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发表时间:2015-09-30

Macroeconomic Theory代写

Macroeconomic Theory-宏观经济理论《宏观经济理论:动态一般均衡方法》是最新的研究生层次的宏观经济学教科书,突出宏观经济学中的一般均衡层面。Michael Wickens介绍了现代宏观经济学的核心思想,并陈述了这个核心思想是如何将宏观经济学与金融学紧密相连的。他在书中首先介绍了最基本的、封闭经济体系的一般均衡宏观经济学模型,然后逐步增加模型的复杂度,直至描述到开放经济体系。书中分析了所有重要的论题,包括增长、周期、财政政策、税收和公债融资、经常项目的可持续性、汇率决定,以及最新的通货膨胀目标制的货币政策等。

《宏观经济理论:动态一般均衡方法》的特点是可读性强、分析深入和涵盖面广,因此,它不仅是一本标准教科书,也十分适合服务于政府、央行、商业银行和金融投资领域的经济学家阅读。

本书目录如下:

Preface xiii

1 Introduction 1

1.1 Dynamic General Equilibrium versus Traditional Macroeconomics 1

1.2 Traditional Macroeconomics 3

1.3 Dynamic General Equilibrium Macroeconomics 4

1.4 This Book 7

2 The Centralized Economy 12

2.1 Introduction 12

2.2 The Basic Dynamic General Equilibrium Closed Economy 12

2.3 Golden Rule Solution 14

2.3.1 The Steady State 14

2.3.2 The Dynamics of the Golden Rule 16

2.4 Optimal Solution 17

2.4.1 Derivation of the Fundamental Euler Equation 17

2.4.2 Interpretation of the Euler Equation 19

2.4.3 Intertemporal Production Possibility Frontier 20

2.4.4 Graphical Representation of the Solution 20

2.4.5 Static Equilibrium Solution 21

2.4.6 Dynamics of the Optimal Solution 23

2.4.7 Algebraic Analysis of the Saddlepath Dynamics 25

2.5 Real-Business-Cycle Dynamics 27

2.5.1 The Business Cycle 27

2.5.2 Permanent Technology Shocks 28

2.5.3 Temporary Technology Shocks 29

2.5.4 The Stability and Dynamics of the Golden Rule Revisited 29

2.6 Labor in the Basic Model 30

2.7 Investment 32

2.7.1 q-Theory 33

2.7.2 Time to Build 36

2.8 Conclusions 37

3 Economic Growth 39

3.1 Introduction 39

3.2 Modeling Economic Growth 40

3.3 The Solow–Swan Model of Growth 41

3.3.1 Theory 41

3.3.2 Growth and Economic Development 44

vi Contents

3.3.3 Balanced Growth 44

3.4 The Theory of Optimal Growth 45

3.4.1 Theory 45

3.4.2 Additional Remarks on Optimal Growth 49

3.5 Endogenous Growth 50

3.5.1 The AK Model of Endogenous Growth 51

3.5.2 The Human Capital Model of Endogenous Growth 51

3.6 Conclusions 53

4 The Decentralized Economy 54

4.1 Introduction 54

4.2 Consumption 55

4.2.1 The Consumption Decision 55

4.2.2 The Intertemporal Budget Constraint 56

4.2.3 Interpreting the Euler Equation 57

4.2.4 The Consumption Function 59

4.2.5 Permanent and Temporary Shocks 61

4.3 Savings 64

4.4 Life-Cycle Theory 65

4.4.1 Implications of Life-Cycle Theory 65

4.4.2 Model of Perpetual Youth 67

4.5 Nondurable and Durable Consumption 68

4.6 Labor Supply 70

4.7 Firms 73

4.7.1 Labor Demand without Adjustment Costs 73

4.7.2 Labor Demand with Adjustment Costs 75

4.8 General Equilibrium in a Decentralized Economy 77

4.8.1 Consolidating the Household and Firm Budget Constraints 77

4.8.2 The Labor Market 79

4.8.3 The Goods Market 80

4.9 Comparison with the Centralized Model 81

4.10 Conclusions 83

5 Government: Expenditures and Public Finances 84

5.1 Introduction 84

5.2 The Government Budget Constraint 86

5.2.1 The Nominal Government Budget Constraint 86

5.2.2 The Real Government Budget Constraint 88

5.2.3 An Alternative Representation of the GBC 88

5.3 Financing Government Expenditures 89

5.3.1 Tax Finance 89

5.3.2 Bond Finance 91

5.3.3 Intertemporal Fiscal Policy 93

5.3.4 The Ricardian Equivalence Theorem 94

5.4 The Sustainability of the Fiscal Stance 96

5.4.1 Case 1: [(1 + π)(1 + γ)]/(1 + R) > 1 (Stable Case) 98

5.4.2 Implications 99

5.4.3 Case 2: 0 < [(1 + π)(1 + γ)]/(1 + R) < 1 (Unstable Case) 100

5.4.4 Implications 101

5.4.5 The Optimal Level of Debt 103

5.5 The Stability and Growth Pact 103

5.6 The Fiscal Theory of the Price Level 105

5.7 Optimizing Public Finances 106

Contents vii

5.7.1 Optimal Government Expenditures 107

5.7.2 Optimal Tax Rates 109

5.8 Conclusions 120

6 Fiscal Policy: Further Issues 121

6.1 Introduction 121

6.2 Time-Consistent and Time-Inconsistent Fiscal Policy 121

6.2.1 Lump-Sum Taxation 123

6.2.2 Taxes on Labor and Capital 126

6.2.3 Conclusions 131

