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Open Economy Macroeconomics [Hardback]

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  • Formāts: Hardback, 648 pages, height x width: 254x178 mm, weight: 1474 g, 100 line illus. 72 tables.
  • Izdošanas datums: 04-Apr-2017
  • Izdevniecība: Princeton University Press
  • ISBN-10: 0691158770
  • ISBN-13: 9780691158778
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Open Economy MacroeconomicsPalielināt
  • Formāts: Hardback, 648 pages, height x width: 254x178 mm, weight: 1474 g, 100 line illus. 72 tables.
  • Izdošanas datums: 04-Apr-2017
  • Izdevniecība: Princeton University Press
  • ISBN-10: 0691158770
  • ISBN-13: 9780691158778
Citas grāmatas par šo tēmu:
Permanent link: https://www.kriso.lv/db/9780691158778.html
Keywords:
A cutting-edge graduate-level textbook on the macroeconomics of international trade Combining theoretical models and data in ways unimaginable just a few years ago, open economy macroeconomics has experienced enormous growth over the past several decades. This rigorous and self-contained textbook brings graduate students, scholars, and policymakers to the research frontier and provides the tools and context necessary for new research and policy proposals. Martin Uribe and Stephanie Schmitt-Grohe factor in the discipline's latest developments, including major theoretical advances in incorporating financial and nominal frictions into microfounded dynamic models of the open economy, the availability of macro- and microdata for emerging and developed countries, and a revolution in the tools available to simulate and estimate dynamic stochastic models. The authors begin with a canonical general equilibrium model of an open economy and then build levels of complexity through the coverage of important topics such as international business-cycle analysis, financial frictions as drivers and transmitters of business cycles and global crises, sovereign default, pecuniary externalities, involuntary unemployment, optimal macroprudential policy, and the role of nominal rigidities in shaping optimal exchange-rate policy. Based on courses taught at several universities, Open Economy Macroeconomics is an essential resource for students, researchers, and practitioners. * Detailed exploration of international business-cycle analysis* Coverage of financial frictions as drivers and transmitters of business cycles and global crises* Extensive investigation of nominal rigidities and their role in shaping optimal exchange-rate policy* Other topics include fixed exchange-rate regimes, involuntary unemployment, optimal macroprudential policy, and sovereign default and debt sustainability* Chapters include exercises and replication codes

Recenzijas

"The authors succeed in intermarrying data and theoretical models to explain ongoing macroeconomic phenomena in real life. As a textbook on macroeconomics, this work is well written with the graduate student in mind. Similarly, others who are also involved in the act of macroeconomic policy formulations will find the contents of this book useful." * Choice *

Preface xvii
1 Business-Cycle Facts Around the World 1(25)
1.1 Measuring Business Cycles
1(3)
1.2 Business-Cycle Facts Around the World
4(3)
1.3 Business Cycles in Poor, Emerging, and Rich Countries
7(2)
1.4 Country Size and Observed Business Cycles
9(2)
1.5 Hodrick-Prescott (HP) Filtering
11(3)
1.6 Growth Rates
14(3)
1.7 Business-Cycle Facts with Quarterly Data
17(3)
1.8 Duration and Amplitude of Business Cycles in Emerging and Developed Countries
20(1)
1.9 Appendix
