International Linkages of Business Cycles

这个项目的目的是调查市场心理的变化是否可以成为世界商业周期的另一个来源，即使代理人形成理性的预期。该模型基于两国货币模型，并有针对具体国家的预付现金限制。我们假设经济波动的国际传导并不大。然后，我们研究了这两个国家的货币模型的动态属性，并探讨了外部（非基本面）冲击对世界商业周期的影响。在下面的两国模型中，生产率冲击总是对国内产出产生强烈的积极影响。然而，在合理的参数下，生产力冲击的国际传递很小。因此，除非生产力冲击在各国之间高度相关，否则国家1的产出基本价值不可能与国家2的产出基本价值有很强的相关性。然而，当我们研究这个货币模型的动态性质时，我们发现，无论是当效用函数的相对风险厌恶程度较大时，还是当生产中的正外部效应较大时，都存在稳定的太阳黑子均衡。在这两种情况下，固定的太阳黑子平衡更可能是世界总产出的结果，而不是国家特定的产出。这是因为国内未来产出预期的提高对国内和国外的经常产出都产生了积极影响。然而，即使国际联系很小，外部的不确定性往往会造成商业周期的强烈同步。

The purpose of this project was to investigate whether changes in market psychology can be another source of world business cycles even if agents form rational expectations. The model was based on a two-country monetary model with country-specific cash-in-advance constraints. We assumed that international transmission of economic fluctuations was not large. We then investigated the dynamic property of this two country monetary model and explored the implications of extraneous (non-fundamental) shocks for world business cycles. In the following two-country model, productivity shocks always had strong positive impacts on the domestic output. However, international transmissions of the productivity shocks were small under reasonable parameters. Therefore, unless productivity shocks were highly correlated across countries, it was unlikely that the fundamental value of output in country 1 had a strong correlation with that in country 2. However, when we investigated the dynamic property of this monetary model, we found that there existed stationary sunspot equilibria either when the relative risk aversion of the utility function was large or when positive external effects in production were large. In both cases, stationary sunspot equilibria were more likely outcome for the world aggregate output than for country-specific output. This was because a raise of the expected future domestic output had a positive impact on both domestic and foreign current outputs. However, even the international linkage was small, extraneous uncertainty tended to cause strong synchronization of business cycles.