6.3 The Overlapping-Generations Model 131

6.3.1 Introduction 131

6.3.2 The Basic Overlapping-Generations Model 132

6.3.3 Short-Run Dynamics and Long-Run Equilibrium 136

6.3.4 Comparison with the Representative-Agent Model 137

6.3.5 Fiscal Policy in the OLG Model: Pensions 138

6.3.6 Conclusions 143

7 The Open Economy 145

7.1 Introduction 145

7.2 The Optimal Solution for the Open Economy 146

7.2.1 The Open Economy’s Resource Constraint 146

7.2.2 The Optimal Solution 149

7.2.3 Interpretation of the Solution 150

7.2.4 Long-Run Equilibrium 152

7.2.5 Shocks to the Current Account 153

7.3 Traded and Nontraded Goods 155

7.3.1 The Long-Run Solution 159

7.4 The Terms of Trade and the Real Exchange Rate 160

7.4.1 The Law of One Price 161

7.4.2 Purchasing Power Parity 161

7.4.3 Some Stylized Facts about the Terms of Trade and

the Real Exchange Rate 162

7.5 Imperfect Substitutability of Tradeables 163

7.5.1 Pricing-to-Market, Local Currency Pricing, and

Producer Currency Pricing 163

7.5.2 Imperfect Substitutability of Tradeables and Nontradeables 164

7.6 Current-Account Sustainability 168

7.6.1 Balance of Payments Sustainability 168

7.6.2 The Intertemporal Approach to the Current Account 174

7.7 Conclusions 175

8 The Monetary Economy 177

8.1 Introduction 177

8.2 A Brief History of Money and Its Role 177

8.3 Nominal Household Budget Constraint 180

8.4 The Cash-in-Advance Model of Money Demand 182

8.5 Money in the Utility Function 184

8.6 Money as an Intermediate Good or the Shopping-Time Model 187

8.7 Transactions Costs 189

8.8 Cash and Credit Purchases 191

8.8.1 CIA 191

8.8.2 MIU 192

viii Contents

8.9 Some Empirical Evidence 194

8.10 Hyperinflation and Cagan’s Money-Demand Model 196

8.11 The Optimal Rate of Inflation 198

8.11.1 The Friedman Rule 198

8.11.2 General Equilibrium Solution 199

8.12 The Super-Neutrality of Money 203

8.13 Conclusions 205

9 Imperfectly Flexible Prices 207

9.1 Introduction 207

9.2 Some Stylized “Facts” about Prices and Wages 208

9.3 Price Setting under Imperfect Competition 210

9.3.1 Theory of Pricing in Imperfect Competition 211

9.3.2 Price Determination in the Macroeconomy with

Imperfect Competition 213

9.3.3 Pricing with Intermediate Goods 217

9.3.4 Pricing in the Open Economy: Local and Producer

Currency Pricing 220

9.4 Price Stickiness 221

9.4.1 Taylor Model of Overlapping Contracts 222

9.4.2 The Calvo Model of Staggered Price Adjustment 223

9.4.3 Optimal Dynamic Adjustment 225

9.4.4 Price Level Dynamics 226

9.5 The New Keynesian Phillips Curve 228

9.5.1 The New Keynesian Phillips Curve in an Open Economy 231

9.6 Conclusions 232

10 Asset Pricing and Macroeconomics 234

10.1 Introduction 234

10.2 Expected Utility and Risk 235

10.2.1 Risk Aversion 235

10.2.2 Risk Premium 236

10.3 No-Arbitrage and Market Efficiency 237

10.3.1 Arbitrage and No-Arbitrage 237

10.3.2 Market Efficiency 237

10.4 Asset Pricing and Contingent Claims 238

10.4.1 A Contingent Claim 239

10.4.2 The Price of an Asset 239

10.4.3 The Stochastic Discount-Factor Approach to Asset Pricing 239

10.4.4 Asset Returns 240

10.4.5 Risk-Free Return 240

10.4.6 The No-Arbitrage Relation 240

10.4.7 Risk-Neutral Valuation 241

10.5 General Equilibrium Asset Pricing 242

10.5.1 Using Contingent-Claims Analysis 243

10.5.2 Asset Pricing Using the Consumption-Based Capital

Asset-Pricing Model (C-CAPM) 244

10.6 Asset Allocation 251

10.6.1 The Capital Asset-Pricing Model (CAPM) 254

10.7 Consumption under Uncertainty 255

10.8 Complete Markets 256

10.8.1 Risk Sharing and Complete Markets 257

10.8.2 Market Incompleteness 260

Contents ix

10.9 Conclusions 260

11 Financial Markets 262

11.1 Introduction 262

11.2 The Stock Market 263

11.2.1 The Present-Value Model 263

11.2.2 The General Equilibrium Model of Stock Prices 266

11.2.3 Conclusions 269

11.3 The Bond Market 269

11.3.1 The Term Structure of Interest Rates 270

11.3.2 The Term Premium 276

