کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098614 | 1478706 | 2014 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Limited participation in international business cycle models: A formal evaluation
ترجمه فارسی عنوان
مشارکت محدود در مدل های چرخه تجاری بین المللی: ارزیابی رسمی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
In this paper, we argue that limited asset market participation (LAMP) plays an important role in explaining international business cycles. We show that when LAMP is introduced into an otherwise standard model of international business cycles, the performance of the model improves significantly, especially in matching cross-country correlations. To perform formal evaluation of the models we develop a novel statistical procedure that adapts the statistical framework of Vuong (1989) to DSGE models. Using this methodology, we show that the improvements brought out by LAMP are statistically significant, leading a model with LAMP to outperform a representative agent model. Furthermore, when LAMP is introduced, a model with complete markets is found to do as well as a model with no trade in financial assets - a well-known favorite in the literature. Our results remain robust to the inclusion of investment specific technology shocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 39, February 2014, Pages 255-272
Journal: Journal of Economic Dynamics and Control - Volume 39, February 2014, Pages 255-272
نویسندگان
Xiaodan Gao, Viktoria Hnatkovska, Vadim Marmer,