Bifurcations in Continuous-Time Macroeconomic Systems
AbstractThere has been increasing interest in continuous-time macroeconomic models. This research investigates bifurcation phenomena in a continuous-time model of the United Kingdom. We choose a particularly well-regarded continuous-time macroeconometric model to assure the empirical and potential policy relevance of our results. In particular, we use the Bergstrom, Nowman and Wymer continuous-time dynamic macroeconometric model of the UK economy. We find that bifurcations are important with this model for understanding the dynamic properties of the system and for determining which parameters are the most important to those dynamic properties. We have discovered that both saddle-node bifurcations and Hopf bifurcations indeed exist with this model within the model's region of plausible parameter settings. We find that the existence of Hopf bifurcations is particularly useful since those bifurcations may provide explanations for some cyclical phenomena in the macroeconomy. We further design numerical algorithms to locate the bifurcation boundaries, which we display in three dimensional color bifurcation diagrams. A notable and perhaps surprising fact is that both types of bifurcations can coexist with this well-regarded UK model - in the same neighborhood of the parameter space.
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Bibliographic InfoPaper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 201226.
Length: 24 pages
Date of creation: Sep 2012
Date of revision: Sep 2012
Other versions of this item:
- William A. Barnett & Yijun He, 1998. "Bifurcations in Continuous-Time Macroeconomic Systems," Macroeconomics 9805018, EconWPA.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-09 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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