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This dissertation investigates several business cycle relationships when economic agents are heterogeneous. The particular focus is on the interactions between the cross-section of agents and the aggregate state of the economy. The first chapter shows that, when occasionally binding capacity constraints limit the production of heterogeneous firms, demand shocks can endogenously generate a number of important business cycle regularities: recessions are deeper than booms are high, firm-level volatility is countercyclical, the aggregate Solow residual is procyclical and the fiscal multiplier is countercyclical. A baseline calibration of a basic New Keynesian DSGE model with capacity constraints shows that this mechanism can explain more than a quarter of the empirically observed asymmetry in output, and matches the cyclicality of firm-level profitability dispersion and of the measured Solow residual. The model implies fluctuations in the fiscal multiplier of around 0.12 between expansions and recessions. Chapter two takes a different approach to firm level uncertainty, exploring how recessions can cause an endogenous rise in firm risk. If heterogeneous firms face real and financial frictions, then a shock to the mean of aggregate productivity endogenously leads to countercyclical profitability risk through firms' heterogeneous responses in price setting. Additionally, the mechanism endogenously generates countercyclical credit spreads and credit spread dispersion. The model explains a large share of the observed fluctuations in profitability dispersion (69%) and in credit spreads (40%) through fluctuations in aggregate TFP holding productivity risk constant. This suggests that the scope for uncertainty shocks to explain recessions may be smaller than previously thought. The third chapter focuses on distributional effects of oil price shocks on the household side. In the model, household behavior replicates two patterns found in household-level data which show that gas consumption increases with income, but on the intensive margin gasoline consumption as a share of the household's budget decreases with income. The model includes gas consumption in household utility on top of a fixed minimum level of gas consumption. Calibrated simulations suggest that a shock to the gas price is almost twice as costly for relatively poor households than for relatively rich households. / text

This dissertation examines the forecast model selection problem in economics in both theoretical and empirical settings. The forecast model selection problem is that there often exists a menu of different suitable models to forecast the same economic variable of interest. The theoretical portion of this dissertation considers agents who face this problem in two distinct scenarios. The first scenario considers the case where agents possess a menu of different forecast techniques which includes rational expectations but where the selection of rational expectations is costly. The assumptions that are necessary to include rational expectations as a choice are characterized and the equilibrium dynamics of a model under the appropriate assumptions is studied and shown to exhibit chaotic dynamics. The second scenario considers agents who possess a menu of econometric forecast models and examines the equilibrium outcomes when agents combine the different forecasts using strategies suggested by the forecasting literature. The equilibrium outcomes under these forecasting assumptions are shown to exhibit time-varying volatility and endogenous structural breaks, which are common features of macroeconomic data. The empirical portion of the dissertation proposes a new dynamic combination strategy for the forecast model selection problem to forecast inflation. The procedure builds on recent research on inflation persistence in the U.S. and on explanations for the efficacy of simple combination strategies, often referred to as the forecast combination puzzle. The new combination strategy is shown to forecast well in real-time out-of-sample forecasting exercises.

Keepaway is a simpler subtask of robot soccer where three `keepers' attempt to keep possession of the ball while a `taker' tries to steal it from them. This is a less complex task than full robot soccer, and lends itself well as a testbed for multi-agent systems. This thesis does a comprehensive evaluation of various learning methods using neuroevolution with Enforced Sub-Populations (ESP) with the robocup soccer simulator. Both single and multi-component ESP are evaluated using various learning methods on homogeneous and heterogeneous teams of agents. In particular, the effectiveness of modularity and task decomposition for evolving keepaway teams is evaluated. It is shown that in the robocup soccer simulator, homogeneous agents controlled by monolithic networks perform the best. More complex learning approaches like layered learning, concurrent layered learning and co-evolution decrease the performance as does making the agents heterogeneous. The results are also compared with previous results in the keepaway domain. / text

