Analysis of the external shocks impact on the behavior of agents with limited expectations: The case of Russian economy

Leonid Serkov () and Sergey Krasnykh ()
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Leonid Serkov: Perm National Research Polytechnic University, Perm, Russian Federation
Sergey Krasnykh: Perm National Research Polytechnic University, Perm, Russian Federation

Applied Econometrics, 2022, vol. 67, 97-120

Abstract: The paper evaluates and compares behavioral neo-Keynesian models obtained with two alternative ways of introducing irrational expectations. It is assumed that, in accordance with their heuristics, agents can be either short-sighted with a short-term forecast, or far-sighted forecasters. Bayesian estimates, as well as a comparison of the second moments for the empirical data of the Russian economy and the variables of the studied models, showed that the behavioral model based on short-term forecasts is better in agreement with the empirical data than the model based on long-term forecasts and even compared to the model with rational expectations of agents. Using the Smirnov–Kolmogorov statistics, the parameters responsible for the behavior of the impulse response functions of the studied variables to external shocks, and, therefore, in a more general case, for the behavior of agents, are determined. All the above results confirmed by a posteriori estimate for these parameters.

Keywords: heterogeneous expectations; short-term and long-term predictors; Bayes method; Monte Carlo filtering display; Smirnov–Kolmogorov statistics. (search for similar items in EconPapers)
JEL-codes: D58 (search for similar items in EconPapers)
Date: 2022
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