Closing small open economy models

• 成果类型: Article
• 署名作者: Schmitt-Grohé, S; Uribe, M
• 署名单位: University of Pennsylvania; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00056-9
• 发表日期: 2003
• 页码: 163-185
• 关键词: small open economy; stationarity; complete and incomplete asset markets

摘要

The small open economy model with incomplete asset markets features a steady-state that depends on initial conditions and equilibrium dynamics that possess a random walk component. A number of modifications to the standard model have been proposed to induce stationarity. This paper presents a quantitative comparison of these alternative approaches. Five different specifications are considered: (1) A model with an endogenous discount factor (Uzawa-type preferences); (2) a model with a debt-elastic interest-rate premium; (3) a model with convex portfolio adjustment costs; (4) a model with complete asset markets; and (5) a model without stationarity-inducing features. The main finding of the paper is that all models deliver virtually identical dynamics at business-cycle frequencies, as measured by unconditional second moments and impulse response functions. The only noticeable difference among the alternative specifications is that the complete-asset-market model induces smoother consumption dynamics. (C) 2002 Elsevier B.V. All rights reserved.