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http://www.nobelprize.org/nobel_prizes/economics/laureates/2011/press.html
10 October 2011
The Royal Swedish Academy of Sciences has decided to award The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for 2011 to
Thomas J. Sargent
New York University, New York, NY, USA
and
Christopher A. Sims
Princeton University, Princeton, NJ, USA
"for their empirical research on cause and effect in the macroeconomy"
Cause and effect in the macroeconomy
How are GDP and inflation affected by a temporary increase in the interest rate or a tax cut? What happens if a central bank makes a permanent change in its inflation target or a government modifies its objective for budgetary balance? This year's Laureates in economic sciences have developed methods for answering these and many of other questions regarding the causal relationship between economic policy and different macroeconomic variables such as GDP, inflation, employment and investments.
These occurrences are usually two-way relationships – policy affects the economy, but the economy also affects policy. Expectations regarding the future are primary aspects of this interplay. The expectations of the private sector regarding future economic activity and policy influence decisions about wages, saving and investments. Concurrently, economic-policy decisions are influenced by expectations about developments in the private sector. The Laureates' methods can be applied to identify these causal relationships and explain the role of expectations. This makes it possible to ascertain the effects of unexpected policy measures as well as systematic policy shifts.
Thomas Sargent has shown how structural macroeconometrics can be used to analyze permanent changes in economic policy. This method can be applied to study macroeconomic relationships when households and firms adjust their expectations concurrently with economic developments. Sargent has examined, for instance, the post-World War II era, when many countries initially tended to implement a high-inflation policy, but eventually introduced systematic changes in economic policy and reverted to a lower inflation rate.
Christopher Sims has developed a method based on so-called vector autoregression to analyze how the economy is affected by temporary changes in economic policy and other factors. Sims and other researchers have applied this method to examine, for instance, the effects of an increase in the interest rate set by a central bank. It usually takes one or two years for the inflation rate to decrease, whereas economic growth declines gradually already in the short run and does not revert to its normal development until after a couple of years.
Although Sargent and Sims carried out their research independently, their contributions are complementary in several ways. The laureates' seminal work during the 1970s and 1980s has been adopted by both researchers and policymakers throughout the world. Today, the methods developed by Sargent and Sims are essential tools in macroeconomic analysis.
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英文简历： 请戳 Christopher A. Sims and Thomas J. Sargent
中文介绍：https://bbs.pinggu.org/thread-1203152-1-1.html
最新论文：
Sargent：
The Return of the Gibson Paradoxwith Timothy Cogley and Paolo Surico
July 2011
Prior to World War I, nominal interest rates were approximately uncorrelated with inflation, a fact known as Gibson's paradox. This correlation increased after World War II, however, and the paradox vanished during the Great Inflation. By estimating vector autoregressions with drifting parameters and stochastic volatility, we show that the statistical association between inflation and nominal interest rates decreased in the U.S. in the late 1980s and that Gibson's paradox reappeared after 1995. We estimate a new Keynesian DSGE model for two subsamples -- the Great Inflation and the period after 1995 -- to identify structural changes that contributed to its reappearance. Counterfactual experiments point to two (related) features: a more anti-inflationary monetary-policy rule and a decline in the extent of price indexation to past inflation. Changes in these features account for the return of the Gibson paradox.
Career Length: Effects of Curvature of Earnings Profiles, Earnings Shocks, Taxes, and Social Securitywith Lars Ljungqvist
August 2011
The same high labor supply elasticity that characterizes a representative family model with indivisible labor and employment lotteries can also emerge without lotteries when self-insuring individuals choose career lengths. Off corners, the more elastic the earnings profile is to accumulated working time, the longer is a worker's career. Negative (positive) unanticipated earnings shocks reduce (increase) the career length of a worker holding positive assets at the time of the shock, while the effects are the opposite for a worker with negative assets. By inducing a worker to retire at an official retirement age, government provided social security can attenuate responses of career lengths to earnings profile slopes, earnings shocks, and taxes.
