Solución numérica de un modelo neokeynesiano mediante los métodos Blanchard-Khan (1980) y Klein (2000)
Palabras clave:
Descomposición de Schur, expectativas racionales, forma canónica de Jordan, funciones impulso-respuesta, modelo neokeynesianoResumen
Se utilizan los procedimientos de Blanchard-Khan (1980) y Klein (2000) para resolver numéricamente un modelo neokeynesiano de expectativas racionales. Con respecto a este modelo, se muestra cómo desacoplar el sistema lineal de expectativas racionales dependiendo de las variables de estado (predeterminadas) y de control (no-predeterminadas). La solución es plausible si se conocen los parámetros del modelo, además es posible extraer las funciones impulso-respuesta para trazar la senda temporal de las variables endógenas impulsadas por perturbaciones de la única variable exógena estocástica, el producto natural.
Clasificación JEL: C01; C13; C15; E52; E58.
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Bofinger, P., Mayer, E., & Wollmershuser, T. (2006). The BMW Model: A New Framework for Teaching Monetary Economics. The Journal of Economic Education, Vol. 37(1), pp. 98-117. https://doi.org/10.3200/JECE.37.1.98-117
Buiter, W. (1982). Predetermined and non-predetermined variables in rational expectations models. Economics Letters, Vol. 10(1–2), 49-54 https://doi.org/10.1016/0165-1765(82)90114-8
Carlin, W. & Soskice D. (2005). The 3-equation New Keynesian model: A graphical exposition. Contributions to Macroeconomics, Vol. 5(1), Article 13, pp. 1-36. https://doi.org/10.2202/1534-6005.1299
Costa, C. & García-Cintado, A. (2018). Teaching DSGE models to undergraduates. EconomíA, Vol. 19(3), pp. 424-444. https://doi.org/10.1016/j.econ.2018.11.001
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Fane, G. (1985). A derivation of the IS–LM model from explicit optimizing behavior. Journal of Macroeconomics, Vol. 7(4), pp. 493–508. https://doi.org/10.1016/0164-0704(85)90038-2
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Nelson E. (2008). IS-LM, in Modern Macro. Palgrave Macmillan (eds), The New Palgrave Dictionary of Economics. London: Palgrave Macmillan. https://doi.org/10.1057/978-1-349-95121-5_1949-1
Poutineau, J.C. Sobczak, K, & Vermandel G. (2015). The analytics of the New Keynesian 3-equation Model. Economics and Business Economics and Business Review, Vol. 15(2), pp. 110-129. https://doi.org/10.18559/ebr.2015.2.6
Romer, D. (2000). Keynesian Macroeconomics without the LM Curve. Journal of Economic Perspectives, vol.14(2), pp. 149-169. http://dx.doi.org/10.1257/jep.14.2.149
Sargent, T. (1991). Equilibrium with Signal Extraction from Endogenous Variables. Journal of Economic Dynamics and Control, Vol. 15(2), pp. 245-273. https://doi.org/10.1016/0165-1889(91)90012-P
Snowdon, B. & Vane, H. (2005). Modern Macroeconomics: Its Origins, Development and Current State, Cheltenham, UK: Edward Elgar
Torres, J.L. (2015). Introduction to Dynamic Macroeconomic General Equilibrium Models (2th Edition). Wilmington: Vernon Press.
Walsh, C. (2003). Monetary Theory. Cambridge, USA: The MIT Press.
Weintraub, S.H. (2009). Jordan Canonical Form: Theory and Practice. Williston, USA: Morgan & Claypool Publishers. https://doi.org/10.2200/S00218ED1V01Y200908MAS006
Wickens, M. (2012). Macroeconomic Theory: A Dynamic General Equilibrium Approach, (Second Edition). Princeton, USA: Princeton University Press.
Williamson, S.D. (2018). Macroeconomics (6th Edition). Harlow, UK: Pearson Education Limited.
Woodford, M. (2003). Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton, NJ: Princeton University Press.
Benigno, P. (2015). New-Keynesian economics: An AS–AD view. Research in Economics, 69(4), pp. 503-524. https://doi.org/10.1016/j.rie.2015.07.005
Benassy, J.P. (2011). Macroeconomic Theory, New York, USA: Oxford University Press https://doi.org/10.1093/acprof:osobl/9780195387711.001.0001
Blanchard, O.J. & Khan, C.M. (1980). The Solution of Linear Difference Models under Rational Expectations. Econometrica, Vol. 48(5), pp. 1305-1311. https://doi.org/10.2307%2F1912186
Bofinger, P., Mayer, E., & Wollmershuser, T. (2006). The BMW Model: A New Framework for Teaching Monetary Economics. The Journal of Economic Education, Vol. 37(1), pp. 98-117. https://doi.org/10.3200/JECE.37.1.98-117
Buiter, W. (1982). Predetermined and non-predetermined variables in rational expectations models. Economics Letters, Vol. 10(1–2), 49-54 https://doi.org/10.1016/0165-1765(82)90114-8
Carlin, W. & Soskice D. (2005). The 3-equation New Keynesian model: A graphical exposition. Contributions to Macroeconomics, Vol. 5(1), Article 13, pp. 1-36. https://doi.org/10.2202/1534-6005.1299
Costa, C. & García-Cintado, A. (2018). Teaching DSGE models to undergraduates. EconomíA, Vol. 19(3), pp. 424-444. https://doi.org/10.1016/j.econ.2018.11.001
Clarida, R., Galí. J. & Gertler, M. (1999). The Science of Monetary Policy: A New Keynesian Perspective. Journal of Economic Literature, Vol. 37(4), pp. 1661–1707. http://dx.doi.org/10.1257/jel.37.4.1661
Heijdra, B. (2017). Foundations of Modern Macroeconomics, (Third Edition). New York, USA: Oxford University Press.
