Advances in Business Cycle Research: With Application to the French and Us Economies

ISBN-13: 9783540592297 / Angielski / Twarda / 1995 / 412 str.

Pierre-Yves Henin

Opis

This text presents a critical evaluation of the canonical RBC methods, new elements of empirical relevance and new specifications at the frontier of business cycle research, coping with non-walrasian features, contracts and nominal rigidities, unemployment and growth.

Spis treści

On the Theoretical Relevance and Empirical Validity of Augmented Real Business Cycle Models: An Introduction.- 1 Why to Consider Augmented Real Business Cycle Models?.- 2 Walrasian ARBC Models.- 3 Non Walrasian Models and Other Developments.- 4 Looking at the Future : Beyond ARBC Models.- I Advances into RBC Framework.- 1 Presentation and Evaluation of the Real Business Cycles Approach.- 1.1 Presentation of the Canonical RBC Model.- 1.1.1 Exposition of the Model.- 1.1.2 The Resolution Method.- 1.1.3 The Economic Mechanisms at the Heart of RBC Models.- 1.2 The Evaluation of RBC Approach.- 1.2.1 The Stylized Facts of the French and US Fluctuations.- 1.2.2 Calibration.- 1.2.3 Cyclical Properties of the Model.- 1.3 Concluding Comments.- 1.4 Appendix : Solving the Linear System.- 2 A RBC Model for Explaining Cyclical Labor Market Features.- 2.1 Productivity, Labor Productivity and Business Cycle.- 2.1.1 The Solow Residual in RBC Models.- 2.1.2 Labor Productivity Cycle : a Stylized Fact.- 2.2 The Model.- 2.2.1 The Firms.- 2.2.2 The Households.- 2.2.3 The Government.- 2.2.4 The Planner’s Decision Rules.- 2.3 Solution Method and Calibration.- 2.4 Impulse Response Functions for Technological and Government Spending Shocks.- 2.4.1 Technological Shocks.- 2.4.2 Government Spending Shock.- 2.5 Simulation Results.- 2.5.1 The USA.- 2.5.2 France.- 2.5.3 Conclusion of the Quantitative Analysis.- 2.6 Concluding Comments.- 2.7 Appendix.- 3 Cash-In-Advance Constraint and the Business Cycle.- 3.1 The Model.- 3.1.1 The Neoclassical Growth Model with Cash-In-Advance.- 3.1.2 How to Solve the Model?.- 3.2 Dynamic Features of the Cash-In-Advance Constraint Model.- 3.2.1 Transitional Dynamics.- 3.2.2 Instantaneous Responses to a Technological Shock.- 3.2.3 Instantaneous Responses to a Monetary Shock.- 3.3 Can a Cash-In-Advance Constraint Account for the Role of Monetary Shocks in the Business Cycle?.- 3.3.1 Simulation Method and Calibration Issues.- 3.3.2 The Specific Role of Monetary Shocks in Cash-In-Advance Models.- 3.3.3 Monetary Shocks and Cash-In-Advance Constraint: a Counter-Factual Impulsion-Propagation Scheme.- 3.4 Concluding Comments.- 3.5 Appendix.- 4 The International Transmission of Real Business Cycles.- 4.1 A One-Sector, Two-Country Model.- 4.1.1 Preferences.- 4.1.2 Technology.- 4.1.3 Constraints.- 4.1.4 Model Resolution.- 4.2 Impulse Response to Productivity and Government Spending Shocks.- 4.2.1 Effects of Productivity Shock.- 4.2.2 Effects of Government Spending Shock.- 4.3 Model Predictions and International Business Cycles.- 4.3.1 The Stylized Facts.- 4.3.2 Model Predictions.- 4.4 Concluding Comments.- 4.5 Appendix.- 5 A Small Open Economy RBC Model: the French Economy Case.- 5.1 The RBC Model of the French Economy.- 5.1.1 Technology and Preferences.- 5.1.2 Optimal Behavior of Households and Firms.