| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3307 |
| DP3307 Does Local Financial Development Matter? | |
| Luigi Guiso; Luigi Zingales; Paola Sapienza | |
| 发表日期 | 2002-03-19 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | In this article, we demonstrate that a small degree of stochastic variation in the depreciation rate of capital can greatly reduce the comovement between hours worked and labour productivity in a neoclassical growth model. The depreciation rate is modeled as a Markov process to place a strict upper bound and to ensure that variation and not the level of the rate is driving the result. Markov switching implies non-linear decision rules in the dynamic stochastic general equilibrium model (DSGE). Our contribution to DSGE solution methodologies in the presence of Markov switching is to apply Judd's (1998) projection method to non-linear decision rules. This approach allows for non-linear decision rules in a richer set of models with many more state variables than can be solved with grid-based approximations. The results presented here suggest that Markov switching parameters offer a powerful extension to DSGE models. |
| 主题 | International Macroeconomics |
| 关键词 | Markov switching Non-linear decision rules Hours-productivity correlation |
| URL | https://cepr.org/publications/dp3307 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532269 |
| 推荐引用方式 GB/T 7714 | Luigi Guiso,Luigi Zingales,Paola Sapienza. DP3307 Does Local Financial Development Matter?. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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