Flaschel / Groh / Proano Topics in Applied Macrodynamic Theory

1. Auflage 2008
ISBN: 978-3-540-72542-8
Verlag: Springer-Verlag
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 523 Seiten

This insightful book presents topics in applied dynamic macrotheory for closed and open economies. The authors give an advanced treatment of macroeconomic topics such as the Phillips curve, forward and backward looking behavior, open economy macrodynamics, structural macroeconometric model building as well as the empirics of Keynesian oriented macro models. The dynamics of open economies in the context of interacting two country models are treated as well.

Autoren/Hrsg.

Flaschel, Peter

Groh, Gangolf

Proano, Christian

Semmler, Willi

Inhaltsverzeichnis

1;Period Models, Continuous Time and Applied Macrodynamics;20
1.1;Introduction;20
1.2;The J2-Status of Macrodynamic Period Analysis;21
1.3;1D Equivalence: The Solow Model;28
1.4;2D Monetarist Baseline Analysis. Chaotic Attractors?;34
1.5;4D Complex Keynesian Macrodynamics;40
1.6;Concluding Remarks;44
1.7;Appendix A: Indeterminacy for Large Periods h;44
2;References;50
3;Part I The Closed Economy;52
3.1;The AS--AD Framework: Origins, Problems and Progress;53
3.1.1;Introduction;53
3.1.2;Traditional AS--AD with Myopic Perfect Foresight. Classical Solutions in a Keynesian Setup?;57
3.1.3;New Keynesian AS--AD Dynamics with Staggered Wage and Price Setting;62
3.1.4;Matured Keynesian AD--AS Analysis: A Baseline Model;68
3.1.5;Feedback-Guided Local Stability Investigation;77
3.1.6;Wage Share Error Corrections and Interest Rate Policy Rules;82
3.1.7;Downward Nominal Wage Rigidities;86
3.1.8;Conclusion;92
3.1.9;Appendix A: Rigorous Stability Analysis (Interest Rate Policy Case);92
3.2;References;105
3.3;Wage--Price Dynamics: Basic Structural Form, Estimation and Analysis;108
3.3.1;Introduction;108
3.3.1.1;The Phillips Curve(s);108
3.3.1.2;Basic Macro Feedback Chains. A Reconsideration;110
3.3.1.3;Outline of the Chapter;115
3.3.2;A Model of the Wage--Price Spiral;116
3.3.2.1;The Wage--Price Spiral;116
3.3.2.2;Technology;118
3.3.2.3;Aggregate Goods Demand;119
3.3.2.4;The Laws of Motion;120
3.3.2.5;The Effective Demand Function;122
3.3.2.6;Stability Issues;123
3.3.3;Estimating the U.S. Wage--Price Spiral;126
3.3.3.1;Data;127
3.3.3.2;The Money-Wage Phillips Curve;128
3.3.3.3;The Price Phillips Curve;131
3.3.3.4;System Results;133
3.3.3.5;Are There Adverse Rose Effects?;134
3.3.4;Wage Flexibility, Instability and an Extended Interest Rate Rule;136
3.3.4.1;Instability Due to an Unmatched Rose Effect;136
3.3.4.2;Stability from Blanchard--Katz Type ``Error Correction'';137
3.3.4.3;Stability from an Augmented Taylor Rule;138
3.3.5;Conclusions;139
3.3.6;Appendix A;139
3.3.6.1;The Sectoral Budget Equations of the Model;108
3.3.6.2;Wage Dynamics: Theoretical Foundation;110
3.3.6.3;Price Dynamics: Theoretical Foundation;115
3.3.6.4;Routh--Hurwitz Stability Conditions and Hopf Bifurcations;145
3.3.6.5;Proofs of Propositions 3.2--3.7;146
3.4;References;150
3.5;Estimation and Analysis of an Extended AD--AS Model;154
