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The (Interesting) Dynamic Properties of the Neoclassical Growth Model with CES Production

Smetters, Kent A. - 2003

Despite being the standard growth model for several decades, little is actually known analytically about the dynamic properties of the neoclassical Ramsey-Cass-Koopmans growth model. This paper derives analytically the properties of the endogenous saving rate when technology takes the Constant...

Persistent link: https://www.econbiz.de/10012469166

Interpreting Tests of the Convergence Hypothesis

Bernard, Andrew B. - 1994

This paper provides a framework for understanding the cross- section and time series approaches which have been used to test the convergence hypothesis. First, we present two definitions of convergence which capture the implications of the neoclassical growth model for the relationship between...

Persistent link: https://www.econbiz.de/10012474163

Rational Expectations Models with a Continuum of Convergent Solutions

Mussa, Michael - 1984

This paper examines five examples of rational expectations models with a continuum of convergent solutions and demonstrates serious difficulties in the economic interpretation of these solutions. The five examples are (1) a model of optimal capital accumulation with a negative rate of time...

Persistent link: https://www.econbiz.de/10012477649

An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy : Expanded Version

Rotemberg, Julio J. - 1998

This paper considers a simple quantitative model of output, interest rate and inflation determination in the United … disturbances, can account for our data nearly as well as an unrestricted VAR. The monetary policy rule that most reduces inflation … high average inflation rate. But even in the case of a constrained-optimal policy, that takes into account some of the …

Persistent link: https://www.econbiz.de/10012472266

On Inflation and Output with Costly Price Changes : A Simple Unifying Result

Benabou, Roland - 1993

We analyze the effect of inflation on the average output of monopolistic firms facing a small fixed cost of changing …

Persistent link: https://www.econbiz.de/10012474604

Long-memory Inflation Uncertainty : Evidence from the Term Structure of Interest Rates

Backus, David K. - 1993

pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this …

Persistent link: https://www.econbiz.de/10012474677

Granger-Causality and Stabilization Policy

Buiter, Willem H. - 1981

This paper aims to provide a stochastic, rational expectations extension of Tobin's "Money and Income; Post Hoc Ergo Proper Hoc?". It is well-known that money may Granger-cause real variables even though the joint density function of the real variables is invariant under changes in the...

Persistent link: https://www.econbiz.de/10012478485

A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

Inoue, Atsushi - 2005

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties

Persistent link: https://www.econbiz.de/10012467268

The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems

Carroll, Christopher D. - 2005

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided

Persistent link: https://www.econbiz.de/10012467286

A, B, C's (and D)'s for Understanding VARs

Fernandez-Villaverde, Jesus - 2005

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C,Sigma) determines a vector autoregression for observables available to an econometrician. We review...

Persistent link: https://www.econbiz.de/10012467294