A striking feature of US states convergence is the link between the spatial speed of convergence and the aggregate growth rate: fast aggregate growth induces a reduction in regional inequalities. This paper uses a neoclassical growth framework with integrated economies in order to capture this phenomena. As it has been stressed by Ventura (1997), the interdependence between regional economies through the access to common markets generates a link between aggregate evolution and spatial convergence dynamics. The paper has two mains results. First, we show how deep parameters of the economy determines quantitatively the magnitude of this link. Second, we propose two directions for testing the model and we provide some empirical evidence using US states data on personal income. These results are mixed, only a part of the convergence pattern is well captured by the model.
Ce papier reconcilie les conclusions des approches classique et en serie temporelles de la convergence. En utilisant une statistique KPSS multivariee et en autorisant une rupture commune, il apparait que la dynamique des productivites europeennes se decoupe en deux phases: apres une phase de rattrapage les economies evoluent le long d'un sentier de croissance commun. On montre alors que, les ecarts de productivites sont stationnaires au sens stochastique, sur l'ensemble de l'echantillon.
Advances in the development of Dynamic Stochastic General Equilibrium (DSGE) models towards medium-scale structural frameworks with satisfying data coherence have considerably enhanced the range of analytical tools well-suited for monetary policy evaluation. The present paper intends to make a step forward in this direction: using US data over the Volker-Greenspan sample, we perform a DGSE-VAR estimation of a medium-scale DSGE model very close to Smets and Wouters [2007] specification, where monetary policy is set according to a Ramsey-planner decision problem. Those results are then contrasted with the DSGE-VAR estimation of the same model featuring a Taylortype interest rate rule. Our results show in particular that the restrictions imposed by the welfare-maximizing Ramsey policy deteriorates the empirical performance with respect to a Taylor rule specification. However, it turns out that, along selected conditional dimensions, and notably for productivity shocks, the Ramsey policy and the estimated Taylor rule deliver similar economic propagation.
In this paper we present a methodology to deal with trends in DSGE models. This type of models have consequences for long run growth as well as for cyclical dynamics and it would be desirable to deal with both aspects in an unified frame-work. Two different problems need to be addressed. The first ones concerns a rigorous local approximation of a balanced growth model. This is solved by the usual practice of stationarizing the model first, and using trends directly in(log-)linear form. The second issues deals with the estimation in the level of the data. When the data are not stationary, it is necessary to use a diffuse Kalman filter as the one proposed for example by Koopman and Durbin (2003).In this paper, we propose a modification of this filter in order to better deal with cointegrated variables. As an illustration, we develop a medium size New Keynesian model with consumption habits, adjustment costs and nominal rigidities in the goods and labor markets. This model is estimated on Japanese data. In order to take into account the zero nominal interest rate bound to which the Japanese monetary policy was confronted in the recent period, we experiment with modeling the log of the interest rate rather than the interest rate itself. This workaround is far from perfect, but it permits the use of local approximation without having a model generating negative values for the nominal interest rate.
L’objet de cet article est de présenter l’approche bayésienne des modèles dynamiques les plus considérés en macroéconomie : les modèles DSGE (Dynamic Stochastic General Equilibrium) et les modèles VAR. Nous présentons les principaux concepts de l’analyse bayésienne et montrons comment les appliquer dans le cadre des modèles VAR. Nous abordons ensuite les spécificités de l’approche bayésienne desmodèlesDSGE. Contrairement aux modèlesVAR, il n’est plus possible d’obtenir une expression analytique de la distribution a posteriori. Pour pallier cette difficulté il est nécessaire de recourir à des méthodes de Monte-Carlo dont nous décrivons les principales techniques. Enfin, afin de souligner la nature stérile de l’opposition entre ces deux types de modélisation, nous terminons en présentant une approche récente permettant de combiner le meilleur des approches VAR et DSGE.
Résumé Dans la lignée de Svensson (1999) cet article se propose de reconsidérer la question du choix de la cible pour la banque centrale, selon les deux alternatives cible d'inflation ou cible de niveau de prix, sous une courbe de Phillips de type nouveau keynésien. Nos résultats tendent à plaider en faveur de l'adoption par la banque centrale d'une cible de niveau de prix. La comparaison des politiques discrétionnaires, sous les deux type de régimes, à la règle optimale sous engagement définie par Clarida, Gali et Gertler (2000) montre que la préférence pour la cible de niveau de prix s'explique par une meilleure gestion du problème de la crédibilité de la politique monétaire.
In this paper, we try to illustrate the interest of the Bayesian approach for the evaluation of economic policies, often realised by analysing the response of the economy to a standard shock. We present a Stochastic Dynamic General Equilibrium model for the euro area. The Bayesian estimation gives a measure of the uncertainty on the parameters, from which we can derive the uncertainty of the responses to standard shocks. As an illustration, we simulate the effects of a fiscal shock (announced VAT increase).
The objective of this paper is to examine the main features of optimal monetary policy cooperation within a micro-founded macroeconometric framework. First, using Bayesian techniques, we estimate a two-country dynamic stochastic general equilibrium (DSGE) model for the United States (US) and the euro area (EA). The main features of the new open economy macroeconomics (NOEM) are embodied in our framework: in particular, imperfect exchange rate pass-through and incomplete financial markets internationally. Each country model incorporates the wide range of nominal and real frictions found in the closed-economy literature: staggered price and wage settings, variable capital utilization and fixed costs in production. Then, using the estimated parameters and disturbances, we study the properties of the optimal monetary policy cooperation through welfare analysis, impulse responses and variance decompositions. JEL Classification: E4, E5, F4
A striking feature of US states convergence is the link between the spatial speed of convergence and the aggregate growth rate: fast aggregate growth induces a reduction in regional inequalities. This paper uses a neoclassical growth framework with integrated economies in order to capture this phenomena. As it has been stressed by Ventura (1997), the interdependence between regional economies through the access to common markets generates a link between aggregate evolution and spatial convergence dynamics. The paper has two mains results. First, we show how deep parameters of the economy determines quantitatively the magnitude of this link. Second, we propose two directions for testing the model and we provide some empirical evidence using US states data on personal income. These results are mixed, only a part of the convergence pattern is well captured by the model.