A Labor Supply Elasticity Accord?with Lars Ljungqvist
January 2011
Until recently, an insurmountable gulf separated a high labor supply elasticity macro camp from a low labor supply elasticity micro camp was fortified by a contentious aggregation theory formerly embraced by real business cycle theorists. The repudiation of that aggregation theory in favor of one more genial to microeconomic observations opens possibilities for an accord about the aggregate labor supply elasticity. The new aggregation theory drops features to which empirical microeconomists objected and replaces them with life-cycle choices that microeconomists have long emphasized. Whether the new aggregation theory ultimately indicates a small or large macro labor supply elasticity will depend on how shocks and government institutions interact to determine whether workers choose to be at interior solutions for career length.
History dependent public policieswith David Evans
January 2011
A planner is compelled to raise a prescribed present value of revenues by levying a distorting tax on the output of a representative firm that faces adjustment costs and resides within a rational expectations equilibrium. We describe recursive representations both for a Ramsey plan and for a set of credible plans. Continuations of Ramsey plans are not Ramsey plans. Continuations of credible plans are credible plans. As they are often constructed, continuations of optimal inflation target paths are not optimal inflation target paths.
Where to draw lines: stability versus efficiency
September 2010
What kinds of assets should financial intermediaries be permitted to hold and what kinds of liabilities should they be allowed to issue? This paper reviews how tensions involving stability versus efficiency and regulation versus laissez faire have for centuries run through macroeconomic analysis of these questions. The paper also discusses how two leading models raise questions of whether deposit insurance is a good or bad arrangement. This paper is the text of the Phillips Lecture, given at the London School of Economics on February 12, 2010.
Robustness and ambiguity in continuous timewith Lars Peter Hansen
January 2011
We formulate two continuous-time hidden Markov models in which a decision maker distrusts both his model of state dynamics and a prior distribution of unobserved states. We use relative entropy's role in statistical model discrimination % using historical data, we use measures of statistical model detection to modify Bellman equations in light of model ambiguity and to calibrate parameters that measure ambiguity. We construct two continuous time models that are counterparts of two discrete-time recursive models of \cite{hansensargent07}. In one, hidden states appear in continuation value functions, while in the other, they do not. The formulation in which continuation values do not depend on hidden states shares features of the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji. For this model, we use our statistical detection calculations to guide how to adjust contributions to entropy coming from hidden states as we take a continuous time limit.
Practicing Dynarewith A. Bhandari, F. Barillas, R. Colacito, S. Kitao, C. Matthes, and Y. Shin
December 2010
This is a revised version that includes a new section solving examples from the revised chapter `Fiscal Policies in a Growth Model' from the soon to be published third edition of Recursive Macroeconomic Theory by Ljungqvist and Sargent. This paper teaches Dynare by applying it to approximate equilibria and estimate nine dynamic economic models. Among the models estimated are a 1977 rational expectations model of hyperinflation by Sargent, Hansen, Sargent, and Tallarini’s risk-sensitive permanent income model, and one and two-country stochastic growth models. The examples.zip file contains dynare *.mod and data files that implement the examples in the paper. Source Code
Interest rate risk and other determinants of post WWII U.S. government debt/GDP dynamicswith George Hall
February 2010
This paper uses the sequence of government budget constraints to motivate estimates of interest payments on the U.S. Federal government debt. We explain why our estimates differ conceptually and quantitatively from those reported by the U.S. government. We use our estimates to account for contributions to the evolution of the debt to GDP ratio made by inflation, growth, and nominal returns paid on debts of different maturities.
Two Illustrations of the Quantity Theory of Money:
Breakdowns and Revivalswith Paolo Surico
March 2010
By extending his data, we document the instability of two low-frequency regression coefficients that Lucas (1980) used to express two empirical propositions representing the quantity theory of money. Bayesian estimation of a DSGE model over a subsample approximating Lucas's yields parameters that imply population values of the two regression coefficients that confirm Lucas's results. Perturbing parameters of a monetary policy rule away from values estimated over Lucas's subsample alters the population values of the two regression coefficients in ways that reproduce the pattern of instability observed over our longer sample.