21(4)
1.9.1 Countries with at Least 30 Years of Annual Data
21(1)
1.9.2 Derivation of the HP Filter
21(1)
1.9.3 Country-by-Country Business-Cycle Statistics at Annual and Quarterly Frequency
22(3)
1.10 Exercises
25(1)
2 An Open Endowment Economy 26(31)
2.1 The Model Economy
26(6)
2.2 Stationary Income Shocks
32(3)
2.3 Stationary Income Shocks: AR(2) Processes
35(3)
2.4 Nonstationary Income Shocks
38(5)
2.5 Testing the Intertemporal Approach to the Current Account
43(2)
2.6 Exercises
45(12)
3 An Open Economy with Capital 57(16)
3.1 The Basic Framework
57(3)
3.2 A Steady-State Equilibrium
60(1)
3.3 Adjustment to a Permanent Productivity Shock
60(4)
3.4 Adjustment to Temporary Productivity Shocks
64(1)
3.5 Capital Adjustment Costs
65(4)
3.5.1 Dynamics of the Capital Stock
67(2)
3.5.2 A Permanent Technology Shock
69(1)
3.6 Exercises
69(4)
4 The Open Economy Real-Business-Cycle Model 73(67)
4.1 The Model
73(4)
4.1.1 Inducing Stationarity: External Debt-Elastic Interest Rate (EDEIR)
76(1)
4.1.2 Equilibrium
76(1)
4.2 Decentralization
77(3)
4.2.1 Households in the Decentralized Economy
77(1)
4.2.2 Firms Producing Final Goods
78(1)
4.2.3 Firms Producing Capital Goods
79(1)
4.2.4 The Decentralized Equilibrium
79(1)
4.3 Functional Forms
80(1)
4.4 Deterministic Steady State
81(2)
4.5 Calibration
83(2)
4.6 Approximating Equilibrium Dynamics
85(3)
4.7 The Performance of the Model
88(3)
4.8 The Role of Persistence and Capital Adjustment Costs
91(1)
4.9 The Complete Asset Markets (CAM) Model
92(6)
4.9.1 What Is the Current Account When Markets Are Complete?
96(1)
4.9.2 Quantitative Predictions of the CAM Model
97(1)
4.10 Alternative Ways to Induce Stationarity
98(8)
4.10.1 The Internal Debt-Elastic Interest Rate (IDEIR) Model
99(1)
4.10.2 The Portfolio Adjustment Cost (PAC) Model
100(2)
4.10.3 The External Discount Factor (EDF) Model
102(2)
4.10.4 The Internal Discount Factor (IDF) Model
104(1)
4.10.5 The Model with No Stationarity-Inducing Features (NSIF)
105(1)
4.11 The Perpetual-Youth (PY) Model
106(6)
4.11.1 Basic Intuition
106(1)
4.11.2 Perpetually Young Households
107(3)
4.11.3 Firms Producing Consumption Goods
110(1)
4.11.4 Firms Producing Capital Goods
110(1)
4.11.5 Equilibrium
111(1)
4.12 Inducing Stationarity: Quantitative Comparison of Alternative Methods
112(2)
4.13 Global Solution
114(5)
4.14 Appendix
119(8)
4.14.1 First-Order Accurate Approximations to Dynamic General Equilibrium Models
119(2)
4.14.2 Local Existence and Uniqueness of Equilibrium
121(3)
4.14.3 Computing Second Moments
124(2)
4.14.4 Computing Impulse Response Functions
126(1)
4.14.5 Matlab Code for Linear Perturbation Methods
127(1)
4.15 Exercises
127(13)
5 Business Cycles in Emerging Countries: Productivity Shocks versus Financial Frictions 140(46)
5.1 Can the Open Economy RBC Model Generate Excess Consumption Volatility?
140(3)
5.2 An Open Economy RBC Model with Stationary and Nonstationary Technology Shocks
143(6)
5.3 Letting Technology Shocks Compete with Other Shocks and Frictions
149(6)
5.3.1 Households
149(2)
5.3.2 Firms with Working-Capital Constraints
151(2)
5.3.3 Interest-Rate Shocks
153(1)
5.3.4 Equilibrium
154(1)
5.4 Bayesian Estimation on a Century of Data
155(3)
5.5 How Important Are Trend Shocks?
158(2)
5.6 The Role of Financial Frictions
160(4)
5.7 Imperfect Information and Noise Shocks
164(16)
5.7.1 Using the Kalman Filter to Compute Future Expected TFP Growth
169(1)
5.7.2 Computation and Estimation
170(2)
5.7.3 Incomplete Information Versus Noisy Information
172(1)
5.7.4 Estimation and Model Fit
173(2)
5.7.5 The Importance of Noise Shocks
175(3)
