Efnisyfirlit

• Cover
• Title Page
• Copyright
• Contents
• Preface
• 1 Introduction
• 1.1 Dynamic General Equilibrium versus Traditional Macroeconomics
• 1.2 Traditional Macroeconomics
• 1.3 Dynamic General Equilibrium Macroeconomics
• 1.4 The Structure of This Book
• 2 The Centralized Economy
• 2.1 Introduction
• 2.2 The Basic Dynamic General Equilibrium Closed Economy
• 2.3 Golden Rule Solution
• 2.3.1 The Steady State
• 2.3.2 The Dynamics of the Golden Rule
• 2.4 Optimal Solution
• 2.4.1 Derivation of the Fundamental Euler Equation
• 2.4.2 Interpretation of the Euler Equation
• 2.4.3 The Intertemporal Production Possibility Frontier
• 2.4.4 Graphical Representation of the Solution
• 2.4.5 Static Equilibrium Solution
• 2.4.6 Dynamics of the Optimal Solution
• 2.4.7 Algebraic Analysis of the Saddlepath Dynamics
• 2.5 Real-Business-Cycle Dynamics
• 2.5.1 The Business Cycle
• 2.5.2 Permanent Technology Shocks
• 2.5.3 Temporary Technology Shocks
• 2.5.4 The Stability and Dynamics of the Golden Rule Revisited
• 2.6 Labor in the Basic Model
• 2.7 Investment
• 2.7.1 q-Theory
• 2.7.2 Time to Build
• 2.8 Conclusions
• 3 Economic Growth
• 3.1 Introduction
• 3.2 Modeling Economic Growth
• 3.3 The Solow–Swan Model of Growth
• 3.3.1 Theory
• 3.3.2 Growth and Economic Development
• 3.3.3 Balanced Growth
• 3.4 The Theory of Optimal Growth
• 3.4.1 Theory
• 3.4.2 Additional Remarks on Optimal Growth
• 3.5 Endogenous Growth
• 3.5.1 The AK Model of Endogenous Growth
• 3.5.2 Human Capital Models of Endogenous Growth
• 3.6 Conclusions
• 4 The Decentralized Economy
• 4.1 Introduction
• 4.2 Consumption
• 4.2.1 The Consumption Decision
• 4.2.2 The Intertemporal Budget Constraint
• 4.2.3 Interpreting the Euler Equation
• 4.2.4 The Consumption Function
• 4.2.5 Permanent and Temporary Shocks
• 4.3 Savings
• 4.4 Life-Cycle Theory
• 4.4.1 Implications of Life-Cycle Theory
• 4.4.2 Model of Perpetual Youth
• 4.5 Nondurable and Durable Consumption
• 4.6 Labor Supply
• 4.7 Firms
• 4.7.1 Labor Demand without Adjustment Costs
• 4.7.2 Labor Demand with Adjustment Costs
• 4.8 General Equilibrium in a Decentralized Economy
• 4.8.1 Consolidating the Household and Firm Budget Constraints
• 4.8.2 The Labor Market
• 4.8.3 The Goods Market
• 4.9 Comparison with the Centralized Model
• 4.10 Conclusions
• 5 Government: Expenditures and Public Finances
• 5.1 Introduction
• 5.2 The Government Budget Constraint
• 5.2.1 The Nominal Government Budget Constraint
• 5.2.2 The Real Government Budget Constraint
• 5.2.3 An Alternative Representation of the GBC
• 5.3 Financing Government Expenditures
• 5.3.1 Tax Finance
• 5.3.2 Bond Finance
• 5.3.3 Intertemporal Fiscal Policy
• 5.3.4 The Ricardian Equivalence Theorem
• 5.4 The Sustainability of the Fiscal Stance
• 5.4.1 Case 1: [(1 + π)(1 + γ)]/(1 + R) > 1 (Stable Case)
• 5.4.2 Case 2: 0 < [(1 + π)(1 + γ)]/(1 + R) < 1 (Unstable Case)
• 5.4.3 Fiscal Rules
• 5.5 The Stability and Growth Pact
• 5.6 The Fiscal Theory of the Price Level
• 5.7 Optimizing Public Finances
• 5.7.1 Optimal Government Expenditures
• 5.7.2 Optimal Tax Rates
• 5.7.3 The Optimal Level of Debt
• 5.8 Conclusions
• 6 Fiscal Policy: Further Issues
