MF随机Mark模型的说明(2000):溢出效应的模拟和估计

Análisis Económico Pub Date : 2020-05-15 DOI:10.24275/UAM/AZC/DCSH/AE/2020V35N89/LIZARAZU

Eddy Lizarazu Alanez

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摘要

通过迭代期望，我们验证了Mark(2000)报告的理性期望解对于随机蒙代尔-弗莱明(MF)模型是唯一的。此外，利用模拟数据和R软件，我们估计了随机MF模型上的过冲Dornbusch(1976)。特别是，该练习建议使用由于外生单位根过程共线性的VAR估计的一些变体。

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Una ilustración en el modelo MF estocásticode Mark (2000): simulación y estimación del efecto desbordamiento

By iterating the expectations, we verify that the solution of rational expectations reported by Mark (2000) is unique for the stochastic Mundell-Fleming (MF) model. In addition, with simulated data and R software, we estimate the overshooting’s Dornbusch (1976) on the stochastic MF model. In particular, the exercise suggests using some variants of the VAR estimate due to collinearity in exogenous unit root processes.

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Análisis Económico

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