5.7.6 How Important Are Nonstationary Productivity Shocks?
178(2)
5.8 Exercises
180(6)
6 Interest-Rate Shocks 186(30)
6.1 An Empirical Model
188(1)
6.2 Impulse Response Functions
189(7)
6.3 Variance Decompositions
196(3)
6.4 An Open Economy Subject to Interest-Rate Shocks
199(8)
6.4.1 Firms and Working-Capital Constraints
200(1)
6.4.2 Capital Accumulation and Gestation Lags
201(1)
6.4.3 Households and Habit Formation
202(2)
6.4.4 Driving Forces
204(1)
6.4.5 Equilibrium
205(1)
6.4.6 Estimation by Limited Information Methods
205(2)
6.5 Theoretical and Estimated Impulse Responses
207(1)
6.6 Theoretical and Estimated Conditional Volatilities
207(2)
6.7 Global Risk Factors and Business Cycles in Emerging Economies
209(2)
6.8 Exercises
211(5)
7 Importable Goods, Exportable Goods, and the Terms of Trade 216(40)
7.1 A Simple Empirical Model of the Terms of Trade
217(2)
7.2 The Terms of Trade and the Trade Balance: Empirics
219(3)
7.3 Terms of Trade and the Trade Balance: Simple Explanations, Old and New
222(7)
7.3.1 The Harberger-Laursen-Metzler Effect
223(2)
7.3.2 The Obstfeld-Razin-Svensson Effect
225(1)
7.3.3 Testing for the ORS Effect
226(1)
7.3.4 The ORS Effect in the SOE-RBC Model
226(3)
7.4 How Important Are Terms-of-Trade Shocks?
229(5)
7.5 The MX Model
234(5)
7.5.1 Households
234(2)
7.5.2 Production of Final Goods
236(1)
7.5.3 Production of Importable and Exportable Goods
236(1)
7.5.4 Equilibrium
237(1)
7.5.5 Observables
238(1)
7.6 Parameterization of the MX Model
239(8)
7.6.1 Preferences and Technologies in the MX Model
239(2)
7.6.2 Calibration of the Elasticity of Substitution between Importables and Exportables, mu
241(1)
7.6.3 Calibration of the Share Parameter, chi
241(1)
7.6.4 Calibration of the Share of Exports of Value-Added in GDP, sx
242(2)
7.6.5 Calibration of the Share of Exportable Output in GDP, syx
244(1)
7.6.6 Estimation of the Capital Adjustment Cost Parameters, phim and phix, and the Debt Elasticity of the Interest Rate, psi
245(2)
7.7 Response of the MX Model to Terms-of-Trade Shocks
247(2)
7.8 Terms-of-Trade Shocks: Less Important in Data Than in Theory
249(4)
7.8.1 Sensitivity Analysis
250(3)
7.9 Exercises
253(3)
8 Nontradable Goods and the Real Exchange Rate 256(34)
8.1 The Real Exchange Rate
257(1)
8.2 The TNT Model
257(8)
8.2.1 The Real Exchange Rate and the Relative Price of Nontradables
259(1)
8.2.2 The Equilibrium Real Exchange Rate
260(1)
8.2.3 Adjustment of the Real Exchange Rate to Terms-of-Trade Shocks
261(1)
8.2.4 Adjustment of the Real Exchange Rate to Interest-Rate Shocks
262(1)
8.2.5 Adjustment of Output to Terms-of-Trade Shocks in the TNT Model
263(2)
8.3 Empirical Evidence on the Effects of Terms-of-Trade Shocks on the Real Exchange Rate and Aggregate Activity
265(4)
8.4 The MXN Model
269(10)
8.4.1 Households
269(2)
8.4.2 Firms Producing Final Goods
271(1)
8.4.3 Firms Producing the Tradable Composite Good
271(1)
8.4.4 Firms Producing Importable, Exportable, and Nontradable Goods
272(1)
8.4.5 Market Clearing
272(1)
8.4.6 Competitive Equilibrium
273(1)
8.4.7 Observables
274(1)
8.4.8 Functional Forms
274(1)
8.4.9 Calibration of the MXN Model
275(4)
8.5 Response of the Real Exchange Rate and Real Activity to Terms-of-Trade Shocks in the MXN Model
279(3)
8.6 The Terms-of-Trade Disconnect
282(4)
8.7 Exercises
286(4)
9 Nominal Rigidity, Exchange Rates, and Unemployment 290(79)
