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雷达卡
Department of Economics University of Málaga
Textbook:Introduction to DSGE model,2nd Edition
(Introduction to Dynamic Macroeconomic General Equilibrium Models)
Author(s): Jose Torres
Description:
Part I
Introduction to DSGE modelling
Part II
Deviations from the Permanent Income-Life Cycle hypothesis
Part III
Investment and Capital Accumulation
Part IV
The government
Part V
Time Decisions
This coursebook offers an introductory step-by-step course to Dynamic Stochastic General Equilibrium (DSGE) modelling. Modern macroeconomic analysis is increasingly concerned with the construction, calibration and-or estimation, and simulation of DSGE models. DSGE models start from what we call the micro-foundations of macro-economics, with a heart based on the rational expectation forward-looking economic behavior of agents. The book is intended for graduate students as an introductory course to DSGE modelling and for those economists who would like a hands-on approach to learning the basics of modern dynamic macroeconomic modelling. While theoretical developments are not too complex to understand for the beginner in this topic, practical applications to the data is usually a more difficult task. Taking models to the data is now fortunately easier thanks to the development of specific DSGE modelling computer software. Once the theoretical model is on hands and the functions are parameterized, the next step is its application to the data. The usual procedure consists in the calibration of the parameters of the model using previous information or matching some key ratios or moments provided by the data, or more recently, from the estimation of theparameters using maximum likelihood or Bayesian techniques. Taking model to the data is a major barrier of entry that has to be paid by those who want to incorporate this state-of-the-art tool into their economic analysis.
DSGE models cannot be solved analytically, except some very simple and unrealistic examples of limited interest. This is not a book about solution methods neither about estimation techniques.
The coursebook starts with the simplest canonical neoclassical DSGE model and then gradually extends the basic framework incorporating a variety of additional features, such as consumption habit formation, non-Ricardian agents, investment adjustment costs, investment-specific technological change, taxes, public spending, public capital, human capital, household production, and monopolistic competition. All these additional features are introduced in the standard DSGE model separately in order to clearly identify the effects of each additional feature whereas keeping the model as simple as possible.
At the end of each chapter associated Dynare code is included with the model to be implemented in Matlab or Octave. Dynare is a very useful and powerful tool to deal with DSGE modelling. With the supply of minimal information regarding the calibration of the parameter and the equilibrium equations of the model, Dynare can solve a DSGE model, compute the steady state and carry out stochastic simulations of shocks in a very simple way. Dynare codes can also be downloaded from the book's homepage:
Introduction to DSGE model.pdf
(4.32 MB, 需要: RMB 19 元)
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