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Super-Inertial Interest Rate Rules Are Not Solutions of Ramsey Optimal Monetary Policy 超惯性利率规则不是拉姆齐最优货币政策的解
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2018-08-01 DOI: 10.2139/ssrn.3232744
Jean-Bernard Chatelain, K. Ralf
{"title":"Super-Inertial Interest Rate Rules Are Not Solutions of Ramsey Optimal Monetary Policy","authors":"Jean-Bernard Chatelain, K. Ralf","doi":"10.2139/ssrn.3232744","DOIUrl":"https://doi.org/10.2139/ssrn.3232744","url":null,"abstract":"Giannoni and Woodford (2003) found that the equilibrium determined by com- mitment to a super-inertial rule (where the sum of the parameters of lags of interest rate exceed ones and does not depend on the auto-correlation of shocks) corresponds to the unique bounded solution of Ramsey optimal policy for the new-Keynesian model. By contrast, this note demonstrates that commitment to an inertial rule (where the sum of the parameters of lags of interest rate is below one and depends on the auto-correlation of shocks) corresponds to the unique bounded solution.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121007530","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Macro-Finance Surface-Like Waves of Investment and Profits 宏观金融:投资与利润的表面浪潮
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2017-03-22 DOI: 10.2139/ssrn.2971415
Victor Olkhov
{"title":"Macro-Finance Surface-Like Waves of Investment and Profits","authors":"Victor Olkhov","doi":"10.2139/ssrn.2971415","DOIUrl":"https://doi.org/10.2139/ssrn.2971415","url":null,"abstract":"This paper studies quantitative macro-finance model and describes Investment and Profits surface-like risk waves. We regard macro-finance as ensemble of economic agents and use their risk ratings as coordinates on economic space. Aggregations of agent’s financial variables with risk coordinates x on economic space define macro-financial variables as function of x. We describe evolution and interactions between macro-financial variables by hydrodynamic-like equations. Minimum and maximum risk grades define most secure and most risky agents respectively. That determines borders of macro-finance domain on economic space that is filled by economic agents. Perturbations of agent’s risk coordinates near risk borders of macro domain cause disturbances of macro financial variables, for instance - Investment and Profits. Such disturbances can generate financial risk waves that propagate along risk borders. These waves may exponentially amplify perturbations inside of macro domain and impact financial sustainability. We study simple model relations between Investment and Profits and describe linear approximation of steady state distributions of Investment and Profits on macro-finance domain that fulfill “dreams” of Investors: “more risks – more Profits”. We describe Investment and Profits waves on risk border of economic space alike to surface waves in fluids. We present simple examples that specify waves as possible origin of time fluctuations of macro-financial variables. Description of possible steady state distributions of macro financial variables and financial risk waves on economic space could help for better policy-making and managing sustainable macro-finance.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126276814","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
La Financiación Inicial Y Final En El Circuito Monetario Y La Teoría De La Demanda Efectiva (Initial and Final Finance in the Monetary Circuit and the Theory of Effective Demand) 货币循环中的初始和最终融资与有效需求理论(货币循环中的初始和最终融资与有效需求理论)
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2016-11-29 DOI: 10.18601/01245996.V18N35.04
S. Cesaratto
{"title":"La Financiación Inicial Y Final En El Circuito Monetario Y La Teoría De La Demanda Efectiva (Initial and Final Finance in the Monetary Circuit and the Theory of Effective Demand)","authors":"S. Cesaratto","doi":"10.18601/01245996.V18N35.04","DOIUrl":"https://doi.org/10.18601/01245996.V18N35.04","url":null,"abstract":"Spanish Abstract: Un aspecto notable de la teoria heterodoxa moderna es la separacion entre los modelos de crecimiento basados en la demanda y las teorias del dinero endogeno. Este articulo sugiere una posible integracion entre la teoria keynesiana del multiplicador (y el supermultiplicador) y las teorias del dinero endogeno y la financiacion de Keynes. Centrandose en la version de la teoria del circuito monetario (TCM) de Graziani, es una contribucion para reconciliar la preocupacion de la TCM por la financiacion inicial de la produccion y la preocupacion de las teorias del crecimiento heterodoxas orientadas a la demanda por el financiamiento final de la demanda autonoma.English Abstract: One remarkable aspect of modern heterodox theory is the detachment between demand-led growth models and endogenous money theories. This paper suggests a possible integration of the Keynesian theory of the multiplier (and the supermultiplier) with Keynes´s endogenous money and finance theories. Focussing upon Graziani´s version of the Monetary Circuit Theory (TCM), the paper is a contribution towards reconciling the preoccupation of this theory with initial production financing, and the concern of demand-side oriented heterodox growth theories with final financing of autonomous demand).","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128338184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Tractable Framework for Analyzing a Class of Nonstationary Markov Models 一类非平稳马尔可夫模型分析的可处理框架