9.1 An Open Economy with Downward Nominal Wage Rigidity
290(7)
9.1.1 Households
291(2)
9.1.2 Firms
293(2)
9.1.3 Downward Nominal Wage Rigidity and the Labor Market
295(1)
9.1.4 Equilibrium
295(2)
9.2 Currency Pegs
297(9)
9.2.1 A Peg-Induced Externality
299(1)
9.2.2 Volatility and Average Unemployment
300(2)
9.2.3 Adjustment to a Temporary Fall in the Interest Rate
302(4)
9.3 Optimal Exchange-Rate Policy
306(4)
9.3.1 The Full-Employment Exchange-Rate Policy
306(2)
9.3.2 Pareto Optimality of the Full-Employment Exchange-Rate Policy
308(1)
9.3.3 When Is It Inevitable to Devalue?
309(1)
9.4 Empirical Evidence on Downward Nominal Wage Rigidity
310(6)
9.4.1 Evidence from Micro Data
310(2)
9.4.2 Evidence from Informal Labor Markets
312(1)
9.4.3 Evidence from the Great Depression of 1929
313(1)
9.4.4 Evidence from Emerging Countries and Inference on gamma
314(2)
9.5 The Case of Equal Intra- and Intertemporal Elasticities of Substitution
316(2)
9.6 Approximating Equilibrium Dynamics
318(1)
9.7 Parameterization of the Model
319(4)
9.7.1 Estimation of the Exogenous Driving Process
319(2)
9.7.2 Calibration of Preferences, Technologies, and Nominal Rigidities
321(2)
9.8 External Crises and Exchange-Rate Policy: A Quantitative Analysis
323(5)
9.8.1 Definition of an External Crisis
323(1)
9.8.2 Crisis Dynamics under a Currency Peg
324(2)
9.8.3 Crisis Dynamics under Optimal Exchange-Rate Policy
326(2)
9.8.4 Devaluations, Revaluations, and Inflation in Reality
328(1)
9.9 Empirical Evidence on the Expansionary Effects of Devaluations
328(2)
9.9.1 Exiting a Currency Peg: Argentina Post Convertibility
329(1)
9.9.2 Exiting the Gold Standard: Europe 1929-1935
330(1)
9.10 The Welfare Costs of Currency Pegs
330(6)
9.11 Symmetric Wage Rigidity
336(1)
9.12 The Mussa Puzzle
337(2)
9.13 Endogenous Labor Supply
339(2)
9.14 Production in the Traded Sector
341(2)
9.15 Product Price Rigidity
343(3)
9.15.1 Downward Price Rigidity
343(2)
9.15.2 Symmetric Price Rigidity
345(1)
9.16 Staggered Price Setting: The Calvo Model
346(19)
9.16.1 Households
346(2)
9.16.2 Firms Producing Final Nontraded Goods
348(1)
9.16.3 Firms Producing Nontraded Intermediate Goods
348(2)
9.16.4 Aggregation and Equilibrium
350(5)
9.16.5 The Flexible-Price Equilibrium
355(1)
9.16.6 Optimal Exchange-Rate Policy
356(1)
9.16.7 The Open Economy New-Keynesian Phillips Curve
356(2)
9.16.8 Crisis Dynamics in the Calvo Model
358(4)
9.16.9 Welfare Costs of Currency Pegs in the Calvo Model
362(3)
9.17 Exercises
365(4)
10 Exchange-Rate Policy and Capital Controls 369(30)
10.1 First-Best Fiscal Policy under Fixed Exchange Rates
369(6)
10.1.1 Labor Subsidies
369(3)
10.1.2 Equivalence of Labor Subsidies and Devaluations
372(2)
10.1.3 Sales Subsidies
374(1)
10.1.4 Consumption Subsidies
374(1)
10.2 Capital Controls
375(5)
10.2.1 Capital Controls as a Distortion of the Interest Rate
378(1)
10.2.2 Equilibrium under Capital Controls and a Currency Peg
379(1)
10.3 Optimal Capital Controls under Fixed Exchange Rates
380(1)
10.4 The Optimality of Prudential Capital Control Policy
381(4)
10.5 Optimal Capital Controls during a Boom-Bust Episode
385(1)
10.6 Level and Volatility Effects of Optimal Capital Controls under a Currency Peg
386(3)
10.7 Overborrowing under Fixed Exchange Rates
389(1)
10.8 The Welfare Cost of Free Capital Mobility in Fixed Exchange-Rate Economies
390(2)