• 6.1 Introduction
• 6.2 Time-Consistent and Time-Inconsistent Fiscal Policy
• 6.2.1 Lump-Sum Taxation
• 6.2.2 Taxes on Labor and Capital
• 6.2.3 Conclusions
• 6.3 The Overlapping-Generations Model
• 6.3.1 Introduction
• 6.3.2 The Basic Overlapping-Generations Model
• 6.3.3 Short-Run Dynamics and Long-Run Equilibrium
• 6.3.4 Comparison with the Representative-Agent Model
• 6.3.5 Fiscal Policy in the OLG Model: Pensions
• 6.3.6 Conclusions
• 7 The Open Economy
• 7.1 Introduction
• 7.2 The Optimal Solution for the Open Economy
• 7.2.1 The Open Economy’s Resource Constraint
• 7.2.2 The Optimal Solution
• 7.2.3 Interpretation of the Solution
• 7.2.4 Long-Run Equilibrium
• 7.2.5 Shocks to the Current Account
• 7.3 Traded and Nontraded Goods
• 7.3.1 The Long-Run Solution
• 7.4 The Terms of Trade and the Real Exchange Rate
• 7.4.1 The Law of One Price
• 7.4.2 Purchasing Power Parity
• 7.4.3 Some Stylized Facts about the Terms of Trade and the Real Exchange Rate
• 7.5 Imperfect Substitutability of Tradeables
• 7.5.1 Pricing-to-Market, Local-Currency Pricing, and Producer-Currency Pricing
• 7.5.2 Imperfect Substitutability of Tradeables and Nontradeables
• 7.6 Current-Account Sustainability
• 7.6.1 Balance of Payments Sustainability
• 7.6.2 The Intertemporal Approach to the Current Account
• 7.7 Conclusions
• 8 The Monetary Economy
• 8.1 Introduction
• 8.2 A Brief History of Money and Its Role
• 8.3 The Nominal Household Budget Constraint
• 8.4 The Cash-in-Advance Model of Money Demand
• 8.5 Money in the Utility Function
• 8.6 Money as an Intermediate Good or the Shopping-Time Model
• 8.7 Transactions Costs
• 8.8 Cash and Credit Purchases
• 8.9 Some Empirical Evidence
• 8.10 Hyperinflation and Cagan’s Money-Demand Model
• 8.11 The Optimal Rate of Inflation
• 8.11.1 The Friedman Rule
• 8.11.2 The General Equilibrium Solution
• 8.12 The Super-Neutrality of Money
• 8.13 Conclusions
• 9 Imperfectly Flexible Prices
• 9.1 Introduction
• 9.2 Some Stylized “Facts” about Prices and Wages
• 9.3 Price Setting under Imperfect Competition
• 9.3.1 Theory of Pricing in Imperfect Competition
• 9.3.2 Price Determination in the Macroeconomy with Imperfect Competition
• 9.3.3 Pricing with Intermediate Goods
• 9.3.4 Pricing in the Open Economy: Local and Producer-Currency Pricing
• 9.4 Price Stickiness
• 9.4.1 Taylor Model of Overlapping Contracts
• 9.4.2 The Calvo Model of Staggered Price Adjustment
• 9.4.3 Optimal Dynamic Adjustment
• 9.4.4 Price Level Dynamics
• 9.5 The New Keynesian Phillips Curve
• 9.5.1 The New Keynesian Phillips Curve in an Open Economy
• 9.6 Conclusions
• 10 Unemployment
• 10.1 Introduction
• 10.2 Some Labor Market Data
• 10.3 Search Theory and Unemployment
• 10.3.1 The Employment Matching Function
• 10.3.2 Labor Demand
• 10.3.3 Labor Supply
• 10.3.4 Wage Bargaining
• 10.3.5 Comment
• 10.4 Efficiency-Wage Theory
• 10.4.1 Comment
• 10.5 Wage Stickiness and Unemployment
• 10.5.1 Labor Demand
• 10.5.2 Labor Supply
• 10.5.3 The Equilibrium Solution
• 10.5.4 Wage Determination
• 10.5.5 Unemployment
• 10.5.6 Comment
• 10.6 Unemployment and the Effectiveness of Fiscal and Monetary Policy
• 10.7 Conclusions
• 11 Asset Pricing and Macroeconomics