Fane, G. (1985). A derivation of the IS–LM model from explicit optimizing behavior. Journal of Macroeconomics, Vol. 7(4), pp. 493–508. https://doi.org/10.1016/0164-0704(85)90038-2
Franke, R. (2017). What output-capital ratio to adopt for macroeconomic calibrations? International Review of Applied Economics, Vol. 31(2), pp. 208–224. https://doi.org/10.1080/02692171.2016.1240153
Fontana, G. & Setterfield, M. (2009), Macroeconomic Theory and Macroeconomic Pedagogy, Hampshire, UK: Palgrave Macmillan https://doi.org/10.1007/978-0-230-29166-9_1
Kerr, W., & King R.G. (1996). Limits on interest rate rules in the IS Model. Federal Reserve Bank of Richmond Economic Quarterly, Vol. 82(2), pp. 47-75.
Klein, P. (2000). Using the generalized Schur form to solve a multivariate linear rational expectations model. Journal of Economic Dynamics & Control, Vol. 24(10), pp. 1405-1423. http://dx.doi.org/10.1016/S0165-1889(99)00045-7
Koenig, E.F. (1993a). Rethinking the IS in IS–LM: Adapting Keynesian tools to non-Keynesian economies, part 1. Economic Review, Federal Reserve Bank of Dallas, Third Quarter, September, pp. 33–49. https://www.dallasfed.org/~/media/documents/research/er/1993/er9303c.pdf
Koenig, E.F. (1993b). Rethinking the IS in IS–LM: Adapting Keynesian tools to non-Keynesian economies, part 2. Economic Review, Federal Reserve Bank of Dallas, Fourth Quarter, pp. 17–35. https://www.dallasfed.org/~/media/documents/research/er/1993/er9304b.pdf
Kydland, F., & Prescott, E. (1982). Time to Build and Aggregate Fluctuations. Econometrica, Vol. 50(6), 1345-1370. http://dx.doi.org/10.2307/1913386
Long, J., & Plosser, C. (1983). Real Business Cycles. Journal of Political Economy, Vol. 91(1), pp. 39-69. https://doi.org/10.1086/261128
Lizarazu, E. (2014). La política monetaria en la macroeconomía neokeynesiana. Economía Teoría y Práctica, no. 40, enero-junio, pp. 29-59. https://doi.org/10.24275/ETYPUAM/NE/402014/Lizarazu
Mankiw, G. (2014). Macroeconomía (Octava Edición). Barcelona, España: Antoni Bosch
McCallum, B., & Nelson, E. (1999). An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis. Journal of Money, Credit and Banking, Vol. 31(3), pp. 296-316. https://doi.org/10.2307/2601113
Nelson E. (2008). IS-LM, in Modern Macro. Palgrave Macmillan (eds), The New Palgrave Dictionary of Economics. London: Palgrave Macmillan. https://doi.org/10.1057/978-1-349-95121-5_1949-1
Poutineau, J.C. Sobczak, K, & Vermandel G. (2015). The analytics of the New Keynesian 3-equation Model. Economics and Business Economics and Business Review, Vol. 15(2), pp. 110-129. https://doi.org/10.18559/ebr.2015.2.6
Romer, D. (2000). Keynesian Macroeconomics without the LM Curve. Journal of Economic Perspectives, vol.14(2), pp. 149-169. http://dx.doi.org/10.1257/jep.14.2.149
Sargent, T. (1991). Equilibrium with Signal Extraction from Endogenous Variables. Journal of Economic Dynamics and Control, Vol. 15(2), pp. 245-273. https://doi.org/10.1016/0165-1889(91)90012-P
Snowdon, B. & Vane, H. (2005). Modern Macroeconomics: Its Origins, Development and Current State, Cheltenham, UK: Edward Elgar
Torres, J.L. (2015). Introduction to Dynamic Macroeconomic General Equilibrium Models (2th Edition). Wilmington: Vernon Press.
Walsh, C. (2003). Monetary Theory. Cambridge, USA: The MIT Press.
Weintraub, S.H. (2009). Jordan Canonical Form: Theory and Practice. Williston, USA: Morgan & Claypool Publishers. https://doi.org/10.2200/S00218ED1V01Y200908MAS006
Wickens, M. (2012). Macroeconomic Theory: A Dynamic General Equilibrium Approach, (Second Edition). Princeton, USA: Princeton University Press.
Williamson, S.D. (2018). Macroeconomics (6th Edition). Harlow, UK: Pearson Education Limited.
Woodford, M. (2003). Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton, NJ: Princeton University Press.
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Publicado
2021-05-03
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Alanez, E. L. (2021). Solución numérica de un modelo neokeynesiano mediante los métodos Blanchard-Khan (1980) y Klein (2000). Análisis Económico, 36(92), 85–108. Recuperado a partir de https://analisiseconomico.azc.uam.mx/index.php/rae/article/view/526
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