scholarly journals Study on the Business Cycle Model with Fractional-Order Time Delay under Random Excitation

Entropy ◽  
2017 ◽  
Vol 19 (7) ◽  
pp. 354 ◽  
Author(s):  
Zifei Lin ◽  
Wei Xu ◽  
Jiaorui Li ◽  
Wantao Jia ◽  
Shuang Li
Keyword(s):  
Time Delay ◽  
Business Cycle ◽  
Fractional Order ◽  
Random Excitation ◽  
Cycle Model ◽  
Business Cycle Model ◽  
The Business Cycle

scholarly journals Stability and Bifurcation of a Delayed Time-Fractional Order Business Cycle Model with a General Liquidity Preference Function and Investment Function

Mathematics ◽  
2019 ◽  
Vol 7 (9) ◽  
pp. 846 ◽  
Author(s):  
Yingkang Xie ◽  
Zhen Wang ◽  
Bo Meng
Keyword(s):  
Business Cycle ◽  
Fractional Order ◽  
Preference Function ◽  
Positive Equilibrium ◽  
Proposed Model ◽  
Investment Function ◽  
Business Cycle Model ◽  
The Business Cycle ◽  
Positive Equilibrium Point ◽  
Delayed Time

In this paper, the business cycle (BC) is described by a delayed time-fractional-order model (DTFOM) with a general liquidity preference function and an investment function. Firstly, the existence and uniqueness of the DTFOM solution are proven. Then, some conditions are presented to guarantee that the positive equilibrium point of DTFOM is locally stable. In addition, Hopf bifurcation is obtained by a new method, where the time delay is regarded as the bifurcation parameter. Finally, a numerical example of DTFOM is given to verify the effectiveness of the proposed model and methods.

scholarly journals ARE UNIT ROOT TESTS USEFUL IN THE DEBATE OVER THE (NON)STATIONARITY OF HOURS WORKED?

2013 ◽  
Vol 19 (1) ◽  
pp. 167-188
Author(s):  
Amélie Charles ◽  
Olivier Darné ◽  
Fabien Tripier
Keyword(s):  
Monte Carlo ◽  
Business Cycle ◽  
Monte Carlo Simulations ◽  
Unit Root ◽  
Unit Root Tests ◽  
Cycle Model ◽  
Hours Worked ◽  
Simulated Series ◽  
Business Cycle Model ◽  
The Business Cycle

The performance of unit root tests on simulated series is compared, using the business-cycle model of Chang et al. [Journal of Money, Credit and Banking39(6), 1357–1373 (2007)] as a data-generating process. Overall, Monte Carlo simulations show that the efficient unit root tests of Ng and Perron (NP) [Econometrica69(6), 1519–1554 (2001)] are more powerful than the standard unit root tests. These efficient tests are frequently able (i) to reject the unit-root hypothesis on simulated series, using the best specification of the business-cycle model found by Chang et al., in which hours worked are stationary with adjustment costs, and (ii) to reduce the gap between the theoretical impulse response functions and those estimated with a Structural VAR model. The results of Monte Carlo simulations show that the hump-shaped behavior of data can explain the divergence between unit root tests.

Python and Dynare Code

2020 ◽  
pp. 258-266
Author(s):  
Harold L. Cole
Keyword(s):  
Business Cycle ◽  
Open Source ◽  
Cycle Model ◽  
Main Text ◽  
Matlab Code ◽  
Business Cycle Model ◽  
The Business Cycle

In this chapter a variety of different sample codes are provided in Python, complementing the Matlab code in the main text. In addition, Dynare (an open source add-on to Matlab) code is provided for the business cycle model.

scholarly journals Inventories and the Business Cycle: An Equilibrium Analysis of (S, s) Policies

2007 ◽  
Vol 97 (4) ◽  
pp. 1165-1188 ◽  
Author(s):  
Aubhik Khan ◽  
Julia K Thomas
Keyword(s):  
Business Cycle ◽  
Equilibrium Analysis ◽  
Aggregate Fluctuations ◽  
Cycle Model ◽  
Delivery Costs ◽  
Inventory Investment ◽  
Cyclical Variability ◽  
Business Cycle Model ◽  
The Business Cycle ◽  
Inventory Accumulation

