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The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the US economy

机译：在估计的美国经济DSGE模型中，财务摩擦和知识不完善的含义

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In this paper, I study how alternative assumptions about expectation formation can modify the implications of financial frictions for the real economy. I incorporate a financial accelerator mechanism into a version of the Smets and Wouters (2007) DSGE framework and explore the properties of the model assuming, on the one hand, complete rationality of expectations and, alternatively, several learning algorithms that differ in terms of the information set used by agents to produce the forecasts. I show that the implications of the financial accelerator for the business cycle may vary depending on the approach to modeling the expectations. The results suggest that the learning scheme based on small forecasting functions is able to amplify the effects of financial frictions relative to the model with Rational Expectations. Specifically, I show that the dynamics of real variables under learning is driven to a significant extent by the time variation of agents' beliefs about financial sector variables. During periods when agents perceive asset prices as being relatively more persistent, financial shocks lead to more pronounced macroeconomic outcomes. The amplification effect rises as financial frictions become more severe. At the same time, a learning specification in which agents use more information to generate predictions produces very different asset price and investment dynamics. In such a framework, learning cannot significantly alter the real effects of financial frictions implied by the Rational Expectations model. (C) 2016 Elsevier B.V. All rights reserved.
机译：在本文中，我研究了关于期望形成的其他假设如何能够改变金融摩擦对实体经济的影响。我将财务加速器机制纳入Smets and Wouters（2007）DSGE框架的版本中，并探索该模型的特性，一方面，它假设期望值的完全合理性，或者假设有几种学习算法，它们在代理用来生成预测的信息集。我表明，财务加速器对商业周期的影响可能会有所不同，具体取决于建模期望的方法。结果表明，基于小预测功能的学习方案能够相对于具有Rational Expectations的模型来放大财务摩擦的影响。具体而言，我证明了学习中实际变量的动态在很大程度上是由代理人对金融部门变量的信念的时间变化所驱动的。在代理商认为资产价格相对较为持久的时期，金融冲击会导致更为明显的宏观经济结果。随着金融摩擦变得更加严重，放大效应会增加。同时，在学习规范中，代理商使用更多信息来生成预测会产生截然不同的资产价格和投资动态。在这样的框架中，学习不能显着改变理性预期模型所隐含的财务摩擦的实际影响。 （C）2016 Elsevier B.V.保留所有权利。

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