A toolbox for the numerical study of linear dynamic rational expectations models

Autores
Oviedo, Pedro Marcelo
Año de publicación
2005
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
Se presenta una guía para resolver y estudiar modelos de expectativas racionales dinámicas lineales (LDRE). Luego de codificar el modelo, se aplica una function simple para log-linealizarlo; simular los efectos de series exógenas de shocks; calcular condiciones de momentos muestrales y poblacionales; y obtener funciones de impulso-respuesta. Se resuelven y estudian detalladamente tres modelos clásicos en la literatura de Real-Business-Cycles, Brock and Mirman ("LDRE Toolbox" of Matlab functionsOptimal Growth and Uncertainty: the Discounted Case, Journal of Economic Theory 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, Journal of Monetary Economics 21: 195-232; 1988); y Mendoza (Real Business Cycles in a Small Open Economy, American Economic Review 81(4): 797-818; 1991).
By simplifying the computational tasks and by providing step-by-step explanations of the procedures required to study a linear dynamic rational expectations (LDRE) model, this paper and the accompanying "LDRE Toolbox" of Matlab functions guide a researcher with almost no experience in computational work to resolve and study his own model. After coding the model following specific guidelines, a single function call is all that is needed to log-linearize the model; simulate it under exogenous sequences of shocks; compute sample and population moment conditional models in the Real-Business-Cycles literature are solved and studied throughout to give detailed examples of the steps involved in solving and studying LDRE models using the LDRE Toolbox. Namely, the economies in Brock and Mirman (Optimal Growth and Uncertainty: the Discounted Case, Journal of Economic Theory 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, Journal of Monetary Economics 21: 195-232; 1988); and Mendoza (Real Business Cycles in a Small Open Economy, American Economic Review 81(4): 797-818; 1991).
Instituto de Investigaciones Económicas
Materia
Ciencias Económicas
metodología informática
fluctuación económica
JEL: C63, C68, E32, F41
ciclo económico
economía
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by-nc-nd/3.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/9216
Acceder
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oai_identifier_str oai:sedici.unlp.edu.ar:10915/9216
network_acronym_str SEDICI
repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling A toolbox for the numerical study of linear dynamic rational expectations modelsOviedo, Pedro MarceloCiencias Económicasmetodología informáticafluctuación económicaJEL: C63, C68, E32, F41ciclo económicoeconomíaSe presenta una guía para resolver y estudiar modelos de expectativas racionales dinámicas lineales (LDRE). Luego de codificar el modelo, se aplica una function simple para log-linealizarlo; simular los efectos de series exógenas de shocks; calcular condiciones de momentos muestrales y poblacionales; y obtener funciones de impulso-respuesta. Se resuelven y estudian detalladamente tres modelos clásicos en la literatura de Real-Business-Cycles, Brock and Mirman ("LDRE Toolbox" of Matlab functionsOptimal Growth and Uncertainty: the Discounted Case, <i>Journal of Economic Theory</i> 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, <i>Journal of Monetary Economics</i> 21: 195-232; 1988); y Mendoza (Real Business Cycles in a Small Open Economy, <i>American Economic Review</i> 81(4): 797-818; 1991).By simplifying the computational tasks and by providing step-by-step explanations of the procedures required to study a linear dynamic rational expectations (LDRE) model, this paper and the accompanying "LDRE Toolbox" of Matlab functions guide a researcher with almost no experience in computational work to resolve and study his own model. After coding the model following specific guidelines, a single function call is all that is needed to log-linearize the model; simulate it under exogenous sequences of shocks; compute sample and population moment conditional models in the Real-Business-Cycles literature are solved and studied throughout to give detailed examples of the steps involved in solving and studying LDRE models using the LDRE Toolbox. Namely, the economies in Brock and Mirman (Optimal Growth and Uncertainty: the Discounted Case, <i>Journal of Economic Theory</i> 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, <i>Journal of Monetary Economics</i> 21: 195-232; 1988); and Mendoza (Real Business Cycles in a Small Open Economy, <i>American Economic Review</i> 81(4): 797-818; 1991).Instituto de Investigaciones Económicas2005-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdf91-136http://sedici.unlp.edu.ar/handle/10915/9216enginfo:eu-repo/semantics/altIdentifier/issn/0013-0419info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/3.0/Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported (CC BY-NC-ND 3.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T10:50:35Zoai:sedici.unlp.edu.ar:10915/9216Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 10:50:35.601SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv A toolbox for the numerical study of linear dynamic rational expectations models