We develop an equilibrium business cycle model where nonconvex delivery costs lead firms to follow (S, s) inventory policies. Calibrated to postwar US data, the model reproduces two-thirds of the cyclical variability of inventory investment. Moreover, it delivers strongly procyclical inventory investment, greater volatility in production than sales, and a countercyclical inventory-to-sales ratio. Our model challenges several prominent claims involving inventories, including the widely held belief that they amplify aggregate fluctuations. Despite the comovement between inventory investment and final sales, GDP volatility is essentially unaltered by inventory accumulation, because procyclical inventory investment diverts resources from final production, thereby dampening fluctuations in sales. (JEL E22, E32).

scholarly journals Decomposition method for solving a nonlinear business cycle model

2003 ◽  
Vol 45 (2) ◽  
pp. 295-302 ◽  
Author(s):  
Elias Deeba ◽  
Ghassan Dibeh ◽  
Suheil Khuri ◽  
Shishen Xie
Keyword(s):  
Business Cycle ◽  
Decomposition Method ◽  
Type Model ◽  
Cycle Model ◽  
Decomposition Scheme ◽  
Business Cycle Model ◽  
The Business Cycle ◽  
Delay Differential ◽  
Nonlinear Delay Differential Equation ◽  
Nonlinear Delay

AbstractIn this paper we present a Kaleckian-type model of a business cycle based on a nonlinear delay differential equation. A numerical algorithm based on a decomposition scheme is implemented for the approximate solution of the model. The numerical results of the underlying equation show that the business cycle is stable.

scholarly journals Endogenous Business Cycles and the Dynamics of Output, Hours, and Consumption

2000 ◽  
Vol 90 (5) ◽  
pp. 1136-1159 ◽  
Author(s):  
Stephanie Schmitt-Grohé
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Returns To Scale ◽  
Real Business Cycle ◽  
Cycle Model ◽  
Increasing Returns To Scale ◽  
Endogenous Business Cycles ◽  
Business Cycle Model ◽  
The Business Cycle ◽  
Dynamic Element

This paper studies the business-cycle fluctuations predicted by a two-sector endogenous-business-cycle model with sector-specific external increasing returns to scale. It focuses on aspects of actual fluctuations that have been identified both as defining features of business cycles and as ones standard real-business-cycle models cannot explain. For empirically realistic calibrations of the degree of returns to scale, the results suggest that endogenous fluctuations do not provide the dynamic element that is missing in existing real-business-cycle models. (JEL E32)

scholarly journals Real Rigidity, Nominal Rigidity, and the Social Value of Information

2016 ◽  
Vol 106 (1) ◽  
pp. 200-227 ◽  
Author(s):  
George-Marios Angeletos ◽  
Luigi Iovino ◽  
Jennifer La'O
Keyword(s):  
Business Cycle ◽  
Value Of Information ◽  
Social Value ◽  
Cycle Model ◽  
Pricing Decisions ◽  
Nominal Rigidity ◽  
The Social ◽  
State Of The Economy ◽  
Business Cycle Model ◽  
The Business Cycle

Does welfare improve when firms are better informed about the state of the economy and can thus better coordinate their production and pricing decisions? We address this question in an elementary business-cycle model that highlights how the dispersion of information can impede both kinds of decisions and, in this sense, be the source of both real and nominal rigidity. Within this context we develop a taxonomy for how the social value of information depends on the two rigidities, on the sources of the business cycle, and on the conduct of monetary policy. (JEL D21, D82, D83, E32, E52)

scholarly journals Risk Matters: The Real Effects of Volatility Shocks: Comment

2014 ◽  
Vol 104 (12) ◽  
pp. 4231-4239 ◽  
Author(s):  
Benjamin Born ◽  
Johannes Pfeifer
Keyword(s):  
Business Cycle ◽  
Interest Rate Risk ◽  
Cycle Model ◽  
Additional Error ◽  
Peak Response ◽  
Real Effects ◽  
Time Aggregation ◽  
Net Exports ◽  
Business Cycle Model ◽  
The Business Cycle

We show that the risk-shock business cycle model of Fernández-Villaverde et al. (2011) must be recalibrated because it underpredicts the targeted business cycle moments by a factor of three once a time aggregation error is corrected. Recalibrating the corrected model for the benchmark case of Argentina, the peak response and the contribution of interest rate risk shocks to business cycle volatility increase. However, the recalibrated model does worse in capturing the business cycle properties of net exports once an additional error in the computation of net exports is corrected. (JEL E13, E20, E32, E43, F32, F43, O11)

Sign in / Sign up

Export Citation Format

Share Document