1 / 27

BRC 的一点补充材料

BRC 的一点补充材料. 徐现祥. 主要内容. RBC 建模的一般步骤 RBC 的校准( Calibration ) RBC 的目前研究方向. RBC 建模的一般步骤. 假设 一般均衡 校准( Calibration ) 模型的波动特征 Vs 实际波动特征. K - P 模型的标准差和相关系数. 数据转引自黄险峰( 2003 , p28 表 2.1 ;样本区间 1950 第一季度到 1979 第二季

sema
Download Presentation

BRC 的一点补充材料

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


  1. BRC的一点补充材料 徐现祥

  2. 主要内容 • RBC建模的一般步骤 • RBC的校准(Calibration) • RBC的目前研究方向

  3. RBC建模的一般步骤 • 假设 • 一般均衡 • 校准(Calibration) • 模型的波动特征Vs实际波动特征

  4. K-P模型的标准差和相关系数 • 数据转引自黄险峰(2003,p28表2.1;样本区间1950第一季度到1979第二季 • “the match between theory and observation is excellent, but far from perfect”(Prescott,1986) • 就业变化之谜和生产率之谜

  5. Hansen不可分劳动模型 • 就业变动之谜的揭示:Hansen(1985)建立了一个indivisible labor的RBC,在基本RBC中,劳动跨时替代,但每一期都提供劳动的;Hansen假定工人要么工作,要么不工作。 • 生产率之谜仍然没有进展。 • 数据转引自黄险峰(2003,p40表3.1;样本区间1955第一季度到1984第二季

  6. 有政府支出和税收的RBC • 在基本的RBC中引入政府支出和税收有望解决生产率之谜 • 数据转引自黄险峰(2003,p51表3.3;样本区间1947第一季度到1987第四季

  7. RBC的进一步发展 • RBC理论的起源 • RBC理论面临的挑战 • 材料来源于Rebelo(2005)

  8. RBC的进一步发展_起源 • Finn Kydland and Edward Prescott introduced three revolutionary ideas in their 1982 paper, “Time to Build and Aggregate Fluctuations.” • business cycles can be studied using dynamic general equilibrium models. • it is possible to unify business cycle and growth theory. • we can go way beyond the qualitative comparison of model properties with stylized facts.

  9. RBC的进一步发展_起源 • The role of RBC • RBC models became a point of departure for many theories in which technology shocks do not play a central role. • RBC-based models came to be widely used as laboratories for policy analysis.

  10. RBC的进一步发展_挑战 • Open Questions in Business Cycle Research • the behavior of asset prices. • understanding the Great Depression. • research on the causes of business cycles, • the role of labor markets, • the strong patterns of comovement across industries and states.

  11. RBC的进一步发展_挑战 • the behavior of asset prices: equity premium puzzle • Mehra and Prescott (1985,2003) show that utility specifications common in RBC models are not consistent with the difference between the average return to stocks and bonds. • the introduction of habit formation as an important step (Sundaresan ,1989; Constantinides ,1990; Abel ,1990; Campbell and Cochrane ,1999). • Boldrin, Christiano, and Fisher (2001) show that simply introducing habit formation into a standard RBC model does not resolve the equity premium puzzle.

  12. RBC的进一步发展_挑战 • What Caused the Great Depression? • An unusual combination of bad shocks compounded by bad policy. • large drops in the world price of agricultural goods, instability in the financial system, and the worst drought ever recorded. • Monetary policy was contractionary. • A massive tax increase • A bitter tariff war • Sorting out the effects of these different shocks and different policies is a daunting task,but significant progress is being made(Christiano, Motto, and Rostagno (2005), Cole and Ohanian (1999, 2004), and the January 2002 issue of the Review of Economic Dynamics )

  13. RBC的进一步发展_挑战 • What Causes Business Cycles? • Longstanding suspects are monetary, fiscal, oil price shocks, and technology shocks (Prescott,1986) • Prescott (1986) treats TFP as a measure of exogenous technology shocks. • Hall (1988); Evans (1992); Basu (1996) ; Burnside, Eichenbaum, and Rebelo (1996); Burnside, Eichenbaum, and Rebelo (1993); Jaimovich (2004a), drive important wedges between TFP and true technology shocks.