10.9 Are Observed Capital Controls Prudential?
392(3)
10.10 Appendix: Equilibrium for t greater than or equal to 1 in Section 10.4
395(2)
10.11 Exercises
397(2)
11 Policy Credibility and Balance-of-Payments Crises 399(26)
11.1 The Model
400(3)
11.1.1 Households
400(1)
11.1.2 The Government
401(1)
11.1.3 Equilibrium
402(1)
11.2 A Credible Tax Reform
403(1)
11.3 A Noncredible Tax Reform
403(5)
11.3.1 Lack of Credibility and Overborrowing
406(1)
11.3.2 Equivalence of Imperfect Credibility and Temporariness
407(1)
11.4 Lack of Credibility and Exchange-Rate Policy
408(5)
11.4.1 A Cash-in-Advance Economy
410(2)
11.4.2 A Noncredible Exchange-Rate-Based Inflation-Stabilization Program
412(1)
11.5 Balance-of-Payments Crises
413(5)
11.6 Discussion and Extensions
418(2)
11.7 Appendix: The Hamiltonian
420(2)
11.8 Exercises
422(3)
12 Financial Frictions and Aggregate Instability 425(55)
12.1 Stock Collateral Constraints
426(10)
12.1.1 The Steady-State Equilibrium
429(2)
12.1.2 Frictionless Adjustment to Regular Shocks
431(1)
12.1.3 Adjustment to Large Shocks: Fisherian Debt Deflations and Deleveraging
432(4)
12.2 Stock Collateral Constraints and Self-Fulfilling Financial Crises
436(2)
12.3 Flow Collateral Constraints
438(4)
12.4 Flow Collateral Constraints and Self-Fulfilling Financial Crises
442(4)
12.5 Debt Dynamics in a Stochastic Economy with a Flow Collateral Constraint
446(7)
12.5.1 Calibration
447(1)
12.5.2 Equilibrium Selection
448(1)
12.5.3 Computation of Equilibrium
449(1)
12.5.4 Equilibrium Debt Distributions
449(1)
12.5.5 The Unconstrained Economy
450(3)
12.6 Financial Amplification
453(4)
12.7 Optimal Capital Control Policy
457(5)
12.7.1 Overborrowing or Underborrowing? An Analytical Example
460(1)
12.7.2 Implementation
461(1)
12.8 Overborrowing and Underborrowing: A Quantitative Analysis
462(2)
12.9 Is Optimal Capital Control Policy Macroprudential?
464(4)
12.10 Optimal Consumption Taxes
468(2)
12.11 Aggregate Versus Individual Collateral Constraints
470(4)
12.12 Exercises
474(6)
13 Sovereign Default 480(111)
13.1 Empirical Regularities
481(9)
13.1.1 Frequency and Length of Defaults
481(2)
13.1.2 Haircuts
483(1)
13.1.3 Debt and Default
484(1)
13.1.4 Country Premia
485(1)
13.1.5 Country Spreads and Default Probabilities: A Sample Mismatch Problem
485(2)