title A toolbox for the numerical study of linear dynamic rational expectations models
spellingShingle A toolbox for the numerical study of linear dynamic rational expectations models
Oviedo, Pedro Marcelo
Ciencias Económicas
metodología informática
fluctuación económica
JEL: C63, C68, E32, F41
ciclo económico
economía
title_short A toolbox for the numerical study of linear dynamic rational expectations models
title_full A toolbox for the numerical study of linear dynamic rational expectations models
title_fullStr A toolbox for the numerical study of linear dynamic rational expectations models
title_full_unstemmed A toolbox for the numerical study of linear dynamic rational expectations models
title_sort A toolbox for the numerical study of linear dynamic rational expectations models
dc.creator.none.fl_str_mv Oviedo, Pedro Marcelo
author Oviedo, Pedro Marcelo
author_facet Oviedo, Pedro Marcelo
author_role author
dc.subject.none.fl_str_mv Ciencias Económicas
metodología informática
fluctuación económica
JEL: C63, C68, E32, F41
ciclo económico
economía
topic Ciencias Económicas
metodología informática
fluctuación económica
JEL: C63, C68, E32, F41
ciclo económico
economía
dc.description.none.fl_txt_mv Se presenta una guía para resolver y estudiar modelos de expectativas racionales dinámicas lineales (LDRE). Luego de codificar el modelo, se aplica una function simple para log-linealizarlo; simular los efectos de series exógenas de shocks; calcular condiciones de momentos muestrales y poblacionales; y obtener funciones de impulso-respuesta. Se resuelven y estudian detalladamente tres modelos clásicos en la literatura de Real-Business-Cycles, Brock and Mirman ("LDRE Toolbox" of Matlab functionsOptimal Growth and Uncertainty: the Discounted Case, <i>Journal of Economic Theory</i> 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, <i>Journal of Monetary Economics</i> 21: 195-232; 1988); y Mendoza (Real Business Cycles in a Small Open Economy, <i>American Economic Review</i> 81(4): 797-818; 1991).
By simplifying the computational tasks and by providing step-by-step explanations of the procedures required to study a linear dynamic rational expectations (LDRE) model, this paper and the accompanying "LDRE Toolbox" of Matlab functions guide a researcher with almost no experience in computational work to resolve and study his own model. After coding the model following specific guidelines, a single function call is all that is needed to log-linearize the model; simulate it under exogenous sequences of shocks; compute sample and population moment conditional models in the Real-Business-Cycles literature are solved and studied throughout to give detailed examples of the steps involved in solving and studying LDRE models using the LDRE Toolbox. Namely, the economies in Brock and Mirman (Optimal Growth and Uncertainty: the Discounted Case, <i>Journal of Economic Theory</i> 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, <i>Journal of Monetary Economics</i> 21: 195-232; 1988); and Mendoza (Real Business Cycles in a Small Open Economy, <i>American Economic Review</i> 81(4): 797-818; 1991).
Instituto de Investigaciones Económicas
description Se presenta una guía para resolver y estudiar modelos de expectativas racionales dinámicas lineales (LDRE). Luego de codificar el modelo, se aplica una function simple para log-linealizarlo; simular los efectos de series exógenas de shocks; calcular condiciones de momentos muestrales y poblacionales; y obtener funciones de impulso-respuesta. Se resuelven y estudian detalladamente tres modelos clásicos en la literatura de Real-Business-Cycles, Brock and Mirman ("LDRE Toolbox" of Matlab functionsOptimal Growth and Uncertainty: the Discounted Case, <i>Journal of Economic Theory</i> 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, <i>Journal of Monetary Economics</i> 21: 195-232; 1988); y Mendoza (Real Business Cycles in a Small Open Economy, <i>American Economic Review</i> 81(4): 797-818; 1991).
publishDate 2005
dc.date.none.fl_str_mv 2005-12
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articulo
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/9216
url http://sedici.unlp.edu.ar/handle/10915/9216
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/issn/0013-0419
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/3.0/
Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported (CC BY-NC-ND 3.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/3.0/
Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported (CC BY-NC-ND 3.0)
dc.format.none.fl_str_mv application/pdf
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instname:Universidad Nacional de La Plata
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reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
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