Анатомия поведенческих циклов: стресс-тестирование модели переключения эвристик

Экономический журнал Высшей школы экономики. 2026. Т. 30. № 1. С. 128–153.

Финагин М. И.

This paper conducts comprehensive stress-testing of the sensitivity of a heuristic switching model. This model explains the phenomenon of fat tails in the distribution of macroeconomic data, which classic New Keynesian models fail to replicate. The solution lies in relaxing the assumption of full rationality. In the model, agents rely on a selection of simple heuristic rules [De Grauwe, 2012]. This mechanism generates waves of optimism and pessimism among agents, leading to more prolonged deviations from equilibrium. We demonstrate how the behavior of this mechanism depends on parameter values and shocks, particularly due to the model's non-linearity. Finally, we show that under the most realistic theoretical parametrization, the economy's return to equilibrium becomes significantly more challenging. Moreover, the economy can remain in a state close to equilibrium while agents' expectations are unanchored, causing the reaction to subsequent shocks to be significantly stronger. The obtained results deepen the understanding of the heuristic switching model and address a gap in the comprehension of the pessimism/optimism cycle mechanism, which had previously been considered only in general terms.

Keywords: ограниченная рациональность, тяжелые хвосты, макроэкономический цикл, Bounded rationality, fat tails, Economic cycle