BRC 的一点补充材料

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