CIRJE特別セミナー/CIRJE Special Seminar 2014

February 19, 2015 （木　Thursday）　1) 10:30-12:10, 2) 14:50-16:30, 3) 16:40-18:20

※マクロ経済学ワークショップと共催

In-Koo Cho (University of Illinois)

Deconstructing US Inflation
1) 10:30-12:10, Part I: Introduction
2) 14:50-16:30, Part 2: Conquest
3) 16:40-18:20, Part 3: Multiple Models and Validation

One of the enduring ironies of economic research is that while economists struggle to devise models that can explain events like global nancial crises, their models typically assume that agents within the model have somehow already gured it all out. This tension between the knowledge of econo- mists and the presumed knowledge of agents within economic models was recently highlighted by Hansen in his Nobel address: Why is it fruitful to consider model misspecication? ... Part of a meaningful quantitative analysis is to look at models and try to gure out their deciencies and the ways in which they can be improved. A more subtle challenge for statistical methods is to explore systematically potential modeling errors in order to assess the quality of the model predictions. This kind of uncertainty about the adequacy of a model or model family is not only relevant for econometricians outside the model, but potentially also for agents inside the models. We follow up on Hansen's conjecture by developing models in which agents and economists are on a more equal footing, in the sense that agents within the model confront the same doubts and ambiguity about their environment that confront outside econometricians. First, the monetary policy maker (i.e., Federal Reserve) is assumed to entertain multiple candidate models. Second, Fed recursively selects among these models based on real-time specication testing. If the agent's current model fails the test, he experiments by selecting a new model. If agents suer from the same fears of model misspecication that aict outside econometricians, then models will be subject to scrutiny, and misspecication will be detected with positive probability. This may lead agents to try dierent models. We call the resulting dynamics the validation dynamics. The validation dynamics capture and explain key features of US in ation dynamics past 50 years. Allowing the Central Bank to consider multiple models makes a big dierence to the predicted in ation dynamics. Rather than repeatedly succumbing to the temptation to exploit an apparent Phillips Curve trade-o, a Central Banker that tests his model eventually learns not to exploit the Phillips Curve, despite the fact that the short term Phillips curve is alive and well. 1

JSTテニュアトラック普及・定着事業　研究成果発表会/ JST Tenure-Track Program Special Workshop [website]

2014年5月27日 （火　Tuesday）14:00-18:20

※ミクロ実証分析ワークショップ、ミクロワークショップ　と共催

東京大学大学院経済学研究科 学術交流棟 （小島ホール）１階 第１セミナー室
in Seminar Room 1on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

14:00-15:00 Michal Fabinger (University of Tokyo)
　　　　　　　　　Applications of analytically tractable models to trade liberalization with heterogeneous firms

15:00-16:00 Drew Griffen (University of Tokyo)
　　　　　　　　　Fertility and Maternal Labor Supply in Japan: Conflicting policy goals? [paper]

16:00-16:20 break

16:20-17:20 Juan Pantano (Washington University in St. Louis)

17:20-18:20 Gil Shapira (The World Bank) *Schedule Changed