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Découplage de modèle économique lent/rapide

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  • Aurélien Hazan

    ()
    (SAMM - Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne) - Université Paris I - Panthéon Sorbonne)

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    Abstract

    La compréhension des phénomènes économiques nécessite de prendre en compte plusieurs échelles de temps simultanément. Nous étudions le cas d'un modèle simple d'épargne, où plusieurs échelles de temps caractéristiques coexistent. Nous montrons qu'il est possible de séparer les contributions lentes et rapides confondues dans une même variable observée en nous appuyant d'une part sur une linéarisation de la dynamique (stochastique et nonlinéaire) autour d'un point d'équilibre, et d'autre part sur un découplage via la transformation de Chang, issue de la théorie de la commande. Les modèles d'équilibre calculable, plus généraux et de grande dimension, tels que les modèles DSGE employés par de nombreuses institutions financières, pourraient bénéficier de ces outils autant pour accélérer leurs simulations que pour l'analyse statistique de données réelles.

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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number hal-00586613.

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    Date of creation: 24 Jun 2011
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    Publication status: Published - Presented, Modèles et apprentissages en Sciences Humaines et Sociales, 2011, Marseille, France
    Handle: RePEc:hal:journl:hal-00586613

    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00586613
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    Related research

    Keywords: macroéconomie ; épargne ; Solow ; Ramsey ; découplage ; slow/fast ; multiéchelle ; filtrage;

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