Dienstag, 8. April 2014

FRBUS-Modell

Die Forschungsabteilung des Federal Reserve Boards der USA hat eine vollständige Dokumentation ihres Mehrgleichungsmakromodells online gestellt.
In einem Übersichtsartikel wird die generelle Struktur des Modells beschrieben. 
"The FRB/US model of the U.S. economy is one of several that Federal Reserve Board staff consults for forecasting and the analysis of macroeconomic issues, including both monetary and fiscal policy. FRB/US has long been available to members of the public upon request. To reduce the costs of providing updates of the model specification and databases, and to make the public more broadly aware of the model's availability, a new page has been introduced on the Federal Reserve Board's website from which interested users can download expanded FRB/US documentation; model equations, coefficients, and data; and sample simulation programs. These simulation programs can be run by anyone with access to the EViews software package, a widely available commercial product. This note provides a brief summary of the main features of the model, illustrates some applications of the model using sample programs provided on the web page, and concludes with an overview of the contents of the web page. Because the model continues to undergo changes as both economic theory and empirical evidence evolve, any given model release reflects only the state of thinking at the time of the release."
Der gesamte Datensatz, sowie eine vollständige Dokumentation der Gleichungen und ein EViews-Add-in kann hier heruntergeladen werden.

Noah Smith schreibt auf seinem Blog über diesen Schritt:
"[...] Why didn't the Fed fully reveal FRB/US model before now? It always seemed to me that it was basically because of - for lack of a better word - embarrassment. Academic macroeconomists haven't used or studied this type of model in decades (having abandoned everything else in favor of DSGE). In 2010, Chris Sims appeared to call models like FRB/US "something close to a spreadsheet". Since most Fed employees are drawn from the same pool of people as academic macro (and interact with academic macroeconomists quite frequently), the fact that they use something like FRB/US must have seemed a bit awkward. In fact, I've heard academic macroeconomists make fun of FRB/US a number of times.

So if my guess is right, the Fed's publication of FRB/US indicates that whatever embarrassment existed is now essentially gone. That is kind of interesting. [...]

Lucas and his followers (and "his followers" include almost 100% of academic macroeconomists working after 1980, to a greater or lesser degree) hoped and expected that DSGE models, which have a relatively small number of parameters and generally only consider the MCE case, would fully replace models like FRB/US at central banks. But that has not happened, despite decades of arguments by academics. The Fed and other central banks do indeed use DSGE models, but they continue to use things like FRB/US as well. Where academic macro is hedgehoggy, central banks are stubbornly foxy.

And I say "stubbornly" because instead of becoming more and more shy about their continued deviation from academia, the Fed now seems to be getting more bold about it. In their notes on the public release of FRB/US, they very explicitly show how the model is used not just for unconditional forecasting, but for policy analysis - exactly the thing that Robert Lucas told us that we shouldn't do with this kind of model.

That's my (non-insider) takeaway from the public release of FRB/US - the Fed seems less embarrassed about its continued split with academic macro."

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