International business cycles with complete markets

Dmitriev, Alexandre; Roberts, Ivan

doi:10.1016/j.jedc.2011.12.006

Cited by 14 publications

(11 citation statements)

References 34 publications

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“…More recently, several authors (Canova and Ubide, 1998;Dmitriev and Roberts, 2012;Karabarbounis, 2014;Nguyen, 2010;Raffo, 2008 and explored the significant impacts of having an independent home production sector or adopting its reduced form, i.e., the GHH preferences, on the international business Notes: This table reports the standard deviations of output and other variables relative to output, including consumption (C), investment (I), labor hours (N), labor productivity (Y/N), government consumption (G), government size (size), imports (IM), exports (EX), net export ratio (nx), and trade openness (open). The data for G7 countries are from the Penn World Table 7.1.…”

Section: Introductionmentioning

confidence: 99%

By force of demand: Explaining cyclical fluctuations of international trade and government spending

Jiang

2016

Journal of Economic Dynamics and Control

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Section: Introductionmentioning

confidence: 99%

By force of demand: Explaining cyclical fluctuations of international trade and government spending

Jiang

2016

Journal of Economic Dynamics and Control

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“…and the law of motion for the co-state variables The gradient of the optimal value function a i V enters the intertemporal condition (8) and the risk-sharing condition (7). Approximation of this gradient is the purpose of the algorithm proposed in [3] and in this paper.…”

Section: Applicability Of the Algorithm: An Examplementioning

confidence: 99%

On Approximating the Gradient of the Value Function

Dmitriev¹

2019

TEL

Self Cite

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The optimality conditions for macroeconomic problems with limited commitment often contain partial derivatives of the optimal value function, corresponding to the outside option. This paper contributes to the literature on recursive contracts by proposing an algorithm for approximating the gradient of the value function using simulation-based methods. Our method combines numerical solution and simulation of the model, Monte-Carlo integration and numerical differentiation. It does not suffer from the curse of dimensionality and is therefore convenient for models involving many state variables. The algorithm inherits the speed and accuracy limitations of the numerical solution method it relies on. Our accuracy analysis is limited to a few classical examples from macroeconomic literature.

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“…Since the relative price is the same for all entrepreneurs, we haveω j =ω for all j. Furthermore, givenω(P ), equation (19) determines the optimal amount of investment by the entrepreneur. This can be written as a function of the entrepreneur's wealth and the relative price of investment…”

Section: Financial Contract and Investment Decisionmentioning

confidence: 99%

Agency Costs, Risk Shocks, and International Cycles

Letendre¹,

Wagner

2017

Macroecon. Dynam.

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AcknowledgementsWe would like to thank conference participants at the 2013 Canadian Economics Association Meeting, Alok Johri, Bill Scarth and two anonymous referees for their helpful comments.iii AbstractWe add agency costs as in Carlstrom and Fuerst (1997) into a two-country, two-good international business-cycle model. In our model, changes in the relative price of investment arise endogenously. Despite the fact that technology shocks are uncorrelated across countries, the relative price of investment is positively correlated across countries in our model, much as it is in detrended U.S./euro area data. We also find that the financial frictions tend to increase the volatility of the terms of trade and the international correlations of consumption, hours worked, output and investment. We then compare this model to an alternative model that also includes risk shocks à la Christiano, Motto and Rostango (2014). We use credit spread data (for the United States) to calibrate the AR(1) process for risk shocks. We find that risk shocks are too small to significantly impact the model's dynamics. JEL classification: E22, E32, E44, F44 Bank classification: Business fluctuations and cycles; International topics RésuméDans un modèle de cycle économique à deux pays et à deux biens, nous intégrons des coûts de délégation à la manière de Carlstrom et Fuerst (1997). Dans notre modèle, les variations du prix relatif de l'investissement sont endogènes. Malgré l'absence de corrélation entre les chocs technologiques spécifiques aux pays, les prix relatifs de l'investissement sont positivement corrélés dans les deux pays, à l'instar de ce que l'on observe pour le couple États-Unis-zone euro dans les données dépouillées de leur composante tendancielle. Nous constatons également que les frictions financières ont tendance à accroître la volatilité des termes de l'échange et les corrélations de la consommation, des heures travaillées, de la production et de l'investissement entre pays. Nous comparons ensuite les résultats obtenus à ceux d'une variante du modèle dans laquelle sont incorporés des chocs de risque à la manière de Christiano, Motto et Rostango (2014). Nous employons des données relatives aux écarts de crédit aux États-Unis pour calibrer un processus autorégressif d'ordre 1 pour les chocs de risque. Il ressort de notre analyse que l'ampleur des chocs de risque est trop faible pour exercer une influence notable sur la dynamiqu...

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International business cycles with complete markets

Cited by 14 publications

References 34 publications

By force of demand: Explaining cyclical fluctuations of international trade and government spending

By force of demand: Explaining cyclical fluctuations of international trade and government spending

On Approximating the Gradient of the Value Function

Agency Costs, Risk Shocks, and International Cycles

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