高级宏观经济学讲义,经济学诺贝尔奖得主萨金特(Sargent)版本,北京大学版lecture7

April 14, 2013
should thank Gianluca Violante and Fabrizio Perri for sharing their lecture notes. All the errors are my own. Email: zhaobo@.
1I
I
I
I
Hodrick, R. and Prescott, E. (1997). Post-war U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1), 1-16. Marianne Baxter and Robert G. King, Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series. Review of Economics and Statistics, 1999, 81(4), 575-593.
Figure 2: Percentage Deviations from Trend in Real GDP 1947-2006
Regularities in GDP Fluctuations
I I
Macroeconomic Theory II B. Zhao
How to compute percentage deviations from trend? First compute the nature logarithm of GDP (Investment, Exports/Imports, Government Purchases etc.) Then apply the Hodrick-Prescott …lter or band-pass …lters to decompose the time series into trend and deviations from trend (also called cyclical parts/detrended data). Reference
I
I
Outline
I
Macroeconomic Theory II B. Zhao
However, the Neoclassical Growth model has its own limitations. There are two main topics in macroeconomics: growth and business cycles. The model is designed to explain the growth patterns but work poorly on the business cycles. Without policy changes, the economy converge to the steady states with exogenous growth rate determined by population growth rate or exogenous technology progress. With …scal shocks/government expenditure shocks, the model economy converges to the steady state in …nite time until a new …scal shock/government expenditure shock kicks in. After the economy reaches the steady state, its output per capita grows at a constant rate.
I
I
Outline
I
Macroeconomic Theory II B. Zhao Road Map
Today’ s objective is to introduce productivity risks to the Neoclassical Growth model. This is the so-called the Real Business Cycle model. It was introduced by Finn E. Kydland and Edward C. Prescott in their seminal 1982 work, Time to Build And Aggregate Fluctuations. They believe the stochastic TFP shocks (Solow residuals) not only explain the long-run growth but also cause the short-run ‡uctuations. They are awarded the Nobel prize for their contribution to Dynamic Macroeconomics: the time consistency of economic policy and the driving forces behind business cycles.
The Real Business Cycle Model
Stylized Facts About Business Cycles The Driving Forces Behind the Business Cycles The Model Setup Solve The Model Model Performance
Macroeconomic Theory II B. Zhao Road Map
Macroeconomic Theory II
Lecture 7 Zhao Bo1
CCER, PKU
The Real Business Cycle Model
Stylized Facts About Business Cycles The Driving Forces Behind the Business Cycles The Model Setup Solve The Model Model Performance
I
Road Map The Real Business Cycle Model
Stylized Facts About Business Cycles The Driving Forces Behind the Business Cycles The Model Setup Solve The Model Model Performance
Regularities in GDP Fluctuations
Several Observations from the previous graph 1. The ‡uctuations in real GDP about trend are quite choppy 2. There is no regularity in the amplitude of ‡uctuations in real GDP about trend 3. There is no regularity in the frequency of ‡uctuations in real GDP about trend 4. The deviations from trend the real GDP are persistent. When real GDP is above/below trend, it tends to stay above/below trend.
I
I
I
ห้องสมุดไป่ตู้
Business Cycle
I I I
Macroeconomic Theory II B. Zhao
Business Cycles: ‡uctuations about trend in real GDP Peak: the relatively large positive deviation from trend Troughs: the relatively large negative deviation from trend
Road Map The Real Business Cycle Model
Stylized Facts About Business Cycles The Driving Forces Behind the Business Cycles The Model Setup Solve The Model Model Performance
Road Map The Real Business Cycle Model
Stylized Facts About Business Cycles The Driving Forces Behind the Business Cycles The Model Setup Solve The Model Model Performance
Road Map The Real Business Cycle Model
Stylized Facts About Business Cycles The Driving Forces Behind the Business Cycles The Model Setup Solve The Model Model Performance
Figure 1: Idealized Business Cycles
Regularities in GDP Fluctuations
Macroeconomic Theory II B. Zhao Road Map The Real Business Cycle Model
Stylized Facts About Business Cycles The Driving Forces Behind the Business Cycles The Model Setup Solve The Model Model Performance