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UID:

Umfang: XXIV, 453 p. 116 illus., 115 illus. in color. , online resource.

Ausgabe: 1st ed. 2024.

ISBN: 9783031581052

Serie: Springer Texts in Business and Economics,

Inhalt: This textbook guides the student step-by-step in developing and solving a DSGE (Dynamic Stochastic General Equilibrium) model-not only from the technical and conceptual aspects but also through the simulation process of each model. Characterized by a learning-by-doing approach, the book is set apart from the extant textbooks in three ways. First, it performs all the algebra associated with each model, such as the calculation of steady-state and the log-linearization of the model. Second, each model developed has been generated in Dynare, and every chapter is accompanied by a set of codes (mod-files and m-files) that the reader can use to replicate the model developed in every chapter. Finally, the models considered are toy models in the closed and open economy, which allows the student to learn the basic lessons and understand the fundamental relationships of the variables. All of this prepares the student to deal with more complex models. This book is intended for advanced undergraduate or beginning graduate courses in economics, finance, or applied mathematics, as well as practitioners in central banks that use these models daily in the preparation of forecasts or simulations of aggregate variables.

Anmerkung: An Overview of RBC models -- Dynare Foundations: solving and simulating DSGE models -- RBC model with analytical solution -- RBC model with constant labor -- RBC model with variable labor -- RBC model with shock to investment and variable use of capital -- Small Open Economy RBC -- Dynamic Optimization.

In: Springer Nature eBook

Weitere Ausg.: Printed edition: ISBN 9783031581045

Weitere Ausg.: Printed edition: ISBN 9783031581069

Weitere Ausg.: Printed edition: ISBN 9783031581076

Sprache: Englisch

DOI: 10.1007/978-3-031-58105-2

URL: https://doi.org/10.1007/978-3-031-58105-2

URL: Volltext  (URL des Erstveröffentlichers)

UID:

Umfang: 1 online resource (473 pages)

Ausgabe: 1st ed.