3.5.1;Introduction;154
3.5.2;Structural Models of the Wage--Price Spiral;157
3.5.3;New Keynesian Phillips Curves and the Wage--Price Spiral: A Brief Comparison;162
3.5.4;Real-Wage Dynamics: The Critical Stability Condition;168
3.5.5;Estimating the Wage--Price Spiral for the U.S. Economy;170
3.5.5.1;Data Description;171
3.5.5.2;Estimation Results;174
3.5.6;Keynesian Macrodynamics: Empirical Reformulation of a Baseline Model;178
3.5.7;5D Feedback-Guided Stability Analysis;186
3.5.8;Estimating the Model;192
3.5.8.1;Data Description;195
3.5.8.2;Estimation of the Unrestricted VAR;196
3.5.8.3;Estimation of the Structural Model;198
3.5.9;Stability Analysis of the Estimated Model;204
3.5.10;Instability, Global Boundedness and Monetary Policy;213
3.5.11;Conclusions and Outlook;223
3.6;References;226
3.7;Linking Goods with Labor Markets: Okun's Law and Beyond;230
3.7.1;Introduction;230
3.7.2;Foundations for Regressions with Time-Varying Coefficients;233
3.7.2.1;The Random Walk Approach;234
3.7.2.2;Deterministic Spline Functions of the Coefficients;239
3.7.2.3;A Comparison of the Stochastic and Deterministic Approach;241
3.7.3;Okun's Law and the Natural Rate of Unemployment;246
3.7.3.1;The Problem of Detrending;247
3.7.3.2;Deriving the Natural Rate of Unemployment from the Data;255
3.7.4;Okun's Law as a Time-Varying Statistical Regularity;261
3.7.4.1;Different Specifications of the Relationship;261
3.7.4.2;Time Variations in the Okun Coefficient;263
3.7.4.3;Comovements of the Components of Output and Employment;270
3.7.5;A Model of a Simple Recruitment Policy of Firms;276
3.7.6;Gradual Adjustments of Hours and Employment;279
3.7.6.1;Theoretical Framework;279
3.7.6.2;Estimation;286
3.7.7;Conclusion;296
3.8;References;298
4;Part II The Open Economy;301
4.1;Exchange Rate and Stock Market Dynamics in a Two-Country Model;302
4.1.1;Introduction;302
4.1.2;The Dornbusch Exchange-Rate Dynamics;305
4.1.3;Symmetric Two-Country Exchange Rate Dynamics;307
4.1.4;The Blanchard Stock-Market Dynamics;318
4.1.5;Interacting Blanchard Stock Market and Dornbusch Exchange Rate Dynamics: A Two-Country Framework;320
4.1.6;A Model-Oriented Reformulation of the Taylor Interest Rate Rule;322
4.1.7;Symmetric Countries: Stability Analysis;325
4.1.7.1;The Average Economy;325
4.1.7.2;The Difference Economy;326
4.1.7.3;Summary;327
4.1.8;Dornbusch Inflation Dynamics;327
4.1.9;Outlook: Imperfect Capital Markets;330
4.2;References;333
4.3;Macroeconomic Imbalances and Inflation Dynamics in a Mundell-Fleming-Tobin Framework;335
4.3.1;Introduction;335
4.3.2;The General Framework;337
4.3.2.1;Budget Equations and Saving/Financing Decisions;338
4.3.2.2;Real Disposable Income and Wealth Expressions;339
4.3.2.3;Temporary Equilibrium: Output, Interest and Exchange Rate Determination;341
4.3.2.4;Dynamics and the Steady State of the Economy;344
4.3.2.5;Local Stability Analysis;348
4.3.2.6;Real Twin Deficit Accumulation and Inflation Dynamics;349
4.3.3;Capital Account and Inflation Dynamics under Interest and Currency Pegs;352
4.3.3.1;Assumptions;352
4.3.3.2;The Model;353
