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APMPAL-HET SIGNED

Asset Prices and Macro Policy when Agents Learn and are Heterogeneous

Total Cost €

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EC-Contrib. €

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Partnership

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 APMPAL-HET project word cloud

Explore the words cloud of the APMPAL-HET project. It provides you a very rough idea of what is the project "APMPAL-HET" about.

group    reform    crisis    knows    influences    wage    capital    discount    observe    market    prices    models    frameworks    teach    consumers    heterogeneous    reforms    neighbours    tools    behave    human    debt    compatible    signal    exclusion    exit    macro    linearities    internal    expectations    fiscal    beliefs    monetary    introduce    predicting    forecast    search    prediction    taylor    variables    productivity    bond    view    heterogeneity    pricing    government    discourage    taxation    insights    extend    time    constraints    country    based    depends    tax    function    rationality    accumulation    decision    smoothing    dsge    continue    workers    social    network    assets    partial    investors    either    redistribution    series    asset    apmpal    optimal    ir    erc    subjective    extraction    policy    foundations    analyst    worker    redistribute    rationally    survey    emphasis    agents    modifies    wealth    subsidies    wages    ose    inflation    rule    prior    sovereign    stochastic    data   

Project "APMPAL-HET" data sheet

The following table provides information about the project.

Coordinator
FUNDACIÓ MARKETS, ORGANIZATIONS AND VOTES IN ECONOMICS 

Organization address
address: CAMPUS DE BELLATERRA DE LA UNIVERSIDAD AUTONOMA DE BARCELONA SN EDIFICIO B
city: CERDANYOLA DEL VALLÈS
postcode: 8193
website: www.movebarcelona.eu

contact info
title: n.a.
name: n.a.
surname: n.a.
function: n.a.
email: n.a.
telephone: n.a.
fax: n.a.

 Coordinator Country Spain [ES]
 Total cost 1˙524˙144 €
 EC max contribution 1˙524˙144 € (100%)
 Programme 1. H2020-EU.1.1. (EXCELLENT SCIENCE - European Research Council (ERC))
 Code Call ERC-2017-ADG
 Funding Scheme ERC-ADG
 Starting year 2018
 Duration (year-month-day) from 2018-09-01   to  2023-08-31

 Partnership

Take a look of project's partnership.

# participants  country  role  EC contrib. [€] 
1    FUNDACIÓ MARKETS, ORGANIZATIONS AND VOTES IN ECONOMICS ES (CERDANYOLA DEL VALLÈS) coordinator 1˙524˙144.00

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 Project objective

Based on the APMPAL (ERC) project we continue to develop the frameworks of internal rationality (IR) and optimal signal extraction (OSE). Under IR investors/consumers behave rationally given their subjective beliefs about prices, these beliefs are compatible with data. Under OSE the government has partial information, it knows how policy influences observed variables and signal extraction. We develop further the foundations of IR and OSE with an emphasis on heterogeneous agents. We study sovereign bond crisis and heterogeneity of beliefs in asset pricing models under IR, using survey data on expectations. Under IR the assets’ stochastic discount factor depends on the agents’ decision function and beliefs; this modifies some key asset pricing results. We extend OSE to models with state variables, forward-looking constraints and heterogeneity. Under IR agents’ prior beliefs determine the effects of a policy reform. If the government does not observe prior beliefs it has partial information, thus OSE should be used to analyse policy reforms under IR. If IR heterogeneous workers forecast their productivity either from their own wage or their neighbours’ in a network, low current wages discourage search and human capital accumulation, leading to low productivity. This can explain low development of a country or social exclusion of a group. Worker subsidies redistribute wealth and can increase productivity if they “teach” agents to exit a low-wage state. We build DSGE models under IR for prediction and policy analysis. We develop time-series tools for predicting macro and asset market variables, using information available to the analyst, and we introduce non-linearities and survey expectations using insights from models under IR. We study how IR and OSE change the view on macro policy issues such as tax smoothing, debt management, Taylor rule, level of inflation, fiscal/monetary policy coordination, factor taxation or redistribution.

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