Marshall Lecture 2023: Behavioral Macroeconomics via Sparse Dynamic Programming
提出一种用稀疏动态规划建模有限理性决策的方法，应用于生命周期模型、消费储蓄、投资组合和增长模型，发现有限注意导致储蓄不足、政策失效和波动放大。
Abstract This paper proposes a tractable way to model boundedly rational dynamic programming. The agent uses an endogenously simplified, or “sparse,” model of the world and the consequences of his actions and acts according to a behavioral Bellman equation. The framework yields a behavioral version of some of the canonical models in macroeconomics and finance. In the life-cycle model, the agent initially does not pay much attention to retirement and undersaves; late in life, he progressively saves more, generating realistic dynamics. In the consumption-savings model, the consumer decides to pay little or no attention to the interest rate and more attention to his income. Ricardian equivalence and the Lucas critique partially fail because the consumer may not pay full attention to taxes and policy changes. In a Merton-style dynamic portfolio choice problem, the agent endogenously pays limited or no attention to the varying equity premium and hedging demand terms. Finally, in the neoclassical growth model, agents act on a simplified model of the macroeconomy; in equilibrium, fluctuations are larger and more persistent.