  14. RBC的进一步发展_挑战 • What Causes Business Cycles? • technological regress? • Gali (1999) finds that in the short run, hours worked fall in response to a positive shock to technology. • Christiano et al(2003) /Chari et al (2004)find that Gali’s results are not robust. • Basu et al (1999) /Francis and Ramey (2001) /Gali and Rabanal (2005) complement Gali’s results.

  15. RBC的进一步发展_挑战 • Alternative theories take the basic RBC model as their point of departure. • Oil Shocks(Kim et al,1992; Rotemberg et al 1996; Finn ,2000; Barsky et al 2004). • Christiano et al (1992), Baxter et al (1993), Braun (1994),and McGrattan (1994) ; Cooley et al (1997), Ramey et al(1998), Burnside, et al (2004) have studied the effect of tax rate and government spending shocks in RBC models. • Ohanian (1997) show that RBC models can account for the main macroeconomic features of war episodes.

  16. RBC的进一步发展_挑战 • Alternative theories take the basic RBC model as their point of departure. • Investment-specific Technical Change(Gordon (1990); Greenwood, Hercowitz, and Krusell(1997). • investment-specific technical progress has no impact on the productivity of old capital goods. • Starting with Greenwood, Hercowitz, and Krusell (2000) investment specific technical change has become a standard shock included in RBC models.

  17. RBC的进一步发展_挑战 • Alternative theories take the basic RBC model as their point of departure. • There are a great many studies that explore the role of monetary shocks in RBC models • Dotsey, King, and Wolman (1999), Altig, Christiano, Eichenbaum, and Linde (2005); Smets and Wouters (2003); Clarida, Gali, and Gertler (1999) ; Christiano,Eichenbaum, and Evans (1999) provide reviews of this literature.. • In many of these models, technology shocks continue to be important, but monetary forces play a significant role in shaping the economy’s response to technology shocks.

  18. RBC的进一步发展_挑战 • Alternative theories take the basic RBC model as their point of departure. • Multiple Equilibrium Models • the most recent work on multiple equilibrium takes the basic RBC model as a point of departure (Wen (1998a), Benhabib and Wen (2003), and Jaimovich(2004b)) • externalities, increasing returns to scale, or monopolistic competition, • Multiple equilibrium models have two attractive features. • since beliefs are self-fulfilling, belief shocks can generate business cycles. • multiple equilibrium models tend to have strong internal persistence. • An important difficulty is that they require that beliefs be volatile, but coordinated across agents.

  19. RBC的进一步发展_挑战 • Alternative theories take the basic RBC model as their point of departure. • Endogenous business cycles” studies models that generate business fluctuations, but without relying on exogenous shocks. • Reichlin (1997) stresses two difficulties with this line of research. • the plausibility of the perfect foresight assumption. • with determinist cycles often exhibit multiple equilibrium (influence of belief shocks?)

  20. RBC的进一步发展_挑战 • Alternative theories take the basic RBC model as their point of departure. • “I finish by describing two promising lines of research that are still in their early stages”. • “news shocks” may be important drivers of business cycles.(Cochrane (1994)). • Beaudry and Portier (2004) take an important first step in proposing a model that generates the right comovement in response to news about future increases in productivity. • Comin and Gertler (2004) extend a RBC model to incorporate endogenous changes in TFP.

  21. RBC的进一步发展_挑战 • What Explains Business Cycle Comovement?

  22. RBC的进一步发展_挑战 • What Explains Business Cycle Comovement?

  23. RBC的进一步发展_挑战 • What Explains Business Cycle Comovement?

  24. RBC的进一步发展_挑战 • What Explains Business Cycle Comovement?

  25. RBC的进一步发展_挑战 • What Explains Business Cycle Comovement? • Christiano and Fitzgerald (1998) /Greenwood, et al. (2000) show that even in the presence of a common shock, it is difficult to generate comovement across industries that produce consumption and investment goods. • input-output matrix. • Other potential sources of comovement that deserve further exploration are costs to moving production factors across sectors (Boldrin, et al. (2001)) and sticky wages (DiCecio (2003)).

  26. RBC进一步研究方向 • Methodological revolutions such as the one led by Kydland and Prescott (1982) are rare. • They propose new methods, ask new questions, and open the door to exciting research.

  27. Thank You

More Related