为什么不完全市场的开放经济模式的全球解决方案和地方解决方案不同?为什么这很重要

IF 4 1区 经济学 Q1 ECONOMICS
Oliver de Groot , C. Bora Durdu , Enrique G. Mendoza
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引用次数: 0

摘要

我们比较了开放经济不完全市场模型的全局(定点迭代)和局部(一阶、高阶、风险稳态和准线性)解。工作马禀赋模型的周期矩与数据大致一致,并且针对相同数据目标校准的解决方案相似,但脉冲响应和谱密度不同。其他的局部解决方案产生几乎相同的结果。校准它们需要非凡的利率弹性,这使得净外国资产(NFA)具有“粘性”,导致它们在改变预防性储蓄(例如,增加收入波动性,增加资本管制)的实验中与全球解决方案截然不同。分析和数值结果表明,我们的发现是由于NFA在不完全市场下的近单位根性质及其自相关解的不精确。这些发现延伸到具有偶尔约束的附带约束的突然停止模型。此外,准线性方法在约束约束下产生较小的金融溢价和宏观经济响应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Why global and local solutions of open-economy models with incomplete markets differ and why it matters
We compare global (fixed-point iteration) and local (first-order, higher-order, risky-steady-state, and quasi-linear) solutions of open-economy incomplete-markets models. Cyclical moments of a workhorse endowment model are broadly in line with the data and similar across solutions calibrated to the same data targets, but impulse responses and spectral densities differ. Alternative local solutions yield nearly identical results. Calibrating them requires nontrivial interest-rate elasticities that make net foreign assets (NFA) “sticky,” causing them to differ sharply from global solutions in experiments altering precautionary savings (e.g., increasing income volatility, adding capital controls). Analytic and numerical results show that our findings are due to the near-unit-root nature of NFA under incomplete markets and imprecise solutions of their autocorrelation. These findings extend to a Sudden Stops model with an occasionally binding collateral constraint. In addition, quasi-linear methods yield smaller financial premia and macroeconomic responses when the constraint binds.
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来源期刊
CiteScore
5.80
自引率
6.10%
发文量
98
期刊介绍: The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.
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