Code for: Self-fulfilling fluctuations in HANK economies

We show that in Heterogeneous-Agent New-Keynesian (HANK) economies with countercyclical risk the natural interest rate is endogenous and co-moves with output, leaving the economy susceptible to self-fulfilling fluctuations. Unlike in Representative-Agent New-Keynesian models, the Taylor principle is not sufficient to guarantee uniqueness of equilibrium in HANK if risk is even mildly countercyclical: multiple bounded-equilibria exist, no matter how strongly monetary policy responds to changes in inflation. For an active-monetary policy to eliminate self-fulfilling fluctuations, it must stabilize the endogenous natural rate fluctuations. Alternatively, a passive-monetary and active-fiscal regime can also eliminate equilibrium multiplicity.<br>

本研究发现，在存在反周期风险的异质性代理人新凯恩斯（Heterogeneous-Agent New-Keynesian，HANK）经济体系中，自然利率具有内生性，且与产出同向变动，致使经济易受自我实现型波动的影响。与代表性代理人新凯恩斯模型不同，当风险仅呈现温和的反周期特征时，泰勒原则不足以保障HANK模型中均衡的唯一性：无论货币政策对通胀变动的响应强度如何，均存在多重有界均衡。若要通过积极型货币政策消除自我实现型波动，该政策需稳定内生自然利率的波动。或者，采用被动货币政策与积极财政政策的组合体制，同样可以消除均衡多重性问题。