• 11.1 Introduction
• 11.2 Expected Utility and Risk
• 11.2.1 Risk Aversion
• 11.2.2 Risk Premium
• 11.3 Insurance Premium
• 11.4 No-Arbitrage and Market Efficiency
• 11.4.1 Arbitrage and No-Arbitrage
• 11.4.2 Market Efficiency
• 11.5 Asset Pricing and Contingent Claims
• 11.5.1 A Contingent Claim
• 11.5.2 The Price of an Asset
• 11.5.3 The Stochastic Discount-Factor Approach to Asset Pricing
• 11.5.4 Asset Returns
• 11.5.5 Risk-Free Return
• 11.5.6 The No-Arbitrage Relation
• 11.5.7 Risk-Neutral Valuation
• 11.6 General Equilibrium Asset Pricing
• 11.6.1 Using Contingent-Claims Analysis
• 11.6.2 Asset Pricing Using the Consumption-Based Capital-Asset-Pricing Model (C-CAPM)
• 11.7 Asset Allocation
• 11.7.1 The Capital-Asset-Pricing Model (CAPM)
• 11.7.2 Asset Substitutability and No-Arbitrage
• 11.8 Consumption under Uncertainty
• 11.9 Complete Markets
• 11.9.1 Risk Sharing and Complete Markets
• 11.9.2 Market Incompleteness
• 11.10 Conclusions
• 12 Financial Markets
• 12.1 Introduction
• 12.2 The Stock Market
• 12.2.1 The Present-Value Model
• 12.2.2 The General Equilibrium Model of Stock Prices
• 12.2.3 Comment
• 12.3 The Bond Market
• 12.3.1 The Term Structure of Interest Rates
• 12.3.2 The Term Premium
• 12.3.3 Macroeconomic Sources of Risk in the Term Structure
• 12.3.4 Estimating Future Inflation from the Yield Curve
• 12.3.5 Comment
• 12.3.6 Monetary Policy and the Term Structure
• 12.3.7 Comment
• 12.3.8 DSGE Models of the Term Structure
• 12.4 The FOREX Market
• 12.4.1 Uncovered and Covered Interest Parity
• 12.4.2 The General Equilibrium Model of FOREX
• 12.4.3 Comment
• 12.5 Conclusions
• 13 Nominal Exchange Rates
• 13.1 Introduction
• 13.2 International Monetary Arrangements 1873–2011
• 13.2.1 The Gold Standard System: 1873–1937
• 13.2.2 The Bretton Woods System: 1945–71
• 13.2.3 Floating Exchange Rates: 1973–2011
• 13.3 The Keynesian IS–LM–BP Model of the Exchange Rate
• 13.3.1 The IS–LM Model
• 13.3.2 The BP Equation
• 13.3.3 Fixed Exchange Rates: The Monetary Approach to the Balance of Payments
• 13.3.4 Exchange-Rate Determination with Imperfect Capital Substitutability
• 13.4 UIP and Exchange-Rate Determination
• 13.5 The Mundell–Fleming Model of the Exchange Rate
• 13.5.1 Theory
• 13.5.2 Monetary Policy
• 13.5.3 Fiscal Policy
• 13.6 The Monetary Model of the Exchange Rate
• 13.6.1 Theory
• 13.6.2 Monetary Policy
• 13.6.3 Fiscal Policy
• 13.7 The Dornbusch Model of the Exchange Rate
• 13.7.1 Theory
• 13.7.2 Monetary Policy
• 13.7.3 Fiscal Policy
• 13.7.4 Comparison of the Dornbusch and Monetary Models
• 13.8 The Monetary Model with Sticky Prices
• 13.9 The Obstfeld–Rogoff Redux Model
• 13.9.1 The Basic Redux Model with Flexible Prices
• 13.9.2 Log-Linear Approximation
• 13.9.3 The Small-Economy Version of the Redux Model with Sticky Prices
• 13.9.4 Comment
• 13.10 Conclusions
• 14 Monetary Policy
• 14.1 Introduction
• 14.2 Inflation and the Fisher Equation
• 14.3 The Keynesian Model of Inflation
• 14.3.1 Theory
• 14.3.2 Empirical Evidence
• 14.4 The New Keynesian Model of Inflation
• 14.4.1 Theory
• 14.4.2 The Effectiveness of Inflation Targeting in the New Keynesian Model
