| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21155 |
| 来源ID | Working Paper 21155 |
| A Tractable Framework for Analyzing a Class of Nonstationary Markov Models | |
| Lilia Maliar; Serguei Maliar; John Taylor; Inna Tsener | |
| 发表日期 | 2015-05-11 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We study a class of infinite-horizon nonlinear dynamic economic models in which preferences, technology and laws of motion for exogenous variables can change over time either deterministically or stochastically, according to a Markov process with time-varying transition probabilities, or both. The studied models are nonstationary in the sense that the decision and value functions are time-dependent, and they cannot be generally solved by conventional solution methods. We introduce a quantitative framework, called extended function path (EFP), for calibrating, solving, simulating and estimating such models. We apply EFP to analyze a collection of challenging applications that do not admit stationary Markov equilibria, including growth models with anticipated parameters shifts and drifts, unbalanced growth under capital augmenting technological progress, anticipated regime switches, deterministically time-varying volatility and seasonal fluctuations. Also, we show an example of estimation and calibration of parameters in an unbalanced growth model using data on the U.S. economy. Examples of MATLAB code are provided. |
| 主题 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles ; Monetary Policy |
| URL | https://www.nber.org/papers/w21155 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578830 |
| 推荐引用方式 GB/T 7714 | Lilia Maliar,Serguei Maliar,John Taylor,et al. A Tractable Framework for Analyzing a Class of Nonstationary Markov Models. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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