA economies. This imperfect inference causes expectations to gradually unanchor as agents repeatedly misattribute large responses of equilibrium outcomes simply to larger shocks. This theory also illustrates a novel drawback to inertial monetary policy rules and the delayed financing of fiscal deficits: Policy regimes that act more gradually experience longer transmission lags due to their decreased effectiveness at anchoring expectations.
