Creator: Christiano, Lawrence J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 415 Abstract:
his article studies the accuracy of two versions of Kydland and Prescott's (1980, 1982) procedure for approximating optimal decision rules in problems in which the objective fails to be quadratic and the constraints fail to be linear. The analysis is carried out using a version of the Brock-Mirman (1972) model of optimal economic growth. Although the model is not linear quadratic, its solution can nevertheless be computed with arbitrary accuracy using a variant of existing value-function iteration procedures. I find the Kydland-Prescott approximate decision rules are very similar to those implied by value-function iteration.
Replaced by IEM Discussion Paper #9 (January 1989).
关键词: Optimization, Decision rule, Production function, Markov chain, State space, and Growth model 学科: C40 - Econometric and statistical methods : Special topics - General
Creator: Altig, David, 1956-, Christiano, Lawrence J., Eichenbaum, Martin S., and Lindé, Jesper. Series: Joint commitee on business and financial analysis Abstract:
We report estimates of the dynamic effects of a technology shock, and then use these to estimate the parameters of a dynamic general equilibrium model with money. We find: (i) a positive technology shock drives up hours worked, consumption, investment and output; (ii) the positive response of hours worked reflects that the Fed has in practice accommodated technology shocks; (iii) model parameter values and functional forms that match the response of macroeconomic variables to monetary policy shocks also work well for technology shocks; (iv) while technology shocks account for a large fraction of the lower frequency component of economic fluctuations, they account for only a small part of the business cycle component of fluctuations.
Preliminary and incomplete
关键词: Consumption, Technology, General equilibrium model, Shocks, and Fluctuations 学科: D58 - General equilibrium and disequilibrium - Computable and other applied general equilibrium models and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles