LABOR-MARKET HETEROGENEITY, AGGREGATION, AND POLICY (IN)VARIANCE OF DSGE MODEL PARAMETERS

• 成果类型: Article
• 署名作者: Chang, Yongsung; Kim, Sun-Bin; Schorfheide, Frank
• 署名单位: University of Rochester; Yonsei University; University of Pennsylvania
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2012.01098.x
• 发表日期: 2013
• 页码: 193-220
• 关键词: indivisible labor; business-cycle; optimum quantity; insurance; lotteries; RISK

摘要

Data from a heterogeneous-agents economy with incomplete asset markets and indivisible labor supply are simulated under various fiscal policy regimes and an approximating representative-agent model is estimated. Preference and technology parameter estimates of the representative-agent model are not invariant to policy changes and the bias in the representative-agent model's policy predictions is large compared to predictive intervals that reflect parameter uncertainty. Since it is not always feasible to account for heterogeneity explicitly, it is important to recognize the possibility that the parameters of a highly aggregated model may not be invariant with respect to policy changes.