ISBN: 9783031581052

Serie: Springer Texts in Business and Economics Series

Anmerkung: Intro -- Preface -- Who Should Read This Book? -- Programs -- Acknowledgements -- Contents -- List of Figures -- List of Tables -- 1 An Overview of RBC Models -- 1.1 Introduction -- 1.2 Business Cycles -- 1.2.1 Definition -- 1.2.2 Stylized Facts -- 1.2.2.1 Characterization of the Stylized Facts -- 1.2.2.2 Stylized Facts in the United States -- 1.3 Historical Perspective of the RBC Theory -- 1.3.1 Overview of Schools of Economic Thought -- 1.3.2 The Historical Development of the RBC School -- 1.3.2.1 Research on the State of the Artof RBC Models -- 1.3.2.2 Research Related to the Labor Market -- 1.3.2.3 Investigations Related to Fiscal Policy -- 1.3.2.4 Research Associated with Money -- 1.3.2.5 Research Associated with Investment Shock -- 1.4 Theoretical Foundations of RBC Models -- 1.4.1 Main Assumptions -- 1.4.2 Steps to Develop an RBC Model -- 1.5 Codes -- 2 Dynare Foundations: Solving and Simulating DSGE Models -- 2.1 Introduction -- 2.2 What Is Dynare? -- 2.3 Structure of .mod File -- 2.3.1 The Preamble -- 2.3.2 The Model -- 2.3.3 Initials Values -- 2.3.4 Stationary State -- 2.3.5 Dynare and LaTeX -- 2.3.6 Definition of Shocks -- 2.3.7 Model Evaluation: Blanchard and Kahn Conditions -- 2.3.8 Computation of the Stochastic Solution -- 2.3.9 Simulation and HP Filter -- 2.3.10 Sensitivity Analysis -- 2.3.11 Ways to Write the Model in Dynare -- 2.4 long1983's Model: Application in Dynare -- 2.4.1 long1983's Model -- 2.4.2 Preamble -- 2.4.3 Model -- 2.4.4 Initial Values -- 2.4.5 Steady State -- 2.4.6 Definition of Shock -- 2.4.7 Model Evaluation -- 2.4.8 Solution -- 2.4.9 Impulse-Response Function (IRF) -- 2.4.10 Sensitivity Analysis -- 2.4.11 Simulation of Endogenous Variables -- 2.4.12 Calculation of Moments -- 2.4.13 HP Filter -- 2.5 Codes -- 2.6 Summary -- 3 RBC Model with Analytical Solution -- 3.1 Introduction -- 3.2 Model Construction. , 3.2.1 Utility Function -- 3.2.2 Households -- 3.2.3 Firms -- 3.2.4 Market Equilibrium and Definition of shock -- 3.2.5 Principal Equations -- 3.3 Calibration -- 3.4 Steady State -- 3.5 Linearization vs. Log-Linearization -- 3.5.1 Linearization (Variable in Levels) -- 3.5.2 Linearization (Logarithmic Variables) or Log-Linearization -- 3.6 Solution of Linear System -- 3.6.1 Analytical Method -- 3.6.2 Blanchard and Kahn Method -- 3.7 Time Series Representation -- 3.8 Impulse-Response Functions -- 3.9 Simulation of Endogenous Variables -- 3.10 Cyclic Component of Simulated Variables -- 3.11 Calculation of Theoretical Moments -- 3.12 Comparison of the Theoretical Model with the Data -- 3.13 Codes -- 4 RBC Model with Constant Labor -- 4.1 Introduction -- 4.2 Model Building -- 4.2.1 Households -- 4.2.2 Firms -- 4.2.3 Market Equilibrium and Shock Definition -- 4.2.4 Main Equations -- 4.3 Calibration -- 4.4 Steady State -- 4.5 Log-Linearization -- 4.5.1 Substitution and Income Effect of the Interest Rate -- 4.6 Solution of Linear System -- 4.6.1 Method of Undetermined Coefficients -- 4.6.2 Analysis of Elasticities -- 4.7 Representation of Time Series -- 4.7.1 Capital Time Series -- 4.7.2 Production Time Series -- 4.7.3 Consumption Time Series -- 4.7.4 Time Series of Gross Real Interest Rate -- 4.7.5 Inversion Time Series -- 4.8 Impulse-Response Functions -- 4.9 Simulation of the Endogenous Variables -- 4.10 Cyclic Component of Simulated Variables -- 4.11 Computation of Theoretical Moments -- 4.12 Comparison of the Theoretical Model with the Empirical Data -- 4.13 Summary -- 4.14 Codes -- 5 RBC Model with Variable Labor Supply -- 5.1 Introduction -- 5.2 Model Elements -- 5.2.1 Model Construction -- 5.2.1.1 Households -- 5.2.1.2 Firms -- 5.2.1.3 Market Equilibrium and Definition of Shock -- 5.2.1.4 System of Principal Equations -- 5.2.2 Calibration. , 5.2.3 Stationary State -- 5.2.4 Log-Linearization -- 5.2.5 Solution of the Linear System -- 5.2.5.1 Method of Undetermined Coefficients -- 5.2.5.2 Solution Obtained from Dynare -- 5.3 Model Solution Analysis -- 5.3.1 Analysis of the Coefficients of the Solution -- 5.3.1.1 Effects of δ -- 5.3.1.2 Effects of γn -- 5.3.1.3 Effects of ϕ -- 5.3.2 Impulse-Response Functions -- 5.3.2.1 How Does the Economy React to a Shock of Productivity? -- 5.3.3 Comparison of the Theoretical Model with the Data -- 5.3.3.1 Does the Shock Need to be Significant for the Model to Replicate the Data? -- 5.3.3.2 Does the Labor Supply Need to Be Very Elastic for the Model to Replicate the Data? -- 5.4 Summary -- 5.5 Codes -- Appendix -- 6 RBC Model with Shock to Investment and Variable Use of Capital -- 6.1 Introduction -- 6.2 Standard RBC Model and the Investment Shock -- 6.2.1 System of Principal Equations -- 6.2.2 Model Solution -- 6.2.3 Impulse-Response Functions -- 6.2.4 Comparison of the Model with the Data -- 6.3 Extended RBC Model: Inclusion of Shock to Investment and Variable Use of Capital -- 6.3.1 Model Elements -- 6.3.1.1 Households -- 6.3.1.2 Firms -- 6.3.1.3 Market Equilibrium and Definition of Shock -- 6.3.1.4 System of Principal Equations -- 6.3.1.5 Calibration -- 6.3.1.6 Stationary State -- 6.3.1.7 Model Solution -- 6.3.2 Solution Analysis -- 6.3.2.1 Impulse-Response Functions -- 6.3.2.2 Comparison of the Theoretical Model with the Data -- 6.4 Summary -- 6.5 Codes -- 7 Small Open Economy RBC -- 7.1 Introduction -- 7.2 Empirics -- 7.2.1 Construction of the Macroeconomic Series -- 7.2.2 Detrending Techniques for Extraction of the Cyclical Component -- 7.2.2.1 Log-Quadratic Detrending -- 7.3 Model Elements -- 7.3.1 Two-Period Small Open Economy Model -- 7.3.2 Introducing Stochasticity into the InfiniteHorizon Model -- 7.4 Building the Model -- 7.4.1 Households. , 7.4.2 Firms -- 7.4.3 The External Sector -- 7.4.4 Market Equilibrium and Shock Definition -- 7.4.5 System of Main Equations -- 7.5 Parametrization -- 7.6 Steady State -- 7.6.1 Model Solution -- 7.7 Impulse-Response Functions -- 7.7.1 Impulse-Response Functions to Total Factor Productivity Shock -- 7.7.2 Impulse-Response Functions to External Interest Rate Shock -- 7.7.3 Comparison of the Model with the Data -- 7.8 Summary -- 7.9 Codes -- 8 Nontradable Goods in a Small Open Economy RBC -- 8.1 Introduction -- 8.2 Empirics -- 8.2.1 Construction of the Macroeconomic Series -- 8.2.2 Business Cycle Properties -- 8.3 Model Elements -- 8.4 Building the Model -- 8.4.1 Households -- 8.4.2 Firms -- 8.4.3 Market Clearing and Shock Definitions -- 8.4.4 Expressing Variables at Import Prices -- 8.4.5 External Sector -- 8.4.6 Parametrization -- 8.4.7 Steady State -- 8.4.8 Model Solution -- 8.5 Impulse-Response Analysis -- 8.5.1 Impulse-Response Functions to Terms of Trade Shock -- 8.5.2 Impulse-Response Functions to Productivity Shock Across Sectors -- 8.5.3 Comparison of Data and Theoretical Moments -- 8.6 Summary -- 8.7 Codes -- A Dynamic Optimization -- A.1 Introduction -- A.2 Fundamentals of Real Analysis -- A.2.1 What Mathematical Concepts Do We Need? -- A.2.2 Concepts (Part I): Spaces -- A.2.2.1 Vectorial Space -- A.2.2.2 Metric Space -- A.2.2.3 Normed (Vector) Space -- A.2.2.4 Complete Space -- A.2.3 Concepts (Part II): Contractions -- A.2.3.1 Contraction (Contractive Application) -- A.2.3.2 Blackwell's Conditions -- A.2.4 Concepts (Part III): Fixed Point -- A.2.4.1 What Is a Fixed Point? -- A.2.4.2 Contractive Application Theorem -- A.3 Dynamic Programming -- A.3.1 Outlook -- A.3.1.1 What Kind of Problem Do We Want to Solve? -- A.3.1.2 Function Valor -- A.3.1.3 Bellman Equation -- A.3.1.4 Functional Problem -- A.3.1.5 From SP to FP -- A.3.2 Details. , A.3.2.1 Optimality Principle -- A.3.2.2 Method to Solve the FP -- A.3.2.3 Differential Calculus Method to Solve the PF -- A.3.3 Applications -- A.3.3.1 Growth with Human Capital -- A.3.3.2 Hercowitz and Sampson (1991) Model -- References -- Index.

