Mittwoch, 15. Januar 2014

Improving macro models

Noah Smith hat auf einem Blog einen super Beitrag über die Entwicklung der Modellierung zentraler Elemente von DSGE-Makromodellen.

In seinem Beitrag berichtet er über eine Diskussion mit und einen Aufsatz von Martin Eichenbaum. Es geht jeweils um das Ersetzen von unplausiblen bzw. der Empirie widersprechenden Bausteinen moderner Makromodelle.
"Now they [Christiano, Eichenbaum and Trabandt] are offering a new and improved version, the Christiano-Eichenbaum-Trabandt model. This model relies much less on price stickiness to produce business cycles, and more on the labor-search models that have become popular since they won the Nobel Prize in 2010."
Ich habe den Aufsatz vor ein paar Wochen auch gelesen und könnte mir auch vorstellen, dass das ein großer Schritt zum Nachfolge-Benchmarkmodell nach Christiano/Eichenbaum/Evans bzw. Smeets/Wouters sein könnte.

Interessanter fand' ich aber noch den Bericht über die Diskussion über die Eulergleichung:
"But during his talk, Eichenbaum said something that really caught my attention: "Maybe next time [we update our model], we can finally get rid of the...Euler Equation." [...]

This equation underlies every DSGE model you'll ever see, and drives much of modern macro's idea of how the economy works. So why is Eichenbaum, one of the deans of modern macro, pooh-poohing it?
Simple: Because it doesn't fit the data. The thing is, we can measure people's consumption, and we can measure interest rates. If we make an assumption about people's preferences, we can just go see if the Euler Equation is right or not! [...]"
Allerdings lässt sich in Noahs Beitrag nicht ableiten, in welche Richtung die Größen der Makromodellierung denken, um die "Eulergleichung" vielleicht "loszuwerden" bzw. zu modifizieren.

Am Rande sei noch erwähnt, dass Noah seinen Beitrag so abschließt:
"I have to say that I was really, really impressed by Eichenbaum criticizing the Euler Equation (which he uses in his models) and referring me to a paper that specifically rebuts his most famous paper. First of all, it means he's willing to engage with critics, which is great. But even more importantly, it showed the kind of respect for the data that I've rarely seen in the macro field. Eichenbaum uses Euler Equations in his models because they're the only game in town, but he hopes to replace them someday, because they just don't seem to fit the facts. Eichenbaum really made me feel a lot better about the macroeconomics field; there really are macro people out there who aren't resigned to the defeatist idea that "all models are wrong"!"

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