This thesis is of the three article format. All three articles contribute to the literature on optimal fiscal policy with exogeneous government expenditures and distortionary taxation following Lucas and Stokey (1983) and Aiyagari et al. (2002) (AMSS). The first article extends the framework of AMSS by modelling agents ex ante heterogeneous in deterministic labour productivity trends in an infinite-horizon production economy with incomplete markets. The government does not use transfers. When the productivities of different agents grow at different rates, there is a conflict over the timing of tax collection. This is explored in a two-period model. The infinite-horizon model with two agents (‘lowskilled’ and ‘high-skilled’) is used to quantitatively analyse the impact of productivity trends observed in recent decades on the optimal policy. The impact is significant. The model can contribute to explaining the increase in government debt in many advanced economies in recent decades. The optimal policy strongly depends on Pareto weights but welfare of the agents does not. Political economics implications are discussed. The second article analyses the impact of heterogeneous productivity trends on the optimal policy when the social planner can use transfers. There is now conflict over the timing and the level of taxation, and it is explored in a two-period model. The optimal policy is studied in the same environment as in the first article. For most Pareto weights, the change in the tax rate is less pronounced than in the model without transfers, but still greater than the expected change due to shocks. The optimal policy and the welfare of the agents strongly depend on Pareto weights. Policy implications are discussed. The optimal policy in the horizon of decades is significantly affected by even a modest heterogeneity in the growth rates of the agents. Solution methods common to all three articles are discussed. In the third article the closed economy model of AMSS is extended into an open economy setting with two countries. The government of each country finances its exogeneous stochastic expenditures by distortionary labour taxation, and issues one-period bonds. The Ramsey planner chooses policy for both countries, and a no-arbitrage condition on the return of bonds of the two countries restricts her choices. The optimal policy is quantitatively studied in a calibrated model with ex-ante identical countries and equal Pareto weights, and three settings are compared in terms of policy and welfare: autarky (closed economy), partial union (international borrowing allowed), and full union (transfers between governments allowed).

in English In my diploma thesis I propose a dynamic stochastic general equilibrium model to describe economic inequality. The model combines two approaches that were traditionally used to model inequality - first, it features two classes of agents that differ in their ownership of capital and second, each class consists of heterogeneous agents who are subject to uninsurable idiosyncratic shocks. This combination allows the two classes to behave in a fundamentally different way while maintaining the individual character of agents in the economy - a feature that has not been modeled before but which adequately describes the empirical reality. I show that the model with classical RBC structure and a single wage underestimates the observed inequality. When the wage differential is introduced through different taxation of the two classes, the model matches empirical inequality much better. Further I argue that the government can significantly reduce inequality at a relatively small cost in terms of output lost. Finally using Theil coefficient decomposition, I show how much of the total inequality is attributable to between-class and within-class inequalities.

This thesis is composed of two essays on endogenous economic growth with human capital accumulation and heterogeneous agents. In both essays, we study the relationship between economic growth and the dynamics of inequality. In the first paper, entitled \"Private versus public education in a two-stage human capital model,\" we study the long-term impacts of different educational regimes on growth and inequality using a two-stage human capital accumulation model. The importance of accounting for educational stages is to recognize the hierarchical nature of education and its dynamic implications in the long-run. At each educational stage, basic or advanced, funding may either be public or private. The second paper, entitled \"The Lucas model under heterogeneous agents,\" studies the pattern of distributional dynamics on an economic growth model with human capital accumulation. We explore the implicit properties of the dynamics of inequality in a simplified form of the Lucas (1988) model, in which agents differ in their initial endowments of human capital. / Esta tese é composta por dois ensaios em crescimento econômico endógeno com acumulação de capital humano e agentes heterogêneos. Nos dois ensaios, estudamos a relação entre o crescimento econômico e a dinâmica da desigualdade. No primeiro ensaio, intitulado \"Private versus public education in a two-stage human capital model \", estudamos os impactos de longo prazo de diferentes regimes educacionais sobre o crescimento e desigualdade, usando um modelo com acumulação de capital humano em dois estágios. A importância de considerar os estágios educacionais está em reconhecer a natureza hierárquica da educação e suas implicações dinâmicas no longo-prazo. Em cada estágio educacional, básico ou avançado, o financiamento da educação pode ser privado ou público. O segundo artigo, intitulado \"The Lucas model under heterogeneous agents\", estuda o padrão das dinâmicas distribucionais em um modelo de crescimento econômico com acumulação de capital humano. Nesse artigo, estudamos as propriedades da dinâmica da desigualdade implícitas em uma versão simplificada do modelo de Lucas (1988). Para isso, consideramos que os agentes diferem em suas dotações iniciais de capital humano.

