Indeterminacy and sunspots in two-sector RBC models with generalized no-income-effect preferences

• 成果类型: Article
• 署名作者: Dufourt, Frederic; Nishimura, Kazuo; Venditti, Alain
• 署名单位: Aix-Marseille Universite; Centre National de la Recherche Scientifique (CNRS); Institut Universitaire de France; Kobe University; Kyoto University; Universite Catholique de Lille; EDHEC Business School
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.03.005
• 发表日期: 2015
• 页码: 1056-1080
• 关键词: Indeterminacy; sunspots; Two-sector model; Sector-specific externalities; Real business cycles

摘要

We analyze sunspot-driven fluctuations in the standard two-sector RBC model with moderate increasing returns to scale and generalized no-income-effect preferences a la Greenwood, Hercovitz and Huffman [13]. We provide a detailed theoretical analysis enabling us to derive relevant bifurcation loci and to characterize the steady-state local stability properties as a function of various structural parameters. We show that local indeterminacy occurs through flip and Hopf bifurcations for a large set of values for the elasticity of intertemporal substitution in consumption, provided that the labor supply is sufficiently inelastic. Finally, we provide a detailed quantitative analysis of the model. Computing, on a quarterly basis, a new set of empirical moments related to two broadly defined consumption and investment sectors, we are able to identify, among the set of admissible calibrations consistent with sunspot equilibria, the ones that provide the best fit of the data. The model properly calibrated solves several empirical puzzles traditionally associated with two-sector RBC models. (c) 2015 Elsevier Inc. All rights reserved.