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on Dynamic General Equilibrium |
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Issue of 2005‒01‒09
three papers chosen by |
| By: | Sopraseuth, Thepthida; Hairault, Jean-Olivier; Langot, François |
| Abstract: | It is often argued that the tax on continued work should be removed by implementing actuarially fair schemes. However, these schemes cannot help finance the expected Social Security deficit. This paper proposes to give individuals on a fraction of the marginal actuarially fair incentives in case of postponed retirement. Social Security then faces a trade off between giving enough incentives to make individuals actually delay retirement and giving little increase in pensions in order to help finance its expected deficit. This trade-off is captured by a Laffer curve that we quantify on French data. Furthermore, we analyze the interactions between wealth and retirement behavior. |
| JEL: | H31 H55 J26 |
| Date: | 2004 |
| URL: | http://d.repec.org/n?u=RePEc:cpm:cepmap:0409&r=dge |
| By: | David Andolfatto (Simon Fraser University); Scott Hendry (Bank of Canada); Kevin Moran (Universite Laval) |
| Abstract: | Simple econometric tests reported in the literature consistently report what appears to be a bias in inflation expectations. These results are commonly interpreted as constituting evidence overturning the hypothesis of rational expectations. In this paper, we investigate the validity of such an interpretation. The main tool utilized in our investigation is a computational dynamic general equilibrium model capable of generating aggregate behavior similar to the data along a number of dimensions. By construction, the model embedded the assumption of rational expectations. Standard regressions run on equilibrium realizations of inflation and inflation expectations nevertheless reveal an apparent bias in inflation expectations. In these simulations, the null hypothesis of rational expectations is incorrectly rejected in a large percentage of cases; a result that casts some doubt on conventional interpretations of the evidence. |
| JEL: | E |
| Date: | 2005–01–04 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpma:0501002&r=dge |
| By: | Dufourt (BETA - University Louis Pasteur) |
| Abstract: | Linear and Hodrick-Prescott detrending methods do not provide a good approximation of the business cycle when output contains a unit root. I use the multivariate Beveridge-Nelson decomposition to document the main patterns of US postwar business cycles when output and some other variables are assumed to be integrated I(1) processes. I show that the business cycle identified in this way displays some important differences with those obtained from the preceding methods. I then evaluate the ability of various dynamic stochastic general equilibrium (DSGE) models to replicate the main aspects of this business cycle. Among competing models, I find that the best specification involves an economy hit simultaneously by both technological and monetary shocks, in a context of price stickiness and limited (but insufficient) accommodation by the monetary authorities. Hence, the data favor the model advocated by the New-Neoclassical Synthesis rather than its purely classical (RBC type and flexible price) counterparts. |
| Keywords: | Business cycles, Beveridge-Nelson decomposition, Prices rigidity |
| JEL: | E32 |
| Date: | 2005–01–05 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpma:0501003&r=dge |