نوع مقاله : مقاله پژوهشی
نویسندگان
1 گروه اقتصاد، دانشکده علوم اجتماعی و اقتصاد، دانشگاه الزهرا، تهران، ایران
2 گروه اقتصاد بازرگانی، دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
In this article, we have evaluated the capability of several New Keynesian models with behavioral characteristics in forecasting the effects of a monetary policy shock. We have considered the assumption of bounded rationality, taking into account agents' learning and finite horizon planning.
The estimation of the models was conducted using the Bayesian approach within the framework of the dynamic stochastic general equilibrium. We used seasonal data from the Iranian economy covering the period 1988:2-2023:1. Our results indicate several important findings. Firstly, we found that the estimated parameter related to the length of agents' planning horizon was less than one. This suggests that a significant fraction of agents in the Iranian economy have a short-term planning horizon. Consequently, the New Keynesian model, which incorporates finite horizon planning, is more compatible with the data.
Secondly, we estimated the parameter related to the update in finite horizon models, and our results imply that agents update their value functions slowly.
Lastly, we found that in response to a monetary shock, finite horizon models exhibit less fluctuations and are more persistent compared to the Canonical New Keynesian model. This is due to the slow learning of agents from past experiences. As a result, the central bank reacts more aggressively to trend inflation but reacts more strongly to cyclical output fluctuations. Overall, our findings suggest that incorporating bounded rationality and finite horizon planning in New Keynesian models improves their ability to forecast the effects of monetary policy shocks in the Iranian economy.
کلیدواژهها [English]
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