The new open economy macroeconomicsWord文档下载推荐.docx
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The new open economy macroeconomicsWord文档下载推荐.docx
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accepted20December1999
Availableonline19April2001.
Abstract
Sincethe1995publicationofObsteldandRogoff’sReduxmodel,therehasbeenanoutpouringofresearchonopen-economydynamicgeneralequilibriummodelsthatincorporateimperfectcompetitionandnominalrigidities.Thispaperoffersaninterimsurveyofthisrecentliterature.
AuthorKeywords:
Newopeneconomymacroeconomics;
Nominalrigidities;
Imperfectcompetition
JELclassificationcodes:
F3;
F4
ArticleOutline
1.Introduction
2.Exchangeratedynamicsredux
3.Nominalrigidities
3.1.Stickywages
3.2.Staggering
4.Marketsegmentationandpricingtomarket
4.1.Pricingtomarket
4.2.Translogpreferences
5.Preferencesandtechnology
5.1.Consumptionpreferences
5.2.Consumptionelasticityofmoneydemand
5.3.Consumption-leisurenon-separability
5.4.Addingcapital
5.5.Non-tradedgoodsandhomebias
6.Financialstructure
6.1.Financialmarketcompleteness
6.2.Tradingfrictions
7.Internationalpolicyinterdependence
8.Introducinguncertainty
9.Marketstructure
10.Thesmallopeneconomymodel
11.Empirics
11.1.Matchingunconditionalmoments
11.2.VARevidence
11.3.Otherevidence
11.4.Parameterestimation
12.Conclusions
Acknowledgements
References
Thisarticlesurveyssomerecenteffortstodevelopanewworkhorsemodelforopen-economymacroeconomicanalysis.1Theunifyingfeatureofthisemergingliteratureistheintroductionofnominalrigiditiesandmarketimperfectionsintoadynamicgeneralequilibriummodelwithwell-specifiedmicrofoundations.
Imperfectcompetition–whetherinproductorfactormarkets–isakeyingredientinthenewmodels.Onereasonisthat,incontrasttoperfectcompetition(underwhichagentsareprice-takers),monopolypowerpermitstheexplicitanalysisofpricingdecisions.Second,equilibriumpricessetabovemarginalcostrationalizedemand-determinedoutputintheshortrun,sincefirmsarenotlosingmoneyontheadditionalproduction.2Third,monopolypowermeansthatequilibriumproductionfallsbelowthesocialoptimum,whichisadistortionthatcanpotentiallybecorrectedbyactivistmonetarypolicyintervention.
Thisapproachoffersseveralattractions.Thepresentationofexplicitutilityandprofitmaximizationproblemsprovideswelcomeclarityandanalyticalrigor.Moreover,itallowstheresearchertoconductwelfareanalysis,therebylayingthegroundworkforcrediblepolicyevaluation.Allowingfornominalrigiditiesandmarketimperfectionsaltersthetransmissionmechanismforshocksandalsoprovidesamorepotentroleformonetarypolicy.Inthisway,byaddressingissuesofconcerntopolicymakers,onegoalofthisnewstrandofresearchistoprovideananalyticalframeworkthatisrelevantforpolicyanalysisandoffersasuperioralternativetotheMundell–Flemingmodelthatisstillwidelyemployedinpolicycirclesasatheoreticalreferencepoint.
Indescribingthefindingsofthisresearchprogram,Ifocusalmostexclusivelyontheanalysisofmonetaryshocks.Thisreflectstheemphasisintheliterature,fortheroleofnominalrigiditiesismoststarklyillustratedinthecaseofmonetaryshocksanditisthiskindofdisturbancethatflexible-pricemodelsareleastwell-equippedtohandle.
ObstfeldandRogoff(1995a)iscommonlyrecognizedasthecontributionthatlaunchedthisnewwaveofresearchandthispaperisreviewedinSection2below.AnimportantprecursorwasthepaperbySvenssonandvanWijnbergen(1989).Thispaperisamanifestoforsticky-pricemodelsthathavesolidmicrofoundationsandarefirmlyembeddedinanintertemporalsettingandmuchoftheanalyticstructureofthatpaperhasbeenadoptedinthemorerecentliterature.However,theseauthorsmodelledhomeandforeignoutputsasstochasticendowmentsandthesubsequentliteraturehasdevotedmuchmoreattentiontoendogenizingtheproductionsideoftheeconomy.Krugman(1995)alsosignalledmanyoftheresearchissueswhichhavereceivedattentioninthisnewliterature.
Finally,itshouldbenotedthattheresearchprogramdescribedhereisverymuchlinkedtodevelopmentsinclosed-economymacroeconomics.Thereisasensethatmacroeconomistsareconvergingonacommonmodellingframeworkthatintegratesimperfectcompetitionandnominalrigiditiesintodynamicgeneralequilibriummodels.Thisrecentdevelopmenthasbeenlabelled‘neomonetarism’byKimball(1995)andthe‘newneoclassicalsynthesis’byGoodfriendandKing(1997).
