高级宏观经济学课件(厦门大学,龚敏)chapter4.doc

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1、Chapter4REAL-BUSINESS-CYCLETHEORY•Introduction:SomeFactsandTheoriesofFluctuations•ABaselineReal-Business-CycleModel•EmpiricalApplications•ExtensionandLimitationsIntroduction:SomeFactsandTheoriesofFluctuationsa.SomeFactsaboutEconomicFluctuationsABaselineReal-Business-C

2、ycleModelThemodelisadiscrete-timevariationoftheRamseymodelofChapter2.Theeconomyconsistsofalargenumberofidentical,price-takingfirmsandalargenumberofidentical,price-takinghouseholds.Householdsareinfinitelylived・*theproductionfunctionYt=K^AtLt)'-aOvavlYt=Ct+It+Gt^It=Yt-C

3、t-GtGt=TtLaborandcapitalarepaidtheirmarginalproducts・ka(AL尸YTherealwage:wt=(1—a}=(1—Q)—X厶Therealinterestrate:r=ao-a—o*theutilityfunction二N17=工宀©1-t=HgNi=N+nt，n0*thebehaviorofthetwodrivingvariables,technologyandgovernmentpurchases■~InAt=A+gt+£thee

4、ffectsoftheshocks:therandomcomponentofInA(followsAR(1).A一1＜几vlwherethet9sarewhite-noisedisturbances.IfpAispositive,thismeansthattheeffectsofashocktotechnologydisappeargraduallyovertime・lnGr=G+(n+g"+GG=—1vPgV1wherethe£Gt'sarewhite-noisedisturbancesthatareuncorrelatedwi

5、ththe8At•HouseholdBehaviorThetwomostimportantdifferencesbetweenthismodelandtheRamseymodelarctheinclusionofleisureintheutilityfunctionandtheintroductionofrandomnessintechnologyandgovernmentpurchases・♦IntertemporalSubstitutioninLaborSupply(Considerthecasewherethehouseho

6、ldlivesforoneperiodandhasnoinitialwealth,onlyonemembe匚TheLagrangianis厶=Inc+bln(l-/)+A(wl一c)b1八+-=0(4.15)1-/ILaborsupplyisindependentofthewage・Theincomeandsubstitutioneffectsofachangeinthewageoffseteachother.Considerthecasewherethehousehold'shorizonismorethanoneperiod,

7、e.g.fortwoperiods.Inaddition,assumethatthereisnouncertaintyabouttheinterestrateorthesecond-periodwage.Thehousehold^lifetimebudgetconstraintis5+「一勺=叫厶+占叫/21+r1+rTheLagrangianis厶=Inq+bln(l—/])+€卩[Inc°+bln(l—Z9)]+A[w)Z

8、hvv9/9—qc9]1+r…1+rThefirst-orderconditionsforlandl2

9、arcneededtoshowtheeffectoftherelativewageinthetwoperiodsonrelativelaborsupply.(4.21)1-/,_1111-Z2b"(1+/*)W]厂(l+厂)W

10、Theserespo