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Stochastic dynamic general equilibrium : ウィキペディア英語版
Dynamic stochastic general equilibrium
Dynamic stochastic general equilibrium modeling (abbreviated DSGE or sometimes SDGE or DGE) is a branch of applied general equilibrium theory that is influential in contemporary macroeconomics. The DSGE methodology attempts to explain aggregate economic phenomena, such as economic growth, business cycles, and the effects of monetary and fiscal policy, on the basis of macroeconomic models derived from microeconomic principles.
While traditional macroeconometric forecasting models are vulnerable to the Lucas critique—that claim that the effects of an economic policy cannot be predicted using historical data from a period when that policy was not in place—microfounded models should not be, at least in theory. Further, since the microfoundations are based on the preferences of the decision-makers in the model, DSGE models feature a natural benchmark for evaluating the welfare effects of policy changes (for discussion of both points, see Woodford, 2003, pp. 11–12 and Tovar, 2008, pp. 15–16).
==Structure of DSGE models==
Like other general equilibrium models in economics, DSGE models aim to describe the behavior of the economy as a whole by analyzing the interaction of many microeconomic decisions. The decisions considered in most DSGE models correspond to some of the main quantities studied in macroeconomics, such as consumption, saving, investment, and labor supply and labor demand. The decision-makers in the model, often called 'agents', may include households, business firms, and possibly others, such as governments or central banks.
Furthermore, as their name indicates, DSGE models are dynamic, studying how the economy evolves over time. They are also stochastic, taking into account the fact that the economy is affected by random shocks such as technological change, fluctuations in the price of oil, or changes in macroeconomic policy-making. This contrasts with the static models studied in Walrasian general equilibrium theory, applied general equilibrium models and some computable general equilibrium models.
For a coherent description of the macroeconomy, DSGE models must spell out the following economic 'ingredients'.
* Preferences: the objectives of the agents in the economy must be specified. For example, households might be assumed to maximize a utility function over consumption and labor effort. Firms might be assumed to maximize profits.
* Technology: the productive capacity of the agents in the economy must be specified. For example, firms might be assumed to have a production function, specifying the amount of goods produced, depending on the amount of labor, capital and other inputs they employ. Technological constraints on agents' decisions might also include costs of adjusting their capital stocks, their employment relations, or the prices of their products.
* Institutional framework: the institutional constraints governing economic interactions must be specified. In many DSGE models, this might just mean that agents must obey some exogenously imposed budget constraints, and that prices are assumed to adjust until markets clear. It might also mean specifying the rules of monetary and fiscal policy, or even how policy rules and budget constraints change depending on a political process.
Traditional macroeconometric forecasting models used by central banks in the 1970s, and even today, estimated the dynamic correlations between prices and quantities in different sectors of the economy, and often included thousands of variables. Since DSGE models start from microeconomic principles of constrained decision-making, instead of just taking as given observed correlations, they are technically more difficult to solve and analyze. Therefore, they usually abstract from so many sectoral details, and include far fewer variables: just a few variables in theoretical DSGE papers, or on the order of a hundred variables in the experimental DSGE forecasting models now being constructed by central banks. What DSGE models give up in sectoral detail, they attempt to make up in logical consistency.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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