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Revista Económica
Facultad de Ciencias Económicas Universidad Nacional de La Plata Calle 6 Nº 777
5to Piso, Oficina 528
(1900) La Plata - Argentina

Tel/Fax: (+54 221) 422 9383

e-mail: economica@econo.unlp.edu.ar

URL: economica.econo.unlp.edu.ar

Director Responsable:
Decano Mg. Martín Aníbal López Armengol
Dr. Mario Luis Szychowski

ISSN edición impresa:
0013-0419
ISSN edición online:
1852-1649
N° Registro DNDA:
En trámite

CUIT:  30-54666670-7

Propietario:
Facultad de Ciencias Económicas Universidad Nacional de La Plata Calle 6 Nº 777
(1900) La Plata - Argentina
Tel/Fax: (+54 221) 422 9383

 

VOLVER    
ECONÓMICA
Vol. LI, Nro. 1-2, Enero-Diciembre 2005
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A toolbox for the numerical study of linear dynamic rational expectations models
Marcelo Oviedo

Cita del artículo:

Oviedo, Marcelo (2005). “A toolbox for the numerical study of linear dynamic rational expectations models”. Económica, Vol. LI(1-2): 91-136.

Resumen:

Se presenta una guía para resolver y estudiar modelos de expectativas racionales dinámicas lineales (LDRE). Luego de codificar el modelo, se aplica una function simple para log-linealizarlo; simular los efectos de series exógenas de shocks; calcular condiciones de momentos muestrales y poblacionales; y obtener funciones de impulso-respuesta. Se resuelven y estudian detalladamente tres modelos clásicos en la literatura de Real-Business-Cycles, Brock and Mirman ("LDRE Toolbox" of Matlab functionsOptimal Growth and Uncertainty: the Discounted Case, Journal of Economic Theory 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, Journal of Monetary Economics 21: 195-232; 1988); y Mendoza (Real Business Cycles in a Small Open Economy, American Economic Review 81(4): 797-818; 1991).

Abstract:

By simplifying the computational tasks and by providing step-by-step explanations of the procedures required to study a linear dynamic rational expectations (LDRE) model, this paper and the accompanying "LDRE Toolbox" of Matlab functions guide a researcher with almost no experience in computational work to resolve and study his own model. After coding the model following specific guidelines, a single function call is all that is needed to log-linearize the model; simulate it under exogenous sequences of shocks; compute sample and population moment conditional models in the Real-Business-Cycles literature are solved and studied throughout to give detailed examples of the steps involved in solving and studying LDRE models using the LDRE Toolbox. Namely, the economies in Brock and Mirman (Optimal Growth and Uncertainty: the Discounted Case, Journal of Economic Theory 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, Journal of Monetary Economics 21: 195-232; 1988); and Mendoza (Real Business Cycles in a Small Open Economy, American Economic Review 81(4): 797-818; 1991).

Idioma: Inglés

Texto completo: Descargar

Autor(es):

Marcelo Oviedo: Department of Economics, Iowa State University

Códigos JEL:

C63- Computational Techniques
C68- Computable General Equilibrium Models
E32- Business Fluctuations; Cycles
F41- Open Economy Macroeconomics

 
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