Ma nouvelle tribune dans Libération traite des problèmes de diffusion de l'information dans les réseaux sociaux et de la création de bulles (qui correspondent à des équilibres locaux). J'y propose une solution pour éviter la dépendance à l'historique (path dependence).
Les références principales sont:
Nimark, Kristoffer P. (2014). "Man-Bites-Dog Business Cycles." American Economic Review, 104 (8): 2320-67.
Chevillon, Guillaume, Alain Hecq and Sébastien Laurent (2018) "Generating univariate fractional integration within a large VAR(1)." Journal of Econometrics, 204 (1), 54-65.
One of the main characteristics of the last few years is the increasing availability of statistical information on many aspects of individual decisions and participation to economic and financial life. This has become a boon to statisticians as the basis of data-based inference, estimation of models and forecasting has been, since the advent of statistical tools that more data (more evidence) is better than less data.
Firms that harness the potential of large datasets are more at ease to evaluate the relevance of their policy decisions, the risks they incur and their consequences.
Yet, this is not so simple, an argument showing how increasing data availability does not lead to better statistical decision making can be traced to the work of Benoît Mandelbrot (e.g....
LORENZETTI, Ambrogio -- Allegory of the Good Government (detail) -- 1338-40 -- Siena
As part of the series of lectures my colleagues and I give to our Master students on Contemporary Economic Challenges, I'm talking tomorrow about Monetary Policy.
How do authorities conduct a monetary policy to achieve price stability?
Ensuring economic growth, low unemployment and price stability are the three main objectives
that monetary and fiscal authorities target with the help of macroeconomic theory. Controlling
inflation is nowadays mostly in the hand of independent monetary authorities: their aim is to
allow private agents to engage in economic activities and investments without fear for the
future. This lecture reviews the mechanisms presiding over the determinati...
Our paper with Sophocles Mavroeidis just got published in the Journal of Econometrics, vol 198(1), 1-9. It is our second article on the dynamic properties of economic models where agents form expectations using learning. The first one was published in the Journal of Monetary Economics and we also have a third paper, still as a working paper which we recently submitted.
In the Journal of Econometrics article, we study learning dynamics in a prototypical representative-agent forward-looking model in which agents’ beliefs are updated using linear learning algorithms. We show that learning in this model can generate long memory endogenously, without any persistence in the exogenous shocks, depending on the weights...
The 25th annual symposium of the Society for Nonlinear Dynamics and Econometrics took place in Paris. Fredj Jawadi (University of Evry) and I co-chaired the program committee and organized it. The link to the conference website is here: snde2017.essec.edu