Quantitative International Business Cycle Models with Friction

具有摩擦力的定量国际经济周期模型

• 批准号: 9618304
• 负责人: Patrick Kehoe
• 金额: $ 24.08万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1997
• 资助国家: 美国
• 起止时间: 1997-08-01 至 2003-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9618304&HistoricalAwards=false
• 关键词: Quantitative; International; Business; Cycle; Models

The first generation of quantitative equilibrium models of international fluctuations document that the standard complete markets models with fluctuations driven solely by technology have a hard time accounting for many of the observed features of the data. This research consists of three projects which model specific fractions and assesses their ability to better account for the observations. The first project introduces sticky prices and monopolists who price to market internationally. It is motivated by the early observations that nominal and real exchange rates are both highly volatile compared to domestic price indices and by the more recent work which documents large deviations from the law of one price for traded goods. The model blends together the real business cycle models in which all fluctuations are driven by real technology shocks with the sticky price literature in which fluctuations are driven primarily by monetary shocks. The second project introduces a friction in international credit markets. The standard model has perfect international credit markets, and it generates cross country correlations of consumption that are much higher than in the data and cross correlations of output that are much lower than in the data together. This project introduces a friction in international credit markets and assess if it can quantitatively help to account for these anomalies. The third project is motivated by the evidence that the movements in nominal exchange rates have been much larger than the movements in inflation, money growth, or interest rate differentials across countries. This project analyses the potential for a plausibly parameterized version of a model with segmented asset markets to produce these features of the data. The model is based on the idea that agents differ in the level of their participation in asset markets.

第一代国际波动的定量均衡模型证明，标准的完全市场模型，仅由技术驱动的波动，很难解释许多观察到的数据特征。这项研究由三个项目组成，它们对特定的分数进行建模，并评估它们更好地解释观察结果的能力。 第一个项目介绍了粘性价格和国际市场定价的竞争者。它的动机是早期的观察，即名义和真实的汇率与国内价格指数相比都是高度波动的，以及最近的工作，其中记录了对贸易货物的一价定律的巨大偏离。该模型融合了真实的商业周期模型，其中所有的波动都是由真实的技术冲击与粘性价格文献，其中波动主要是由货币冲击驱动。 第二个项目引起了国际信贷市场的摩擦。标准模型有完美的国际信贷市场，它产生的消费的跨国相关性比数据中的要高得多，产出的互相关性比数据中的要低得多。这个项目介绍了国际信贷市场的摩擦，并评估它是否可以定量地帮助解释这些异常。 第三个项目的动机是，有证据表明，名义汇率的变动远远大于通货膨胀、货币增长或各国利率差异的变动。该项目分析了一个具有分段资产市场的模型的可扩展参数化版本的潜力，以产生数据的这些特征。该模型是基于这样的想法，即代理人在资产市场的参与程度不同。