Are Deep Parameters Policy-Invariant?

Saito, Yuta (2014): Are Deep Parameters Policy-Invariant?

Abstract

To see the variance of the intertemporal elasticity of substitution, we do an experiment described by the following steps. First, we calibrate several models with heterogeneous agents and generate aggregate time series data. Then, we estimate the elasticity in the New Keynesian Model using the data from former models. Finally, we check and compare the estimated parameters. Our main finding is that there is some possiblity of misestimating the parameter due to the differences of fiscal policy regimes and heterogeneous agents.

• Item Type: MPRA Paper
• Language: English
• Keywords: Policy-Variance; Heterogenous Agent Model
• Subjects: E - Macroeconomics and Monetary Economics > E0 - General

References

Aiyagari, S. Rao. "Uninsured idiosyncratic risk and aggregate saving." The Quarterly Journal of Economics 109.3 (1994): 659-684.

Algan, Yann, Olivier Allais, and Wouter J. Den Haan. "Solving heterogeneous-agent mod- els with parameterized cross-sectional distributions." Journal of Economic Dynamics and Con- trol 32.3 (2008): 875-908.

Calvo, Guillermo A. "Staggered prices in a utility-maximizing framework." Journal of mon- etary Economics 12.3 (1983): 383-398.

Castaneda, Ana, Javier Dıaz-Giménez, and José-Victor Rıos-Rull. "Exploring the income distribution business cycle dynamics." Journal of Monetary economics 42.1 (1998): 93-130.

Chang, Yongsung, Sun-Bin Kim, and Frank Schorfheide. "Labor-Market Heterogeneity, Aggregation, and Policy (In) Varianve of DSGE Model Parameters." Journal of the European Economic Association 11.s1 (2013): 193-220.

Fernandez-Villaverde Jesús, JuanF.RubioRamírez, Timothy Conley, andFrankSchorfheide. How Structural Are Structural Parameters?[with Comments and Discussion]. NBER Macroe- conomics Annual, (2007): 83-167.

Gali, Jordi, J. David López-Salido, and Javier Vallés. "Understanding the effects of govern- ment spending on consumption." Journal of the European Economic Association 5.1 (2007): 227-270.

Guvenen, Fatih. Macroeconomics with heterogeneity: A practical guide. No. w17622. Na- tional Bureau of Economic Research, 2011.

Heathcote, Jonathan, Kjetil Storesletten, and Giovanni L. Violante. The macroeconomic implications of rising wage inequality in the United States. No. w14052. National Bureau of Economic Research, (2008).

Heer, Burkhard, and Alfred Maussner. Dynamic general equilibrium modeling: computa- tional methods and applications. Springer, 2009.

Judd, Kenneth L. Numerical methods in economics. Hoover Inst. on War Revolution and Peace, Stanford Univ., (1991).

Krusell, Per, and Anthony A. Smith, Jr. "Income and wealth heterogeneity in the macroe- conomy." Journal of Political Economy 106.5 (1998): 867-896.

Krusell, Per, and Anthony A. Smith. "Quantitative Macroeconomic Models With Heteroge- neous Agents." Econometric Society Monographs 41 (2006): 298.

Ljungqvist, Lars, and Thomas J. Sargent. Recursive macroeconomic theory. MIT press, (2012).

Lucas Jr, Robert E. "Econometric policy evaluation: A critique." Carnegie-Rochester con- ference series on public policy. Vol. 1. North-Holland, (1976).

Miranda, Mario J., and Fackler, Paul L. Applied computational economics and finance. The MIT Press, (2002).

Reiter, Michael. "Solving heterogeneous-agent models by projection and perturbation." Jour- nal of Economic Dynamics and Control 33.3 (2009): 649-665.

Sugo, Tomohiro, and Kozo Ueda. "Estimating a dynamic stochastic general equilibrium model for Japan." Journal of the Japanese and International Economies 22.4 (2008): 476-502.

Yun, Tack. "Nominal price rigidity, money supply endogeneity, and business cycles." Journal of Monetary Economics 37.2 (1996): 345-370.