- 5.1.3 Competitive Equilibrium of the Economy.- 5.1.4 Stationarization and Linearization of the Model.- 5.2 Two Exercises of Model Validation.- 5.2.1 Parameter Calibration of the Benchmark Model.- 5.2.2 Traditional Validation by Moment Comparison.- 5.2.3 Impulse Response Functions of the RBC and VAR Models.- 5.3 Concluding Comments.- II Advances beyond RBC Framework.- 6 Nominal Rigidities and Monopolistic Competition: A New-Keynesian View.- 6.1 The Model.- 6.1.1 A Monopolistic Competition Model with Money in the Utility Function.- 6.1.2 Definition and Resolution of the Equilibrium.- 6.2 Monetary Disturbances and Business Cycle in France and the United States.- 6.2.1 Parameter Calibration.- 6.2.2 Estimation of the Exogenous Shocks Processes.- 6.2.3 The Effect of Monetary Shocks, Monopolistic Competition and Price Stickiness.- 6.2.4 The Effect of Increasing Returns.- 6.2.5 The Model and the Business Cycle on US and French Data.- 6.2.6 Impulse Responses to Technological and Monetary Shocks.- 6.3 Concluding Comments.- 6.4 Appendix.- 7 Nominal Wage Contracts and the Short-Run Dynamics of Real Wages.- 7.1 The Model.- 7.1.1 The Economic Environment.- 7.1.2 The Competitive Equilibrium of the Economy without Wage Contracts.- 7.1.3 The Equilibrium with Nominal Wage Contracts.- 7.2 The Mechanisms of the Model.- 7.2.1 Calibration.- 7.2.2 The Walrasian Model with Interrelated Adjustment Costs.- 7.2.3 The Model with Interrelated Adjustment Costs and Contracts.- 7.3 Validation.- 7.3.1 The Stylized Facts.- 7.3.2 Does the Model Match the Data?.- 7.3.3 Nominal Shocks and Short-Run Dynamics of Real Wages.- 8 Unemployment and Business Cycle : a General Equilibrium Matching Model.- 8.1 The Model.- 8.1.1 The Labor Market.- 8.1.2 The Firm.- 8.1.3 The Household.- 8.2 The Symmetric General Equilibrium.- 8.2.1 The Wage Bargaining Process and the Search Intensity Decision.- 8.2.2 Rational Expectations Equilibrium.- 8.2.3 Resolution Method.- 8.3 Results.- 8.3.1 Impulse Response Functions.- 8.3.2 Does the Model Match the U.S. Business Cycle?.- 8.3.3 Does the Model Match the French Business Cycle?.- 8.4 Concluding Comments.- 9 Business Cycle and Endogenous Growth : Learning by Doing versus Rationalizing.- 9.1 Presentation of the Model.- 9.1.1 The Households.- 9.1.2 The Government Expenditures.- 9.1.3 The Firms.- 9.1.4 Accumulation Processes.- 9.2 Solving the Model.- 9.2.1 The Representative Firm Problem.- 9.2.2 The Household Problem.- 9.2.3 The Competitive Equilibrium.- 9.2.4 Simulation Methodology.- 9.3 Analysis of the Dynamics.- 9.3.1 Transitional Dynamics.- 9.3.2 Responses to Stochastic Shocks.- 9.4 Cyclical Implications of the Sign of Persistence.- 9.4.1 Stochastic Simulation Methodology.- 9.4.2 Simulation Results.- 9.5 Concluding Comments.- 9.6 Appendix.- 10 Statistical Evaluation of the RBC Model.- 10.1 The Canonical Real Business Cycle Model.- 10.1.1 The Model.- 10.1.2 Solution Method.- 10.2 Estimation Method, Testing and Stochastic Simulation.- 10.2.1 Implementing the Generalized Method of Moments.- 10.2.2 Testing.- 10.2.3 Parameter Uncertainty and Stochastic Simulations.- 10.3 Empirical Results.- 10.3.1 Estimation of the Structural Parameters ?1.- 10.3.2 Statistical Tests of the RBC Propositions.- 10.4 Concluding Comments.- 10.5 Appendix.