11.3.3 Estimating Future Inflation from the Yield Curve 282

11.3.4 Conclusions 283

11.4 The FOREX Market 284

11.4.1 Uncovered and Covered Interest Parity 284

11.4.2 The General Equilibrium Model of FOREX 294

11.4.3 Conclusions 296

11.5 Conclusions 298

12 Nominal Exchange Rates 299

12.1 Introduction 299

12.2 International Monetary Arrangements 1873–2007 301

12.2.1 The Gold Standard System: 1873–1937 302

12.2.2 The Bretton Woods System: 1945–71 303

12.2.3 Floating Exchange Rates: 1973–2007 304

12.3 The Keynesian IS–LM–BP Model of the Exchange Rate 308

12.3.1 The IS–LM Model 309

12.3.2 The BP Equation 313

12.3.3 Fixed Exchange Rates: The Monetary Approach to

the Balance of Payments 316

12.3.4 Exchange-Rate Determination with Imperfect Capital

Substitutability 317

12.4 UIP and Exchange-Rate Determination 319

12.5 The Mundell–Fleming Model of the Exchange Rate 321

12.5.1 Theory 321

12.5.2 Monetary Policy 322

12.5.3 Fiscal Policy 323

12.6 The Monetary Model of the Exchange Rate 324

12.6.1 Theory 324

12.6.2 Monetary Policy 325

12.6.3 Fiscal Policy 328

12.7 The Dornbusch Model of the Exchange Rate 329

12.7.1 Theory 329

12.7.2 Monetary Policy 331

12.7.3 Fiscal Policy 334

12.7.4 Comparison of the Dornbusch and Monetary Models 334

12.8 The Monetary Model with Sticky Prices 336

12.9 The Obstfeld–Rogoff Redux Model 339

12.9.1 The Basic Redux Model with Flexible Prices 339

12.9.2 Log-Linear Approximation 344

12.9.3 The Small-Economy Version of the Redux Model

with Sticky Prices 347

12.10 Conclusions 349

x Contents

13 Monetary Policy 352

13.1 Introduction 352

13.2 Inflation and the Fisher Equation 357

13.3 The Keynesian Model of Inflation 359

13.3.1 Theory 359

13.3.2 Empirical Evidence 362

13.4 The New Keynesian Model of Inflation 362

13.4.1 Theory 362

13.4.2 The Effectiveness of Inflation Targeting in the New

Keynesian Model 369

13.4.3 Inflation Targeting with a Flexible Exchange Rate 373

13.5 Optimal Inflation Targeting 375

13.5.1 Social Welfare and the Inflation Objective Function 376

13.5.2 Optimal Inflation Policy under Discretion 378

13.5.3 Optimal Inflation Policy under Commitment to a Rule 382

13.5.4 Intertemporal Optimization and Time-Consistent

Inflation Targeting 384

13.5.5 Central Bank versus Public Preferences 386

13.6 Optimal Monetary Policy using the New Keynesian Model 388

13.6.1 Using Discretion 388

13.6.2 Rules-Based Policy 390

13.7 Monetary Policy in the Euro Area 391

13.7.1 New Keynesian Model of the Euro Area 393

13.7.2 Model 393

13.7.3 Optimal Monetary Policy 394

13.7.4 Competitiveness and Absorbtion 396

13.7.5 Is There Another Solution? 397

13.8 Conclusions 397

14 Real Business Cycles, DGE Models, and Economic Fluctuations 400

14.1 Introduction 400

14.2 The Methodology of RBC Analysis 401

14.2.1 Steady-State Solution 404

14.2.2 Short-Run Dynamics 404

14.3 Empirical Evidence on the RBC Model 409

14.3.1 The Basic RBC Model 410

14.3.2 Extensions to the Basic RBC Model 412

14.3.3 The Open-Economy RBC Model 414

14.4 DGE Models of the Monetary Economy 419

14.4.1 The Smets–Wouters Model 419

14.4.2 Empirical Results 423

14.5 Conclusions 426

15 Mathematical Appendix 427

15.1 Introduction 427

15.2 Dynamic Optimization 427

15.3 The Method of Lagrange Multipliers 429

15.3.1 Equality Constraints 429

15.3.2 Inequality Constraints 434

15.4 Continuous-Time Optimization 435

15.4.1 Calculus of Variations 436

15.4.2 The Maximum Principle 437

15.5 Dynamic Programming 437

Contents xi

15.6 Stochastic Dynamic Optimization 441

15.7 Time Consistency and Time Inconsistency 443

15.8 The Linear Rational-Expectations Models 445

15.8.1 Rational Expectations 446

15.8.2 The First-Order Nonstochastic Equation 447

15.8.3 Whiteman’s Solution Method for Linear Rational

Expectations Models 449

15.8.4 Systems of Rational-Expectations Equations 456

References 461

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