Therestofthepaperisorganizedasfollows.TheObstfeld–RogoffReduxmodelisbrieflyoutlinedinSection2.Section3reviewsalternativeapproachestomodellingnominalrigidity.TheimpactofmarketsegmentationandpricingtomarketbehaviorisdiscussedinSection4.WeturntothespecificationofpreferencesandtechnologyinSection5.Section6introducesvariationinfinancialstructure.TheanalysisofinternationalpolicyinterdependenceisreviewedinSection7.Section8discussestheoreticalframeworksthatexplicitlyallowforuncertaintyandSection9alternativeapproachestomodellingmarketstructure.SmallopeneconomymodelsarethesubjectofSection10.Section11reviewsthebodyofempiricalworkassociatedwiththisnewresearchprogram.Section12concludes.
AswasnotedintheIntroduction,ObstfeldandRogoff(1995a)effectivelyinitiatedthisnewresearchprogram.3Inthissection,webrieflyoutlinethemainfeaturesoftheirReduxmodel.Theysetupatwo-countrymodel.Eachcountryispopulatedbyacontinuumofyeoman-farmers(consumer-producers)thatproducedifferentiatedgoods([0,n]liveinthehomecountry;
(n,1]intheforeigncountry).Preferencesforindividualjinthehomecountryaregivenby4
(1)
whereσ,
>
0,μ>
1,0<
β<
1andCisaCESindexaggregatingacrossthedifferentiatedvarietiesoftheconsumptiongood
(2)
whereθistheelasticityofsubstitutionbetweenvarieties.Goods[0,n]areproduceddomesticallyand(n,1]overseas:
homeandforeigngoodsentersymmetricallyintopreferences.Thecorrespondingpriceindexis
(3)
Mt/Ptaretherealbalancesheldinperiodtandthelasttermin
(1)capturesthedisutilityofworkeffort.Thereisnocapitalinthemodel.Itfollowsfrom
(2)thateachconsumer-producerfacestheconstant-elasticitydemandcurveforhisoutput
(4)
whereCtwisaggregateglobalconsumption.Moneyisintroducedintotheeconomybythegovernment.Assumingzerogovernmentconsumption,therevenueearnedfrommoneycreationisreturnedintheformoftransfers(Tt<
0)
(5)
Agentshaveaccesstoaninternationalrisklessrealbondmarketattheconstantinterestrater.Thedynamicbudgetconstraintisgivenby
(6)PtBtj+Mtj=Pt(1+r)Bt−1j+Mt−1j+pt(z)yt(z)−PtCt−PtTtwhereBtjisagentj’sbondholdingenteringperiodt+1.
Homeandforeignindividualsareassumedtohaveidenticalpreferencesandtherearenobarrierstotradesuchthatthelawofonepriceholdsforeachgood.Theseassumptionsmeanthatpurchasingpowerparityholdsandtheconsumption-basedrealexchangerateisconstant.
Eachagentmustdecideheroptimalchoicesofconsumption,moneyholding,laborsupplyandsetheroptimaloutputprice.Pricesareassumedtobesetoneperiodinadvance,introducinganominalrigidityintothemodel.Thesolutiontechniqueistofirstsolveforasteadystateofthemodel.Tostudythedynamiceffectsofamonetaryshock,alog-linearapproximationistakenaroundthissteadystate.Sincepricesarestickyforoneperiod,thesolutiondistinguishesbetweentheimpact(first-period)effectofashockanditslong-runsteady-stateeffect.Accordingly,thewelfareeffectofashockiscalculatedasthesumoftheshort-runchangeinutilityandthediscountedpresentvalueofthechangeinsteady-stateutility.
TheauthorsconsidertheDornbuschexperimentofaunanticipatedpermanentincreaseinthedomesticmoneysupply.Theimpacteffectofthemonetaryshockisanincreaseinthelevelofdomesticoutputandconsumption.Theworldrealinterestratefallsandnominaldepreciationtranslatesintoadeclineinthedomestictermsoftrade:
bothfactorsgenerateanincreaseinforeignconsumption.Theimpactonforeignoutputisambiguous,sincetheincreaseinaggregateconsumptionandtherelativepriceshiftworkinoppositedirections.Thedomesticcurrentaccountmovesintosurplus.
Inthiscase,moneyisnotneutralinthelongrun.Theshort-rundomesticcurrentaccountsurplusimpliesapermanentimprovementindomesticnetforeignassets.Inthesteadystate,thisimpliesapermanentdomestictradedeficitsinceapositivenetinvestmentincomeinflowallowsconsumptiontoremainpermanentlyabovedomesticoutput.Thewealtheffectofthepositivenetforeignassetpositionreducesdomesticlaborsupply(leisureisanormalgood)anddomesticoutput,therebygeneratingapermanentimprovementinthehomecountry’stermsoftrade.
Aninterestingresultisthatexchangerateovershootingisnotpossibleinthismodel.Toseethis,itisusefultopresenttheequationsforPPP,consumptiongrowthandshort-runandlong-runmonetaryequilibrium
(7)
(8)
(9)
(10)
where‘
’denotesshort-runvaluesand‘−’denoteslong-runvalues,respectively.InEq.(7),PPPimpliesthatchangesinthenominalexchangeratejustmatchinflationdifferentials.Eq.(8)combinesthehomeandforeignconsumptionEulerequations:
sincePPPholds,domesticandforeignagentsfacethesamerealinterestrateanddomesticandforeignconsumptiongrow
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