<p>This dissertation consists of two chapters studying monetary and fiscal policy. In the first chapter, I study the welfare benefits and costs of increased central bank transparency in a dynamic model of costly information acquisition where agents can either choose to gather new costly information or remember information from the past for free. Information is costly to acquire due to an agent's limited attention. Agents face an intratemporal decision on how to allocate attention across public and private signals within the period and an intertemporal decision on how to allocate attention over time. The model embeds a coordination externality into the dynamic framework which motivates agents to be overly attentive to public information and creates the possibility of costly transparency. Interestingly, allowing for intratemporal and intertempral tradeoffs for attention amplifies (attenuates) the benefits (costs) of earlier transparency whereas it attenuates (amplifies) the benefits (costs) of delayed transparency. </p><p>The second chapter, co-authored with Barbara Rossi and Atsushi Inoue, studies the empirical effects of unexpected changes in government spending and tax policy on heterogeneous agents. We use data from the Consumption Expenditure Survey (CEX) to estimate individual-level impulse responses as well as multipliers for government spending and tax policy shocks. The main empirical finding of this paper is that unexpected fiscal shocks have substantially different effects on consumers depending on their age, income levels, and education. In particular, the wealthiest individuals tend to behave according to the predictions of standard RBC models, whereas the poorest individuals tend to behave according to standard IS-LM (non-Ricardian) models, due to credit constraints. Furthermore, government spending policy shocks tend to decrease consumption inequality, whereas tax policy shocks most negatively affect the lives of the poor, more so than the rich, thus increasing consumption inequality.</p> / Dissertation

Taiwanese stock market. The results suggest that there exist two heterogeneous agents in Taiwanese stock market, £\-investors behaving as long-term contrarian and £]-investor behaving as short-term momentum traders. To depict in detail the practical financial market, this research empirically tests HAM with different fundamental values (measured by the moving average price in different rolling windows) across different investment frequencies (daily, weekly and monthly). The result suggests that £\-investors (fundamentalists) expect prices to deviate from the short-term moving average but mean revert to long-term moving average. Beta investors (chartists) act as momentum traders in daily and monthly frequency, but short-term contrarian in weekly frequency. In addition, this study tests whether the parameters in HAM can explain some characteristics of crashes and bubbles. The result suggests that there are different investor behaviors in Asian, Dotcom, and Subprime crashes. By comparing the parameters (£\, £], and £^) of each individual stock, the study finds that stocks with contrarian £\-investors and short-term momentum £]-investors acting as short-term momentum traders have more volatile price pattern. As to crashes and individual stock volatility, the result suggests that sudden crashes (abrupt price decline) tend to occur in the stocks with short-term momentum traders, and while general crash (longterm economic cycle) tend to occur in the stocks with long-term contrarian investors. Stocks with larger Gamma, proxy for uncertainty, tends to have general crash only when £\-investors acting as contrarian and £]-investors acting as momentum traders.

This paper studies the dynamics of an asset pricing model based on simple deterministic agents. Traders are heterogeneous with respect to their time horizon, prediction function and trade interval. Concerning the trade interval we distinguish between intraday traders and end-of-day traders. Intraday traders update their portfolio every period, whereas end-of-day traders adjust their positions only at the closing price of each trading day. The parameter values of the model were partially determined by an adapted Markov chain Monte Carlo sampling method. We analyse the properties of the time series and find that they exhibit low autocorrelation of the returns, volatility clustering and fat tails. Particularly heterogeneous trade intervals seem to be an important factor for generating time series showing "stylized facts". (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"