Author: Leonid A. Serkov and Dmitry B. Yelizarov

Abstract:

The article considers self-developing New Keynesian model of a small open economy within the framework of the hypothesis of adaptive learning agents (HAL). The model’s parameters are estimated using the Bayesian method on the basis of the empirical data from the Russian economy. Having compared the values of estimated parameters of the model studied in the context of HAL with the values of parameters obtained within the hypothesis of rational expectations of agents (HRE), the authors arrived to the conclusion that the former provides a more realistic assessment. In addition, the authors analyzed the impact of unforeseen shocks on the behaviour of macroeconomic indicators using the mechanism of impulse response functions and demonstrated that the time dependence of these functions characterizes the process of agents’ self-development and gives more information for the analysis of agents’ behaviour compared to those within the HRE.

Keywords: DSGE model; adaptive learning agents; rational expectations; impulse response function

For citation:

Serkov L. A., Yelizarov D. B. Vliyanie nepredvidennykh shokov na povedenie makroekonomicheskikh pokazateley v ramkakh gipotezy ob adaptivnom obuchenii agentov [The Influence of Unforeseen Shocks on Behaviour of Macroeconomic Indicators Within the Hypothesis of Adaptive Learning Agents]. Izvestiya Uralskogo gosudarstvennogo ekonomicheskogo universiteta – Journal of the Ural State University of Economics, 2016, no. 2 (64), pp. 135–150.