We construct, estimate and explore the monetary policy consequences of a New Keynesian (NK) behavioural model with bounded-rationality and heterogeneous agents. We radically depart from most existing models of this genre in our treatment of bounded rationality and learning. Instead of the usual Euler learning approach, we assume that agents are internally rational (IR) given their beliefs of aggregate states and prices. The model is inhabited by fully rational (RE) and IR agents where the latter use simple heuristic rules to forecast aggregate variables exogenous to their micro-environment. We find that IR results in an NK model with more persistence and a smaller policy space for rule parameters that induce stability and determinacy. In the most general form of the model, agents learn from their forecasting errors by observing and comparing them with those under RE making the composition of the two types endogenous. In a Bayesian estimation with fixed proportions of RE and IR agents and a general heuristic forecasting rule we find that a pure IR model fits the data better than the pure RE case. However, the latter with imperfect rather than the standard perfect information assumption outperforms IR (easily) and RE-IR composites (slightly), but second moment comparisons suggest that the RE-IR composite can match data better. Our findings suggest that Kalman-filtering learning with RE can match bounded-rationality in matching persistence seen in the data.
Egyre több országban megfigyelhető a klaszteralapú gazdaságfejlesztés térhódítása az ágazati szemlélettel szemben, és Magyarországon is létrejöttek azok a kormányzati és magánkezdeményezések, melyek klaszterek fejlesztését tűzték ki célul. A tudatos gazdaság-, illetve klaszterfejlesztés alapját a régió gazdasági szerkezetének ismerete, a létező vagy éppen formálódó klaszterek azonosítása jelenti. A klaszterek feltérképezése tehát az a kiindulópont, mely meghatározza a fejlesztési lehetőségeket, orientálja a fejlesztési elképzeléseket. Tanulmányunkban a klaszterek gyakorlati feltérképezését vizsgáljuk meg közelebbről, szemléltetésül felhasználva a Csongrád megyében, azon belül a szegedi kistérségben folytatott kutatás eredményeit és tapasztalatait. Alapvetően statisztikai adatok elemzésére támaszkodunk, kiemelve a feltérképezés elméletileg jóval tágabb módszertani skálájából azokat az eljárásokat, melyek a hazai térségek gyakorlati vizsgálatában jól alkalmazhatóak.
We develop a general mandate framework for delegating monetary policy to an instrument-independent, but goal-dependent central bank. The goal of the mandate consists of: (i) a simple quadratic loss function that penalizes deviations from target macroeconomic variables; (ii) a form of a Taylor-type nominal interest-rate rule that responds to the same target variables; (iii) a zero-lower-bound (ZLB) constraint on the the nominal interest rate in the form of an unconditional probability of ZLB episodes and (iv) a long-run (steady-state) inflation target. The central bank remains free to choose the strength of its response to the targets specified by the mandate. An estimated standard New Keynesian model is used to compute household-welfareoptimal mandates with these features. We find two main results that are robust across a number of different mandates: first, the optimized rule takes the form of a Taylor simple rule close to a price-level rule. Second, the optimal level of inflation target, conditional on a quarterly frequency of the nominal interest hitting the ZLB of 0.025, is close to the typical target annual inflation of 2% and to achieve a lower probability of 0.01 requires an inflation target of 3.5%.
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