Sandpile phenomena in dynamic systems in the vicinity of criticality always appeal to a sudden break of stability with avalanches of different sizes due to minor perturbations. We can view the intervention of the Cent...Sandpile phenomena in dynamic systems in the vicinity of criticality always appeal to a sudden break of stability with avalanches of different sizes due to minor perturbations. We can view the intervention of the Central Banks on the rate of interest as a perturbation of the economic system. It is an induced perturbation to a system that fare in vicinity of criticality according to the conditions of stability embedded in the equations of the neoclassical model. An alternative reading of the Taylor Rule is proposed in combination with the Sandpile paradigm to give an account of the economic crisis as an event like an avalanche, that can be triggered by a perturbation, as is the intervention of the Central Bank on the interest rate.展开更多
A small-scale, but highly-stylized dynamic stochastic general equilibrium model is estimated by the maximum likelihood method using Chinese quarterly data. Model specifications and parameter equalities between various...A small-scale, but highly-stylized dynamic stochastic general equilibrium model is estimated by the maximum likelihood method using Chinese quarterly data. Model specifications and parameter equalities between various competing model variants are addressed by formal statistical hypothesis tests, while implications for business cycle fluctuations are evaluated via a variance decomposition experiment, second-moments matching, and some out-of-sample forecast exercises. It is highlighted that the monetary authority takes an aggressive stance to the current inflation pressure （there is a significant lagged response）, while leaving less attention to changes in aggregate output. Variance decomposition reveals that large percentages of variations in real and nominal variables are explained by the highly volatile preference and potential output shock, respectively. When nominal and real frictions as well as additional shocks are included, overall our estimated model can successfully reproduce the stylized facts from actual data of Chinese business cycles and frequently can even outperform those forecasts from an unconstrained VAR.展开更多
文摘Sandpile phenomena in dynamic systems in the vicinity of criticality always appeal to a sudden break of stability with avalanches of different sizes due to minor perturbations. We can view the intervention of the Central Banks on the rate of interest as a perturbation of the economic system. It is an induced perturbation to a system that fare in vicinity of criticality according to the conditions of stability embedded in the equations of the neoclassical model. An alternative reading of the Taylor Rule is proposed in combination with the Sandpile paradigm to give an account of the economic crisis as an event like an avalanche, that can be triggered by a perturbation, as is the intervention of the Central Bank on the interest rate.
文摘A small-scale, but highly-stylized dynamic stochastic general equilibrium model is estimated by the maximum likelihood method using Chinese quarterly data. Model specifications and parameter equalities between various competing model variants are addressed by formal statistical hypothesis tests, while implications for business cycle fluctuations are evaluated via a variance decomposition experiment, second-moments matching, and some out-of-sample forecast exercises. It is highlighted that the monetary authority takes an aggressive stance to the current inflation pressure （there is a significant lagged response）, while leaving less attention to changes in aggregate output. Variance decomposition reveals that large percentages of variations in real and nominal variables are explained by the highly volatile preference and potential output shock, respectively. When nominal and real frictions as well as additional shocks are included, overall our estimated model can successfully reproduce the stylized facts from actual data of Chinese business cycles and frequently can even outperform those forecasts from an unconstrained VAR.
