Detail publikace

Estimation of heuristic switching in behavioral macroeconomic models

Autor: PhDr. Jiří Kukačka Ph.D., Stephen Sacht (Kiel University)
Typ: Články v impaktovaných časopisech
Rok: 2023
Číslo: 0
ISSN / ISBN:
Publikováno v: Journal of Economic Dynamics Control, 146, 104585, DOI
Místo vydání:
Klíčová slova: behavioral heuristics, heuristic switching model, intensity of choice, simulated maximum likelihood
JEL kódy: C53, D83, E12, E32
Citace: Kukacka, J., Sacht, S. (2023). Estimation of heuristic switching in behavioral macroeconomic models. Journal of Economic Dynamics and Control, 146, 104585.
Granty: PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
Abstrakt: This paper addresses the issue of empirical validation of macroeconomic models with behavioral heuristics and a nonlinear switching mechanism. Heuristic switching is an important feature of modeling strategy since it uses simple decision rules of boundedly rational heterogeneous agents. The simulation study shows that the proposed simulated maximum likelihood method well identifies behavioral effects that remain hidden under standard econometric approaches. In the empirical application, we estimate the structural and behavioral parameters of the US economy. We are specifically able to reliably identify the intensity of choice that governs the models’ nonlinear dynamics. Our empirical results thus lay the foundation for studying monetary and fiscal policy in a behavioral macroeconomic framework.
Únor 2023
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