Dynamic stochastic general equilibrium models: real business cycles models: closed and open economy
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| Hauptverfasser: | , , |
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| Format: | Buch |
| Sprache: | English |
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Cham
Springer
[2024]
|
| Ausgabe: | 1st ed. 2024 |
| Schriftenreihe: | Springer texts in business and economics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxiv, 453 Seiten Diagramme |
| ISBN: | 9783031581045 |
| ISSN: | 2192-4341 |
Internformat
MARC
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| 100 | 1 | |a Gil, Hamilton Galindo |e Verfasser |0 (DE-588)1209605759 |4 aut | |
| 245 | 1 | 0 | |a Dynamic stochastic general equilibrium models |b real business cycles models: closed and open economy |c Hamilton Galindo Gil, Alexis Montecinos Bravo, Marco Antonio Ortiz Sosa |
| 264 | 1 | |a Cham |b Springer |c [2024] | |
| 300 | |a xxiv, 453 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Springer texts in business and economics |x 2192-4341 | |
| 650 | 4 | |a Macroeconomics and Monetary Economics | |
| 650 | 4 | |a Quantitative Economics | |
| 650 | 4 | |a Financial Economics | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Macroeconomics | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Finance | |
| 700 | 1 | |a Montecinos Bravo, Alexis |e Verfasser |0 (DE-588)1345859171 |4 aut | |
| 700 | 1 | |a Ortiz, Marco |e Verfasser |0 (DE-588)1273766709 |4 aut | |
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Datensatz im Suchindex
| _version_ | 1818315226515243008 |
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| adam_text |
Contents 1 An Overview of RBC Models . 1.1 1.2 1.3 1.4 1.5 2 Introduction. Business Cycles. 1.2.1 Definition. 1.2.2 Stylized Facts . 1.2.2.1 Characterization of the Stylized Facts. 1.2.2.2 Stylized Facts inthe United States. Historical Perspective of the RBC Theory . 1.3.1 Overview of Schools of Economic Thought. 1.3.2 The Historical Development of the RBC School. 1.3.2.1 Research on the State of the Art of RBC Models . 1.3.2.2 Research Related to the Labor Market. 1.3.2.3 Investigations Related to Fiscal Policy. 1.3.2.4 Research Associated with Money. 1.3.2.5 Research Associated with Investment Shock. Theoretical Foundations of RBC Models. 1.4.1 Main Assumptions. 1.4.2 Steps to Develop an RBC Model. Codes. Dynare Foundations: Solving and Simulating DSGE Models. 2.1 2.2 2.3
Introduction. What Is Dynare?. Structure of .mod File. . 2.3.1 The Preamble. 2.3.2 The Model. 2.3.3 Initials Values. 2.3.4 Stationary State . . 2.3.5 Dynare and ВТХ. 2.3.6 Definition of Shocks. 2.3.7 Model Evaluation:Blanchard and Kahn Conditions. 1 1 2 2 3 3 4 23 23 26 31 39 41 48 53 54 54 56 58 59 59 60 61 61 64 65 66 67 68 69 xi
xii Contents 2.3.8 Computation of the Stochastic Solution. 2.3.9 Simulation and HP Filter. 2.3.10 Sensitivity Analysis. ;. 2.3.11 Ways to Write the Model in Dynare. Long and Plosser (1983)’s Model: Application in Dynare. 2.4.1 Long and Plosser (1983)’s Model. 2.4.2 Preamble. 2.4.3 Model. 2.4.4 Initial Values. 2.4.5 Steady State. 2.4.6 Definition of Shock. 2.4.7 Model Evaluation. 2.4.8 Solution. 2.4.9 · Impulse-Response Function (IRF). 2.4.10 Sensitivity Analysis. 2.4.11 Simulation of Endogenous Variables. 2.4.12 Calculation of Moments. 2.4.13 HP Filter. Codes. .