13.1.6 Do Countries Default in Bad Times?
487(3)
13.2 The Cost of Default: Empirical Evidence
490(9)
13.2.1 Exclusion from Financial Markets
490(3)
13.2.2 Output Losses
493(3)
13.2.3 International Trade Sanctions
496(3)
13.3 Default Incentives with State-Contingent Contracts
499(13)
13.3.1 The Optimal Debt Contract with Commitment
500(1)
13.3.2 The Optimal Debt Contract without Commitment
501(1)
13.3.3 Direct Sanctions
502(4)
13.3.4 Reputation
506(6)
13.4 Default Incentives with Non-State-Contingent Contracts
512(6)
13.4.1 The Eaton-Gersovitz Model
513(1)
13.4.2 The Default Set
514(3)
13.4.3 Default Risk and the Country Premium
517(1)
13.5 Saving and the Breakdown of Reputational Lending
518(2)
13.6 Quantitative Analysis of the Eaton-Gersovitz Model
520(21)
13.6.1 Serial Correlation of the Endowment Process
520(1)
13.6.2 Finite Exclusion Period
521(1)
13.6.3 Output Cost of Default
522(1)
13.6.4 The Model
523(1)
13.6.5 Calibration and Functional Forms
524(2)
13.6.6 Computation
526(1)
13.6.7 Quantitative Predictions of the Eaton-Gersovitz Model
527(3)
13.6.8 Dynamics Around a Typical Default Episode
530(1)
13.6.9 Goodness of Approximation of the Eaton-Gersovitz Model
531(2)
13.6.10 Alternative Output Cost Specification
533(1)
13.6.11 The Quantitative Importance of Output Costs of Default
534(2)
13.6.12 The Quantitative Irrelevance of Exclusion
536(2)
13.6.13 The Role of Discounting
538(1)
13.6.14 Changing the Volatility of the Endowment Process
538(1)
13.6.15 Time-Varying Volatility, Country Spreads, and Default
539(1)
13.6.16 Varying the Persistence of the Output Process
540(1)
13.7 The Welfare Cost of Lack of Commitment
541(2)
13.8 Decentralization of the Eaton-Gersovitz Model
543(9)
13.8.1 Households
544(1)
13.8.2 The Government
544(1)
13.8.3 Competitive Equilibrium
545(1)
13.8.4 Equilibrium under Optimal Capital Control Policy
546(1)
13.8.5 The Optimal-Policy Equilibrium as a Decentralization of the Eaton-Gersovitz Model
547(2)
13.8.6 Capital Control Dynamics
549(1)
13.8.7 Optimal Default Policy without Capital Controls
549(3)
13.9 Risk-Averse Lenders
552(4)
13.10 Long Term Debt and Default
556(9)
13.10.1 A Random-Maturity Model
557(2)
13.10.2 A Perpetuity Model
559(2)
13.10.3 The Perpetuity Model as a Special Case of the Random-Maturity Model
561(1)
13.10.4 Endogenous Choice of Maturity
561(4)
13.11 Debt Renegotiation
565(6)
13.11.1 The Eaton-Gersovitz Model with Debt Renegotiation
566(2)
13.11.2 Quantitative Predictions of the Debt-Renegotiation Model
568(3)
13.12 Default and Monetary Policy
571(11)
13.12.1 The Twin Ds
571(1)
13.12.2 A Model of the Twin Ds
572(6)
13.12.3 Optimality of the Full-Employment Devaluation Policy
578(1)
13.12.4 Default Dynamics under Optimal Devaluation Policy and Currency Pegs
579(3)
13.13 Appendix: Sovereign Default Dates, 1975-2014
582(4)
13.14 Exercises
586(5)
References 591(10)
Index 601
Martin Uribe is professor of economics at Columbia University and a research associate at the National Bureau of Economic Research. He is a coeditor of the Journal of International Economics. Stephanie Schmitt-Grohe is professor of economics at Columbia University, a research associate at the National Bureau of Economic Research, and a research fellow at the Center for Economic and Policy Research.