Weitere Ausg.: ISBN 9783031581045

Sprache: Englisch

UID:

Umfang: 1 online resource (473 pages)

Ausgabe: 1st ed. 2024.

ISBN: 9783031581052

Serie: Springer Texts in Business and Economics,

Inhalt: This textbook guides the student step-by-step in developing and solving a DSGE (Dynamic Stochastic General Equilibrium) model–not only from the technical and conceptual aspects but also through the simulation process of each model. Characterized by a learning-by-doing approach, the book is set apart from the extant textbooks in three ways. First, it performs all the algebra associated with each model, such as the calculation of steady-state and the log-linearization of the model. Second, each model developed has been generated in Dynare, and every chapter is accompanied by a set of codes (mod-files and m-files) that the reader can use to replicate the model developed in every chapter. Finally, the models considered are toy models in the closed and open economy, which allows the student to learn the basic lessons and understand the fundamental relationships of the variables. All of this prepares the student to deal with more complex models. This book is intended for advanced undergraduate or beginning graduate courses in economics, finance, or applied mathematics, as well as practitioners in central banks that use these models daily in the preparation of forecasts or simulations of aggregate variables.

Anmerkung: An Overview of RBC models -- Dynare Foundations: solving and simulating DSGE models -- RBC model with analytical solution -- RBC model with constant labor -- RBC model with variable labor -- RBC model with shock to investment and variable use of capital -- Small Open Economy RBC -- Dynamic Optimization.

Weitere Ausg.: ISBN 9783031581045

Sprache: Englisch

DOI: 10.1007/978-3-031-58105-2

UID:

Umfang: xxiv, 453 Seiten : , Diagramme.

ISBN: 978-3-031-58104-5

Serie: Springer texts in business and economics

Weitere Ausg.: Erscheint auch als Online-Ausgabe ISBN 978-3-031-58105-2

Sprache: Englisch

Fachgebiete: Wirtschaftswissenschaften