Summary. 69 72 73 74 75 75 76 81 83 85 86 86 88 93 95 96 100 100 102 103 RBC Model with Analytical Solution. 3.1 Introduction. 3.2 Model Construction . 3.2.1 Utility Function. 3.2.2 Households. 3.2.3 Firms. 3.2.4 Market Equilibrium and Definition of shock. 3.2.5 Principal Equations. 3.3 Calibration. 3.4 Steady State. 3.5 Linearization vs. Log-Linearization. 3.5.1 Linearization (Variable in Levels). 3.5.2 Linearization (Logarithmic Variables) or Log-Linearization. 3.6 Solution of Linear System. 3.6.1 Analytical Method. 3.6.2 Blanchard and Kahn
Method. 3.7 Time Series Representation. 3.8 Impulse-Response Functions. 3.9 Simulation of Endogenous Variables. 3.10 Cyclic Component of Simulated Variables. 3.11 Calculation of Theoretical Moments. 3.12 Comparison of the Theoretical Model with the Data. 3.13 Codes. :. 105 105 105 106 108 Ill 114 115 115 116 121 122 2.4 2.5 2.6 3 126 135 136 139 156 159 170 171 172 174 175
xiii Contents 4 RBC Model with Constant Labor. 4.1 4.2 4.3 4.4 4.5 4.6 4.7 4.8 4.9 4.10 4.11 4.12 4.13 4.14 5 Introduction. Model Building. 4.2.1 Households. 4.2.2 Firms. 4.2.3 Market Equilibrium and ShockDefinition. 4.2.4 Main Equations. Calibration. Steady State. '. Log-Linearization. 4.5.1 Substitution and Income Effect of the Interest Rate. Solution of Linear System. 4.6.1 Method of Undetermined Coefficients. 4.6.2 Analysis of Elasticities. Representation of Time Series. 4.7.1 Capital Time Series. 4.7.2 Production Time
Series. 4.7.3 Consumption Time Series. 4.7.4 Time Series of Gross Real Interest Rate. 4.7.5 Inversion Time Series. Impulse-Response Functions. Simulation of the Endogenous Variables. Cyclic Component of Simulated Variables. Computation of Theoretical Moments. Comparison of the Theoretical Model with the Empirical Data. Summary. Codes. 177 177 178 178 182 182 183 184 184 187 192 200 200 203 207 208 208 209 209 210 210 218 220 221 224 225 226 RBC Model with Variable Labor Supply. 229 5.1 5.2 5.3 Introduction. Model Elements. . . 5.2.1 Model Construction. 5.2.1.1 Households. 5.2.1.2 Firms. 5.2.1.3 Market Equilibrium and Definition of Shock. 5.2.1.4 System of Principal
Equations. 5.2.2 Calibration. 5.2.3 Stationary State. 5.2.4 Log-Linearization. 5.2.5 Solution of the Linear System. 5.2.5.1 Method of Undetermined Coefficients. 5.2.5.2 Solution Obtained from Dynare. Model Solution Analysis. 5.3.1 Analysis of the Coefficients of the Solution. 5.3.1.1 Effects of δ. 229 230 230 230 234 235 235 235 236 240 246 246 257 259 259 259
Contents xiv 5.4 5.5 6 264 270 274 275 277 280 281 RBC Model with Shock to Investment and Variable Use of Capital . 287 6.1 Introduction. 287 6.2 6.3 6.4 6.5 7 5.3.1.2 Effects of y„. 5.3.1.3 Effects of φ. 5.3.2 Impulse-Response Functions. 5.3.2.1 How Does the Economy React to a Shock of Productivity?. 275 5.3.3 Comparison of the Theoretical Model with the Data. 5.3.3.1 Does the Shock Need to be Significant for the Model to Replicate the Data?. 275 5.3.3.2 Does the Labor Supply Need to Be Very Elastic for the Model to Replicate the Data? . Summary. Codes. Standard RBC Model and the Investment Shock. 6.2.1 System of Principal Equations. 6.2.2 Model Solution. 6.2.3 Impulse-Response Functions. 6.2.4 Comparison of the Model with the Data. Extended RBC Model: Inclusion of Shock to Investment and Variable Use of Capital. 297 6.3.1 Model Elements.
. 6.3.1.1 Households. 6.3.1.2 Firms. 6.3.1.3 Market Equilibrium and Definition of Shock. 6.3.1.4 System of Principal Equations. 6.3.1.5 Calibration. 6.3.1.6 Stationary State. 6.3.1.7 Model Solution. 6.3.2 Solution Analysis. 6.3.2.1 Impulse-Response Functions. 6.3.2.2 Comparison of the Theoretical Model with the Data. Summary. Codes. Small Open Economy RBC. 7.1 7.2 7.3 Introduction. Empirics. 7.2.1 Construction of the Macroeconomic Series. 7.2.2 Detrending Techniques for Extraction of the Cyclical Component. 328 7.2.2.1 Log-Quadratic
Detrending. Model Elements. 7.3.1 Two-Period Small Open Economy Model. 288 289 290 291 295 297 297 303 304 304 304 306 310 311 311 319 320 321 323 323 324 324 329 334 335
Contents XV Introducing Stqchasticity into the Infinite Horizon Model. . 340 Building the Model. 7.4.1 Households. 7.4.2 Firms. 7.4.3 The External Sector. 7.4.4 Market Equilibrium and Shock Definition. 7.4.5 System of Main Equations. Parametrization. . . Steady State. ·. 7.6.1 Model Solution. Impulse-Response Functions. 7.7.1 Impulse-Response Functions to Total Factor Productivity Shock. 7.7.2 Impulse-Response Functionsto External Interest Rate Shock. 7.7.3 Comparison of the Model with the Data. Summary. Codes. 7.3.2 7.4 7.5 7.6 7.7 7.8 7.9 8 Nontradable Goods in a Small Open Economy