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2015-03-28 DOI: 10.2139/ssrn.2574125
L. Maliar, Serguei Maliar, John B. Taylor, Inna Tsener
{"title":"A Tractable Framework for Analyzing a Class of Nonstationary Markov Models","authors":"L. Maliar, Serguei Maliar, John B. Taylor, Inna Tsener","doi":"10.2139/ssrn.2574125","DOIUrl":"https://doi.org/10.2139/ssrn.2574125","url":null,"abstract":"We consider a class of infinite‐horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time‐inhomogeneous: they depend not only on state but also on time. We propose a quantitative framework, called \u0000 extended function path (EFP), for calibrating, solving, simulating, and estimating such nonstationary Markov models. The EFP framework relies on the turnpike theorem which implies that the finite‐horizon solutions asymptotically converge to the infinite‐horizon solutions if the time horizon is sufficiently large. The EFP applications include unbalanced stochastic growth models, the entry into and exit from a monetary union, information news, anticipated policy regime switches, deterministic seasonals, among others. Examples of MATLAB code are provided.\u0000","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"791 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114001938","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
The Analytics of the New Keynesian 3-Equation Model 新凯恩斯三方程模型的分析
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2015-01-25 DOI: 10.18559/EBR.2015.2.6
Jean‐Christophe Poutineau, Karolina Sobczak, Gauthier Vermandel
{"title":"The Analytics of the New Keynesian 3-Equation Model","authors":"Jean‐Christophe Poutineau, Karolina Sobczak, Gauthier Vermandel","doi":"10.18559/EBR.2015.2.6","DOIUrl":"https://doi.org/10.18559/EBR.2015.2.6","url":null,"abstract":"Tis paper aims at providing a self contained presentation of the ideas and solution procedure of New Keynesian Macroeconomics models. Using the benchmark “3 equation model”, we introduce the reader to an intuitive, static version of the model before incorporating more technical aspects associated with the dynamic nature of the model. We then discuss the relative contribution of supply, demand and policy shocks to the fluctuations of activity, inflation and interest rate, depending on the key under-lying parameters of the economy.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125304873","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Secular Stagnation and Decline: A Simplified Model 长期停滞与衰退:一个简化模型
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2014-12-18 DOI: 10.2139/ssrn.2540408
A. Krouglov
{"title":"Secular Stagnation and Decline: A Simplified Model","authors":"A. Krouglov","doi":"10.2139/ssrn.2540408","DOIUrl":"https://doi.org/10.2139/ssrn.2540408","url":null,"abstract":"Presented is a mathematical model of single-product economy describing a nominal economic growth and a nominal economic decline. Based on the model of economic dynamics, policies handling the gravity of the secular stagnation are furnished. First, transition of the secular stagnation into the secular decline is to be prevented. Second, a two-stage economic policy against the secular stagnation should be entertained. The first stage is to promote a policy of advancing the additional demand for products to counterbalance the additional supply of products by external suppliers. The second stage is to sustain a policy of savings and investments to stipulate an economic growth where the savings and investments are to be committed with a modest acceleration. Two stages of the alleviating economic policy can be executed concurrently.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"8 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123629507","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
OccBin: A Toolkit for Solving Dynamic Models with Occasionally Binding Constraints Easily OccBin:一个解决偶尔绑定约束的动态模型的工具
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2014-07-07 DOI: 10.2139/ssrn.2466637
L. Guerrieri, Matteo Iacoviello
{"title":"OccBin: A Toolkit for Solving Dynamic Models with Occasionally Binding Constraints Easily","authors":"L. Guerrieri, Matteo Iacoviello","doi":"10.2139/ssrn.2466637","DOIUrl":"https://doi.org/10.2139/ssrn.2466637","url":null,"abstract":"We describe how to adapt a first-order perturbation approach and apply it in a piecewise fashion to handle occasionally binding constraints in dynamic models. Our examples include a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates. We compare the piecewise linear perturbation solution with a high-quality numerical solution that can be taken to be virtually exact. The piecewise linear perturbation method can adequately capture key properties of the models we consider. A key advantage of this method is its applicability to models with a large number of state variables.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125321960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 415
What Explains the 2007-2009 Drop in Employment? 如何解释2007-2009年的就业下降?