4.3.3.3;Steady State Determination;354
4.3.3.4;Stability Analysis;355
4.3.3.5;Twin Deficit or Surplus Accumulation;359
4.3.4;Overshooting Exchange Rates and Inflation Dynamics for Perfectly Flexible Exchange Rate Regimes;359
4.3.4.1;Equilibrium Conditions;360
4.3.4.2;Dynamics and Steady State Determination;361
4.3.4.3;Dornbusch (1976) Exchange Rate Dynamics;363
4.3.4.4;Capital Account and Budget Deficit Dynamics;366
4.3.5;International Capital Flows in the MFT Model;367
4.3.5.1;Budget Restrictions;367
4.3.5.2;Real Disposable Income and Wealth Accounting;369
4.3.5.3;The Four Laws of Motion of the MFT Open Economy with International Capital Flows;371
4.3.6;International Financial Dynamics: Some Basic Results;377
4.3.6.1;Inflation Dynamics and International Capital Flows under Interest and Exchange Rate Pegs;377
4.3.6.2;The Case of Flexible Exchange Rates;381
4.3.7;Conclusions;383
4.4;References;385
4.5;Currency Crises, Credit Rationing and Monetary Policy in Emerging Markets;386
4.5.1;Introduction;386
4.5.2;The General Framework;387
4.5.2.1;The Goods Markets;388
4.5.2.2;The Financial Markets;393
4.5.3;Dynamics under Fixed Prices and Flexible Exchange Rates;395
4.5.3.1;Local Stability Analysis;395
4.5.3.2;The Baseline Currency Crisis Scenario;397
4.5.4;Dynamics under Gradually Adjusting Prices in Fixed Currency Regimes;398
4.5.4.1;Local Stability Analysis;401
4.5.4.2;Dynamics with a Standard Phillips-Curve;403
4.5.4.3;Dynamics with a ``Kinked'' Phillips Curve;407
4.5.5;Dynamics under Gradually Adjusting Nominal Exchange Rates and Prices;408
4.5.5.1;The Case of Total Liability Dollarization =1;410
4.5.5.2;The Case of Partial Liability Dollarization 0<<1;413
4.5.5.3;Short Term Policy Responses and Medium Term Consequences: The Rules vs. Discretion Debate;416
4.5.6;Econometric Analysis;419
4.5.7;Concluding Remarks;424
4.6;References;426
4.7;Keynesian Dynamics and International Linkages in a Two-Country Model;429
4.7.1;Introduction;429
4.7.2;The Baseline Open-Economy Framework;430
4.7.2.1;The Goods and Labor Markets;431
4.7.2.2;The Wage-Price Dynamics;432
4.7.2.3;Monetary Policy;436
4.7.2.4;The Nominal Exchange Rate Dynamics;437
4.7.2.5;Local Stability Analysis: The Small-Open Economy Case;440
4.7.3;The Two-Country Framework: Estimation and Evaluation;444
4.7.3.1;Stylized Facts of Monetary Policy;447
4.7.3.2;Data Sources and Descriptive Statistics;448
4.7.3.3;Structural Estimation Results;451
4.7.3.4;Dynamic Adjustments;455
4.7.4;Eigen-Value-based Stability Analysis;457
4.7.5;Concluding Remarks;461
4.8;References;463
4.9;Outlook: Supply Constraints in Demand-Driven Macromodels;467
4.9.1;Introduction;467
4.9.2;A Non-Walrasian Model of Monetary Growth;470
4.9.3;From Non-Walrasian to Keynesian Modeling of Monetary Growth;476
4.9.4;Regime Switching in KMG Growth;482
4.9.4.1;Supply Bottlenecks with Positive Inventories;483
4.9.4.2;Exhausted Inventories and Excessive Aggregate Demand;497
4.9.4.3;Numerical Analysis;503
4.9.5;Summary;510
4.10;References;512
4.11;Mathematical Appendix: Some Useful Theorems;512
4.12;References;522