Improving macroeconomic model credibility: Reducing reliance on
frictions through observed inflation expectations

J 2025

Improving macroeconomic model credibility: Reducing reliance on frictions through observed inflation expectations

MOUČKA, Jakub a Daniel NĚMEC

Základní údaje

Originální název

Improving macroeconomic model credibility: Reducing reliance on frictions through observed inflation expectations

Autoři

MOUČKA, Jakub a Daniel NĚMEC

Vydání

Economic Modelling, Amsterdam, ELSEVIER, 2025, 0264-9993

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50202 Applied Economics, Econometrics

Stát vydavatele

Nizozemské království

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 4.700 v roce 2024

Označené pro přenos do RIV

Ano

Organizační jednotka

Ekonomicko-správní fakulta

DOI

https://doi.org/10.1016/j.econmod.2025.107300

UT WoS

001585441100001

EID Scopus

2-s2.0-105016872716

Klíčová slova anglicky

Rational expectation; Dynamic stochastic general equilibrium; DSGE; Inflation expectation; Survey data; Bayesian analysis

Štítky

rivok

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 17. 2. 2026 17:14, Mgr. Alžběta Karolyiová

Anotace

V originále

This paper reassesses the credibility of rational expectations in dynamic stochastic general equilibrium (DSGE) models by examining their limitations in capturing real-world macroeconomic dynamics. Using the Smets and Wouters model as a baseline, we incorporate various survey-based measures of inflation expectations to evaluate their effects on model fit and forecasting accuracy. The framework is extended to include financial frictions, unemployment, time-varying inflation targets, and news shocks. Results show that incorporating observed inflation expectations improves model fit, reduces posterior uncertainty around shocks, and lowers reliance on ad hoc rigidities such as indexation and investment adjustment costs, particularly in case of U.S. data. However, these expectations do not consistently improve the model’s ability to replicate key macroeconomic moments. The magnitude and direction of improvements vary across model variants and between the U.S. and the Euro area. Robustness checks suggest that observed expectations help mitigate the effects of structural breaks. Overall, the findings enhance model predictions and challenge the sufficiency of relying solely on rational expectations in DSGE models.

Návaznosti

MUNI/A/1441/2023, interní kód MU

Název: Rationality and heterogeneity in expectations in DSGE models

Investor: Masarykova univerzita, Rationality and heterogeneity in expectations in DSGE models

Přiložené soubory

EM_final_accepted.pdf

Požádat o autorskou verzi souboru

Improving_macroeconomic_model_credibility_moucka_nemec_final.pdf

Požádat o autorskou verzi souboru

Citovat

MOUČKA, Jakub a Daniel NĚMEC. Improving macroeconomic model credibility: Reducing reliance on frictions through observed inflation expectations. Economic Modelling. Amsterdam: ELSEVIER, 2025, roč. 153, December, s. 1-48. ISSN 0264-9993. Dostupné z: https://doi.org/10.1016/j.econmod.2025.107300.

@article{2520902,
   author = {Moučka, Jakub and Němec, Daniel},
   article_location = {Amsterdam},
   article_number = {December},
   doi = {https://doi.org/10.1016/j.econmod.2025.107300},
   keywords = {Rational expectation; Dynamic stochastic general equilibrium; DSGE; Inflation expectation; Survey data; Bayesian analysis},
   language = {eng},
   issn = {0264-9993},
   journal = {Economic Modelling},
   title = {Improving macroeconomic model credibility: Reducing reliance on frictions through observed inflation expectations},
   url = {https://www.sciencedirect.com/science/article/pii/S0264999325002950},
   volume = {153},
   year = {2025}
}

TY  - JOUR
ID  - 2520902
AU  - Moučka, Jakub - Němec, Daniel
PY  - 2025
TI  - Improving macroeconomic model credibility: Reducing reliance on frictions through observed inflation expectations
JF  - Economic Modelling
VL  - 153
IS  - December
SP  - 1-48
EP  - 1-48
PB  - ELSEVIER
SN  - 02649993
KW  - Rational expectation
KW  - Dynamic stochastic general equilibrium
KW  - DSGE
KW  - Inflation expectation
KW  - Survey data
KW  - Bayesian analysis
UR  - https://www.sciencedirect.com/science/article/pii/S0264999325002950
N2  - This paper reassesses the credibility of rational expectations in dynamic stochastic general equilibrium (DSGE) models by examining their limitations in capturing real-world macroeconomic dynamics. Using the Smets and Wouters model as a baseline, we incorporate various survey-based measures of inflation expectations to evaluate their effects on model fit and forecasting accuracy. The framework is extended to include financial frictions, unemployment, time-varying inflation targets, and news shocks. Results show that incorporating observed inflation expectations improves model fit, reduces posterior uncertainty around shocks, and lowers reliance on ad hoc rigidities such as indexation and investment adjustment costs, particularly in case of U.S. data. However, these expectations do not consistently improve the model’s ability to replicate key macroeconomic moments. The magnitude and direction of improvements vary across model variants and between the U.S. and the Euro area. Robustness checks suggest that observed expectations help mitigate the effects of structural breaks. Overall, the findings enhance model predictions and challenge the sufficiency of relying solely on rational expectations in DSGE models.
ER  -

MOUČKA, Jakub a Daniel NĚMEC. Improving macroeconomic model credibility: Reducing reliance on frictions through observed inflation expectations. \textit{Economic Modelling}. Amsterdam: ELSEVIER, 2025, roč.~153, December, s.~1-48. ISSN~0264-9993. Dostupné z: https://doi.org/10.1016/j.econmod.2025.107300.

Přehled o publikaci