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2014-02-01 DOI: 10.2139/ssrn.1961223
Atif R. Mian, Amir Sufi
{"title":"What Explains the 2007-2009 Drop in Employment?","authors":"Atif R. Mian, Amir Sufi","doi":"10.2139/ssrn.1961223","DOIUrl":"https://doi.org/10.2139/ssrn.1961223","url":null,"abstract":"We show that deterioration in household balance sheets, or the housing net worth channel, played a significant role in the sharp decline in U.S. employment between 2007 and 2009. Counties with a larger decline in housing net worth experience a larger decline in non‐tradable employment. This result is not driven by industry‐specific supply‐side shocks, exposure to the construction sector, policy‐induced business uncertainty, or contemporaneous credit supply tightening. We find little evidence of labor market adjustment in response to the housing net worth shock. There is no significant expansion of the tradable sector in counties with the largest decline in housing net worth. Further, there is little evidence of wage adjustment within or emigration out of the hardest hit counties.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"148 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128442794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 645
Chapitre 1 -- Le modèle à générations imbriquées et l’inefficience dynamique (Chapter 1 -- Dynamic Inefficiency, Overlapping Generation's Model, Representative Agent Model) 第1章:动态无效率、重叠代模型、代表性Agent模型
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2013-11-26 DOI: 10.2139/ssrn.2360217
Philippe Darreau
{"title":"Chapitre 1 -- Le modèle à générations imbriquées et l’inefficience dynamique (Chapter 1 -- Dynamic Inefficiency, Overlapping Generation's Model, Representative Agent Model)","authors":"Philippe Darreau","doi":"10.2139/ssrn.2360217","DOIUrl":"https://doi.org/10.2139/ssrn.2360217","url":null,"abstract":"French Abstract: Ce chapitre presente les modeles OLG et RA et le probleme d'inefficience dynamique. La section 1 presente le probleme d'inefficience dynamique et son absence dans le modele RA grâce a la condition de transversalite. La section 2 explique sa presence dans le modele OLG et le role de l'hypothese d'egoisme. La section 3 explique les conditions d'efficience en cas d'altruisme.English Abstract: This chapter presents the OLG and RA models and the problem of dynamic inefficiency. Section 1 presents the problem of dynamic inefficiency and its absence in the RA model using the transversality condition. Section 2 explains its presence in the OLG model and the role of the egoism assumption. Section 3 explains the conditions of efficiency in case of altruism.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"208 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114050004","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Reconnecting Investment to Stock Markets: The Role of Corporate Net Worth Evaluation 重新连接投资与股票市场:企业净值评估的作用
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2013-08-01 DOI: 10.2139/ssrn.2347694
Eddie Gerba
{"title":"Reconnecting Investment to Stock Markets: The Role of Corporate Net Worth Evaluation","authors":"Eddie Gerba","doi":"10.2139/ssrn.2347694","DOIUrl":"https://doi.org/10.2139/ssrn.2347694","url":null,"abstract":"Following recent studies by the Bank of England that the low financial market confidence and low expectations about private sector profits over the next three years has lead to unusually low price-to-book ratios, we incorporate a stock market mechanism in a general equilibrium framework. More specifically, we introduce an endogenous wedge between market and book value of capital, and make investment a function of it in a standard financial accelerator model. The price wedge is driven by an information set containing expectations about the future state of the economy. The result is that the impulse responses to exogenous disturbances are on average two to three times more volatile than in the benchmark financial accelerator model. More- over, the model improves the matching of firm variables and financial rates to US data compared to the standard financial accelerator model. We also derive a model based quadratic loss function and measure the extent to which monetary policy can feed a bubble by further loosening the credit market frictions that entrepreneurs face. A policy that explicitly targets stock market developments can be shown to improve welfare in terms of minimizing the consumption losses of consumers, even when we account for incomplete information of central bankers regarding the current state of the economy.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132894390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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