A defence of the FOMCwith Martin Ellison
July 2010
In this much revised version, we defend the forecasting performance of the FOMC from the recent criticism of Christina and David Romer. Our argument is that the FOMC forecasts a worst-case scenario that it uses to design decisions that will work well enough (are robust) despite possible misspecification of its model. Because these FOMC forecasts are not predictions of what the FOMC expects to occur under its model, it is inappropriate to compare their performance in a horse race against other forecasts. Our interpretation of the FOMC as a robust policymaker can explain all the findings of the Romers and rationalises differences between FOMC forecasts and forecasts published in the Greenbook by the staff of the Federal Reserve System.
Wanting robustness in macroeconomicswith Lars Peter Hansen
May 2010
This is a survey paper about exponential twisting as a model of model distrust. We feature examples from macroeconomics and finance.
Managing expectations and fiscal policyby Anastasios G. Karantounias (with Lars Peter Hansen and Thomas J. Sargent)
October 2009
This paper studies an optimal fiscal policy problem of Lucas and Stokey (1983) but in a situation in which the representative agent's distrust of the probability model for government expenditures puts model uncertainty premia into history-contingent prices. This gives rise to a motive for expectation management that is absent within rational expectations and a novel incentive for the planner to smooth the shadow value of the agent's subjective beliefs in order to manipulate the equilibrium price of government debt. Unlike the Lucas and Stokey (1983) model, the optimal allocation, tax rate, and debt all become history dependent despite complete markets and Markov government expenditures.
Inflation-Gap Persistence in the U.S.with Timothy Cogley and Giorgio E. Primiceri
December 2007
We use Bayesian Markov Chain Monte Carlo methods to estimate two models of post WWII U.S. inflation rates with drifting stochastic volatility and drifting coefficients. One model is univariate, the other a multivariate autoregression. We define the inflation gap as the deviation of inflation from a pure random walk component of inflation and use both of our models to study changes over time in the persistence of the inflation gap measured in terms of short- to medium-term predicability. We present evidence that our measure of the persistence of the inflation gap increased until Volcker brought mean inflation down in the early 1980s and that it then fell during the chairmanships of Volcker and Greenspan. Stronger evidence for movements in inflation gap persistence emerges from the VAR than from the univariate model. We interpret these changes in terms of a simple dynamic new Keynesian model that allows us to distinguish altered monetary policy rules and altered private sector parameters.
Diverse Beliefs, Survival, and the Market Price of Riskwith Timothy Cogley
July 2008
We study prices and allocations in a complete-markets, pure endowment economy in which agents have heterogenous beliefs. Aggregate consumption growth evolves exogenously according to a two-state Markov process. The economy is populated by two types of agents, one that learns about transition probabilities and another that knows them. We examine how the presence of the better-informed agent influences allocations, the market price of risk, and the rate at which asset prices converge to values that would be computed under the typical assumption that all agents know the transition probabilities.
Monetary Policies and Low-Frequency Manifestations of the Quantity Theorywith Paolo Surico
December 2008
As a device to detect manifestations of the quantity theory of money, we follow Lucas (1980) by looking at scatter plots of filtered time series of inflation and money growth rates and interest rates and money growth rates. In the spirit of Whiteman (1984), we relate those scatter plots to sums of two-sided distributed lag coefficients estimated from fixed-coefficient and time-varying VARs for U.S. data from 1900-2005. Then we interpret outcomes in terms of the population values of those sums of coefficients implied by two DSGE models. The DSGE models make the sums of weights depend on the monetary policy rule, yet another example of the cross-equation restrictions that Lucas (1972) and Sargent (1971) emphasized in the context of testing the natural unemployment rate hypothesis. When the U.S. data are extended beyond Lucas's 1955-1975, the patterns revealed by Lucas's scatter plots mutate in ways that we want to attribute to alterations in prevailing monetary policy rules.
Curvature of Earnings Profile and Career Lengthwith Lars Ljungqvist
January 2009
A finitely lived worker confronts a labor supply indivisibility, chooses when to work, and smooths consumption by trading an interest bearing security. The worker faces an exogenously given increasing schedule that maps accumulated time on the job into an earnings level. With a specification of the worker's preferences that macroeconomists commonly use to assure balanced growth paths, the more elastic are earnings to accumulated working time, the longer is a worker's career.
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