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Asset Prices and Macro Policy when Agents Learn and are Heterogeneous

Ziel

Based on the APMPAL (ERC) project we continue to develop the frameworks of internal rationality (IR) and optimal signal extraction (OSE). Under IR investors/consumers behave rationally given their subjective beliefs about prices, these beliefs are compatible with data. Under OSE the government has partial information, it knows how policy influences observed variables and signal extraction.
We develop further the foundations of IR and OSE with an emphasis on heterogeneous agents. We study sovereign bond crisis and heterogeneity of beliefs in asset pricing models under IR, using survey data on expectations. Under IR the assets’ stochastic discount factor depends on the agents’ decision function and beliefs; this modifies some key asset pricing results. We extend OSE to models with state variables, forward-looking constraints and heterogeneity.
Under IR agents’ prior beliefs determine the effects of a policy reform. If the government does not observe prior beliefs it has partial information, thus OSE should be used to analyse policy reforms under IR.
If IR heterogeneous workers forecast their productivity either from their own wage or their neighbours’ in a network, low current wages discourage search and human capital accumulation, leading to low productivity. This can explain low development of a country or social exclusion of a group. Worker subsidies redistribute wealth and can increase productivity if they “teach” agents to exit a low-wage state.
We build DSGE models under IR for prediction and policy analysis. We develop time-series tools for predicting macro and asset market variables, using information available to the analyst, and we introduce non-linearities and survey expectations using insights from models under IR.
We study how IR and OSE change the view on macro policy issues such as tax smoothing, debt management, Taylor rule, level of inflation, fiscal/monetary policy coordination, factor taxation or redistribution.

Wissenschaftliches Gebiet

Programm/Programme

Thema/Themen

Aufforderung zur Vorschlagseinreichung

ERC-2017-ADG

Andere Projekte für diesen Aufruf anzeigen

Finanzierungsplan

ERC-ADG - Advanced Grant

Gastgebende Einrichtung

Centre de Recerca en Economia Internacional (CREI)
Netto-EU-Beitrag
€ 889 978,01
Adresse
RAMON TRIAS FARGAS 25/27
08005 Barcelona
Spanien

Auf der Karte ansehen
Region
Este Cataluña Barcelona
Aktivitätstyp
Research Organisations
Links
Gesamtkosten
€ 889 978,01

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Letzte Aktualisierung: 28 Dezember 2022

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Permalink: https://cordis.europa.eu/project/id/788547/de

European Union, 2024