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91 records from EconBiz based on author Name
1. A primer on optimal policy projections
abstractOptimal policy projections (OPPs) offer a flexible way to derive scenario-based policy recommendations. This note describes how to calculate OPPs for a simple textbook New Keynesian model and provides illustrations for various examples. It also demonstrates the versatility of the approach by showing OPP results for simulations conducted using a medium-scale DSGE model and a New Keynesian model with heterogeneous households.
Dengler, Thomas; Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel; Röttger, Joost; Scheer, Alexander; Wacks, Johannes;2024
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link Link Link 2. On household labour supply in sticky-wage HANK models
abstractHeterogeneous-agent New Keynesian models with sticky nominal wages usually assume that wage-setting unions demand the same amount of hours from all households. As a result, unions do not take account of the fact that (i) households are heterogeneous in their willingness to work, and that (ii) some households might have to work more hours than they would like to. In this paper, we consider two departures from the standard modelling approach. First, we consider a model version in which unions can demand different hours from different households, directly taking household heterogeneity into account. In this case, we show that unions find it optimal to ration hours worked for all households, such that nobody works more than desired. Compared to the standard case in which all households work the same amount by assumption, the response of output, wages and inflation to monetary policy shocks becomes notably less pronounced. This attenuation reflects that hours worked respond differently across the income distribution. The second model version we consider maintains the assumption that all households work the same amount but prohibits unions from requiring any household to work more than it would like to. This modification substantially lowers the effective stickiness of nominal wages, resulting in markedly different wage and inflation dynamics.
Gerke, Rafael; Giesen, Sebastian; Lozej, Matija; Röttger, Joost;2024
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link
Link 3. Make-up strategies with incomplete markets and bounded rationality
abstractWe study the impact of market incompleteness and bounded rationality on the effectiveness of make-up strategies. To do so, we simulate a heterogeneous-agent New Keynesian (HANK) model with reflective expectations and an occasionally-binding effective lower bound (ELB) on the policy rate. Our simulations show that make-up strategies can mitigate the negative consequences of the ELB for inflation and real economic activity. This result holds both for our HANK model as well as a corresponding representative-agent (RANK) model with complete markets, suggesting that market (in)completeness is not important for the effectiveness of make-up strategies. However, the stabilisation benefits of make-up strategies are small when agents’ cognitive ability is consistent with micro-evidence. This result is independent of market (in)completeness, emphasising the importance of rational expectations for make-up strategies. Furthermore, while market incompleteness and bounded rationality complement each other in attenuating the effects of forward guidance in our model, we do not observe such a complementarity with respect to the benefits of make-up strategies.
Dobrew, Michael; Gerke, Rafael; Giesen, Sebastian; Röttger, Joost;2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link Link Link 4. On household labour supply in sticky-wage HANK models
Gerke, Rafael; Giesen, Sebastian; Lozej, Matija; Röttger, Joost;2024
Type: Working Paper;
Availability:
5. A primer on optimal policy projections
Dengler, Thomas; Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel; Röttger, Joost; Scheer, Alexander; Wacks, Johannes;2024
Type: Working Paper;
Availability:
6. Make-up strategies with incomplete markets and bounded rationality
Dobrew, Michael; Gerke, Rafael; Giesen, Sebastian; Röttger, Joost;2023
Type: Working Paper;
Availability:
7. Make-Up Strategies with Incomplete Markets and Bounded Rationality
abstractWe study the impact of market incompleteness and bounded rationality on the effectiveness of make-up strategies. To do so, we simulate a heterogeneous-agent New Keynesian (HANK) model with reflective expectations and an occasionally-binding effective lower bound (ELB) on the policy rate. Our simulations show that make-up strategies can mitigate the negative consequences of the ELB for inflation and real economic activity. This result holds both for our HANK model as well as a corresponding representative-agent (RANK) model with complete markets, suggesting that market (in)completeness is not important for the effectiveness of make-up strategies. However, the stabilisation benefits of make-up strategies are small when agents' cognitive ability is consistent with micro-evidence. This result is independent of market (in)completeness, emphasising the importance of rational expectations for make-up strategies. Furthermore, while market incompleteness and bounded rationality complement each other in attenuating the effects of forward guidance in our model, we do not observe such a complementarity with respect to the benefits of make-up strategies
Dobrew, Michael; Gerke, Rafael; Giesen, Sebastian; Röttger, Joost;2023
Availability: Link Link
8. Make-Up Strategies with Incomplete Markets and Bounded Rationality
Dobrew, Michael; Gerke, Rafael; Giesen, Sebastian; Röttger, Joost;2023
Type: Conference Paper;
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9. Interest rate pegs and the reversal puzzle : on the role of anticipation
abstractWe revisit the reversal puzzle: A counterintuitive contraction of inflation in response to an interest rate peg. We show that it is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg. If they do not anticipate the peg, reversals are absent. In the case of imperfect anticipation, implemented by a Markov-switching framework, we measure the degree of anticipation by the frequency of the peg regime. Even if the frequency of the peg takes on a value twice as large as empirically observed, the reversal puzzle is absent.
Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link 10. The power of forward guidance in a quantitative TANK model
abstractWe quantify the macroeconomic effects of interest rate forward guidance in an estimated medium-scale two-agent New Keynesian (TANK) model. In general, such models can dampen or amplify the power of forward guidance compared to a representative agent model. Our empirical estimates indicate a dampening, as there is sufficient countercyclical redistribution.An interaction with asset purchases gives rise to non-linear effects that depend on the horizon of forward guidance.
Gerke, Rafael; Giesen, Sebastian; Scheer, Alexander;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link