• 14.4.3 Inflation Targeting with a Flexible Exchange Rate
• 14.4.4 The Nominal Exchange Rate Under Inflation Targeting
• 14.4.5 Inflation Targeting and Supply Shocks
• 14.5 Optimal Inflation Targeting
• 14.5.1 Social Welfare and the Inflation Objective Function
• 14.5.2 Optimal Inflation Policy under Discretion
• 14.5.3 Optimal Inflation Policy under Commitment to a Rule
• 14.5.4 Intertemporal Optimization and Time-Consistent Inflation Targeting
• 14.5.5 Central Bank Preferences versus Public Preferences
• 14.6 Optimal Monetary Policy Using the New Keynesian Model
• 14.6.1 Using Discretion
• 14.6.2 Rules-Based Policy
• 14.7 Optimal Monetary and Fiscal Policy
• 14.8 Monetary Policy in the Eurozone
• 14.8.1 A New Keynesian Model of the Eurozone
• 14.8.2 Optimal Eurozone Monetary Policy
• 14.8.3 Individual Country Inflation
• 14.8.4 Eurozone Country Inflation Differentials
• 14.8.5 Is There Another Solution?
• 14.9 Conclusions
• 15 Banks, Financial Intermediation, and Unconventional Monetary Policy
• 15.1 Introduction
• 15.2 Some Lessons from the Financial Crisis
• 15.3 Financial Market Imperfections
• 15.3.1 Borrowing Constraints
• 15.3.2 Default
• 15.3.3 Imperfect Information
• 15.4 Modern Banking: A Brief History and Its Role in the Financial Crisis
• 15.5 Fractional Reserve Banking
• 15.6 The Theory of Bank Runs
• 15.6.1 Households and the Banks
• 15.6.2 The Interbank Market
• 15.6.3 Central Bank Intervention
• 15.6.4 Comment
• 15.7 A Theory of Unconventional Monetary Policy
• 15.7.1 Households
• 15.7.2 Financial Intermediaries
• 15.7.3 The Central Bank
• 15.7.4 Comment
• 15.8 A DSGE Model with Default
• 15.8.1 The Nonbank Private Sector
• 15.8.2 Banks
• 15.8.3 Government
• 15.8.4 Comment
• 15.9 Conclusions
• 16 Real Business Cycles, DSGE Models, and Economic Fluctuations
• 16.1 Introduction
• 16.2 The Methodology of RBC Analysis
• 16.2.1 The Steady-State Solution
• 16.2.2 Short-Run Dynamics
• 16.3 Empirical Methods
• 16.4 Empirical Evidence on the RBC Model
• 16.4.1 The Basic RBC Model
• 16.4.2 Extensions to the Basic RBC Model
• 16.4.3 The Open-Economy RBC Model
• 16.5 DSGE Models of the Monetary Economy
• 16.5.1 The Smets–Wouters Model
• 16.5.2 Empirical Results
• 16.6 Wedges, Frictions, and Economic Fluctuations
• 16.6.1 A Benchmark Model
• 16.6.2 Alternative Explanations of the Wedges
• 16.6.3 Frictions
• 16.6.4 Comment
• 16.7 The Identification of a New Keynesian Model
• 16.8 Some Reflections on the Choices Involved in Constructing a DSGE Model
• 16.9 Conclusions
• 17 Mathematical Appendix
• 17.1 Introduction
• 17.2 Dynamic Optimization
• 17.3 The Method of Lagrange Multipliers
• 17.3.1 Equality Constraints
• 17.3.2 Inequality Constraints
• 17.4 Continuous-Time Optimization
• 17.4.1 The Calculus of Variations
• 17.4.2 The Maximum Principle
• 17.5 Dynamic Programming
• 17.6 Stochastic Dynamic Optimization
• 17.7 Time Consistency and Time Inconsistency
• 17.8 The Linear Rational-Expectations Models
• 17.8.1 Rational Expectations
• 17.8.2 The First-Order Nonstochastic Equation
• 17.8.3 Whiteman’s Solution Method for Linear Rational-Expectations Models
• 17.8.4 Systems of Rational-Expectations Equations
• References
• Index