RBC. 8.1 Introduction. 8.2 Empirics. 8.2.1 Construction of the Macroeconomic Series. 8.2.2 Business Cycle Properties. 8.3 Model Elements. . 8.4 Building the Model. 8.4.1 Households. 8.4.2 Firms. 8.4.3 Market Clearing and Shock Definitions. . 8.4.4 Expressing Variables at Import Prices. 8.4.5 External Sector. 8.4.6 Parametrization. 8.4.7 Steady State. 8.4.8 Model Solution. 8.5 Impulse-Response Analysis. 8.5.1 Impulse-Response Functions to Terms of Trade Shock. 8.5.2 Impulse-Response Functions to Productivity ShockAcrossSectors. 396 8.5.3 Comparison of Data and Theoretical Moments. 8.6
Summary. 8.7 Codes. 341 343 346 347 347 348 348 350 353 355 355 362 364 365 366 367 367 368 368 369 372 373 373 380 382 383 387 387 387 392 393 393 397 399 399
xvi Contents A Dynamic Optimization. A.l Introduction. A.2 Fundamentals of Real Analysis. A.2.1 What Mathematical Concepts Do Wé Need?. A.2.2 Concepts (Part I): Spaces. A.2.2.1 Vectorial Space. A.2.2.2 MetricSpace. A.2.2.3 Normed (Vector) Space. . . . . A.2.2.4 Complete Space. A.2.3 Concepts (Part II): Contractions. A.2.3.1 Contraction (Contractive Application). A.2.3.2 Blackwell’s Conditions. A.2.4 Concepts (Part III): Fixed Point. A.2.4.1 What Is a Fixed Point?. A.2.4.2 Contractive Application Theorem. A.3 Dynamic Programming. A.3.1 Outlook. A.3.1.1 What Kind of Problem Do We Want to Solve?. A.3.1.2 Function Valor. A.3.1.3 Bellman Equation.
A.3.1.4 Functional Problem. A.3.1.5 FromSPtoFP. A.3.2 Details. A.3.2.1 Optimality Principle. A.3.2.2 Method to Solve the FP. A.3.2.3 Differential Calculus Method to Solve the PF. A.3.3 Applications. A.3.3.1 Growth with Human Capital . A.3.3.2 Hercowitz and Sampson (1991) Model. References. 401 401 401 401 402 402 404 405 405 406 -406 407 407 407 407 408 408 408 410 410 411 411 412 413 423 430 438 438 444 445 Index. 453 |
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| id | DE-604.BV049882926 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-13T09:02:10Z |
| institution | BVB |
| isbn | 9783031581045 |
| issn | 2192-4341 |
| language | English |
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| physical | xxiv, 453 Seiten Diagramme |
| publishDate | 2024 |
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| spelling | Gil, Hamilton Galindo Verfasser (DE-588)1209605759 aut Dynamic stochastic general equilibrium models real business cycles models: closed and open economy Hamilton Galindo Gil, Alexis Montecinos Bravo, Marco Antonio Ortiz Sosa Cham Springer [2024] xxiv, 453 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Springer texts in business and economics 2192-4341 Macroeconomics and Monetary Economics Quantitative Economics Financial Economics Econometrics Macroeconomics Finance Montecinos Bravo, Alexis Verfasser (DE-588)1345859171 aut Ortiz, Marco Verfasser (DE-588)1273766709 aut Erscheint auch als Online-Ausgabe 978-3-031-58105-2 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=035222253&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gil, Hamilton Galindo Montecinos Bravo, Alexis Ortiz, Marco Dynamic stochastic general equilibrium models real business cycles models: closed and open economy Macroeconomics and Monetary Economics Quantitative Economics Financial Economics Econometrics Macroeconomics Finance |
| title | Dynamic stochastic general equilibrium models real business cycles models: closed and open economy |
| title_auth | Dynamic stochastic general equilibrium models real business cycles models: closed and open economy |
| title_exact_search | Dynamic stochastic general equilibrium models real business cycles models: closed and open economy |
| title_full | Dynamic stochastic general equilibrium models real business cycles models: closed and open economy Hamilton Galindo Gil, Alexis Montecinos Bravo, Marco Antonio Ortiz Sosa |
| title_fullStr | Dynamic stochastic general equilibrium models real business cycles models: closed and open economy Hamilton Galindo Gil, Alexis Montecinos Bravo, Marco Antonio Ortiz Sosa |
| title_full_unstemmed | Dynamic stochastic general equilibrium models real business cycles models: closed and open economy Hamilton Galindo Gil, Alexis Montecinos Bravo, Marco Antonio Ortiz Sosa |
| title_short | Dynamic stochastic general equilibrium models |
| title_sort | dynamic stochastic general equilibrium models real business cycles models closed and open economy |
| title_sub | real business cycles models: closed and open economy |
| topic | Macroeconomics and Monetary Economics Quantitative Economics Financial Economics Econometrics Macroeconomics Finance |
| topic_facet | Macroeconomics and Monetary Economics Quantitative Economics Financial Economics Econometrics Macroeconomics Finance |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=035222253&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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