[02526] Recent Develoments of Mathematical Economics Focusing on Macroeconomic Dynamics
Session Time & Room : 5D (Aug.25, 15:30-17:10) @D502
Type : Proposal of Minisymposium
Abstract : Successful investigation is highlighted about application of cutting-edge mathematical methodology to traditional macroeconomic models. We will show how modern methodology can fit into these studies. In particular, the session presents an evaluation of a deterministic limit cycle in a stochastic post-Keynesian model, endogenous fluctuations of money and foreign exchange ratio in a Mundell-Fleming international trade framework, applications of nonlinear differential equations for the birth of GDP fluctuations in a three-country Kaldor model with fixed exchange rates and estimation of the natural rate of interest by utilizing various filters, which is one of the significant topics of empirical macroeconomics
Organizer(s) : Akio Matsumoto, Ferenc Szidarovszky
[04358] On growth cycles in a stochastic post-Keynesian model
Format : Talk at Waseda University
Author(s) :
Hiroki Murakami (Chuo University)
Abstract : This study evaluates the impact of stochastic disturbances on a deterministic limit cycle in a stochastic post-Keynesian model. It presents an approximation formula for solution paths near the limit cycle and derives an approximated distribution of the limit cycle.
[03425] A Three-Country Kaldorian Business Cycle Model with Fixed Exchange Rates
Format : Talk at Waseda University
Author(s) :
Toichiro Asada (Faculty of Economics, Chuo University)
Abstract : This paper analyzes a three-country, fixed exchange rates Kaldorian nonlinear macrodynamic model of business cycle. The country is connected through international trade, and international capital movement with imperfect capital market. Our model is a continuous time version that is formulated by a eight-dimensional nonlinear differential equations. This system is studied both analytically and numerically. This paper is a joint work by R. Zimka, M. Demetrian, T. Asada, and T. Inaba.
[04424] Simple Estimations of the Natural Rate of Interest
Format : Talk at Waseda University
Author(s) :
Kazuhiko NAKAHIRA (Meikai University)
Abstract : The natural rate of interest is an important concept since it is a kind of reference for a variety of policy rules to characterize our monetary policy. One of the simple ways of estimating the natural rate of interest is to extract the trend of the real short-term interest rate. We utilize the Hodrick-Prescott filter, the Baxter-King filter, and the Christiano-Fitzgerald filter for our extraction. In addition, we have an inference of expected inflation rate.
[04486] Dynamic Adjustment in the Mundell-Fleming Model
Format : Online Talk on Zoom
Author(s) :
Hiroyuki Yoshida (Nihon University)
Abstract : The purpose of this presentation is to show the emergence of perpetual and endogenous fluctuations in the global economy by using the Hopf bifurcation theorem. The model we consider is the dynamic version of the Mundell-Fleming model, which deals with the short-run relationship between output, interest rate, and foreign exchange rate in a small open economy. We show that the steady state is locally stable when the adjustment speed of the foreign exchange market is sufficiently slow.
