Exploiting diversity in macroeconomic modeling: a comparative study between Agent-Based and DSGE macroeconomic models
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Data
2019-02-21
Autores
Silva, Thiago Cordeiro da [UNESP]
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Universidade Estadual Paulista (Unesp)
Resumo
A modelagem macroeconômica tem estado sob intenso escrutínio desde a Crise Financeira de 2007-2008, quando graves deficiências foram expostas na metodologia DSGE. Embora muitas dessas críticas tenham sido injustas ou desinformadas, elas enfatizaram a necessidade de considerar formas alternativas de modelagem macroeconômica e aprimorar abordagens estabelecidas, a fim de torná-las mais úteis para a compreensão de um mundo em recessão. Nesse sentido, argumentamos que explorar a diversidade na modelagem macroeconômica pode beneficiar a profissão e produzir resultados importantes em relação à formulação de políticas macroeconômicas. Uma maneira de explorar a diversidade na macroeconomia é investigar sistematicamente tanto os modelos DSGE quanto os modelos baseados em agentes, revelando suas forças e limitações relativas, e combinando essas duas abordagens diferentes, a fim de que possamos aprender uma com a outra e talvez produzir um modelo híbrido. Este trabalho dá o primeiro passo rumo a esse desafio. Acreditamos que uma abordagem interdisciplinar pode ajudar não só toda a agenda da pesquisa macroeconômica, mas também beneficiar a sociedade como um todo, permitindo a implementação de medidas políticas mais eficazes e aumentando a capacidade dos economistas em modelar a heterogeneidade social em um mundo complexo e em constante evolução.
Macroeconomic modelling has been under intense scrutiny since the Financial Crisis of 2007-2008, when serious shortcomings were exposed in the DSGE methodology. Although many of these criticisms were unfair or uninformed, they did highlight the need of considering alternative forms of macroeconomic modelling and enhancing established approaches in order to make them more useful for understanding a world in recession. In this sense, we argue that exploiting diversity in macroeconomic modelling can benefit the profession and yield more fruitful developments regarding the formulation of macroeconomic policy. One way of exploring diversity in macroeconomics is by investigating systematically both the DSGE and the Agent-Based models, revealing their relative strengths and limitations, and combining these two different approaches, so that we can explore what one can learn from the other and perhaps yield a hybrid model. This work takes the first step towards this ultimate achievement. We believe that an interdisciplinary approach may help not only the entire macroeconomic research agenda, but also benefit society as a whole, allowing the implementation of more effective policy measures and by increasing the ability of economists to model social heterogeneity in a complex-evolving world.
Macroeconomic modelling has been under intense scrutiny since the Financial Crisis of 2007-2008, when serious shortcomings were exposed in the DSGE methodology. Although many of these criticisms were unfair or uninformed, they did highlight the need of considering alternative forms of macroeconomic modelling and enhancing established approaches in order to make them more useful for understanding a world in recession. In this sense, we argue that exploiting diversity in macroeconomic modelling can benefit the profession and yield more fruitful developments regarding the formulation of macroeconomic policy. One way of exploring diversity in macroeconomics is by investigating systematically both the DSGE and the Agent-Based models, revealing their relative strengths and limitations, and combining these two different approaches, so that we can explore what one can learn from the other and perhaps yield a hybrid model. This work takes the first step towards this ultimate achievement. We believe that an interdisciplinary approach may help not only the entire macroeconomic research agenda, but also benefit society as a whole, allowing the implementation of more effective policy measures and by increasing the ability of economists to model social heterogeneity in a complex-evolving world.
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Macroeconomic Policy, New Neoclassical Synthesis, New Keynesian Models, DSGE Models, Agent-Based Computational Economics., Agent-Based Models., Política Macroeconômica, Síntese Novo-Neoclássica, Modelos Novos-Keynesianos, Modelos DSGE, Economia Computacional Baseada em Agentes, Modelos Agent-Based