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Estimación bayesiana de un modelo dinámico estocástico nuevo keynesiano de equilibrio general con reglas de política fiscal y monetaria para México
[Bayesian estimation of a new Keynesian stochastic dynamic general equilibrium model with rules of fiscal and monetary policy for Mexico]

Author

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  • Vergara-Pérez, Sami D.
  • Venegas-Martínez, Francisco

Abstract

ABSTRACT: Empirical evidence for Mexico suggests that markets are not always perfect and complete since there are nominal rigidities and the public sector does not always displace the private sector. For this reason, a Dynamic Stochastic General Equilibrium (DSGE) model is used with the following assumptions: 1) monopolistic competition in the goods and labor markets, 2) non-Ricardian consumers, 3) rigid prices and wages, and 5) the role of government in the economy is driven by fiscal and monetary policy rules. We develop a system of nonlinear equilibrium equations to obtain the steady state of the economy through a linear approximation to the long-term trend. From the reduced form solution of the linear structural model, the corresponding state space system is formulated to evaluate the likelihood function associated with the Kalman filter. Once the prior distribution of the structural parameters is provided, the posterior distribution is obtained from Bayes' theorem. In this way, the Random Walk Metropolis-Hastings (RWMH) algorithm is implemented to obtain simulated samples in Markov chains from the posterior distribution. A statistical inference is made about the structural parameters. With the above, the theoretical model shows the insufficiency of aggregate demand, involuntary unemployment and the rejection of full compliance with Ricardian equivalence. We find empirical evidence in favor of price stability, the displacement effect of private spending due to the public deficit, and the non-neutrality of fiscal and monetary policies. Finally, we find evidence on the unsustainability of public debt for the Mexican economy. // RESUMEN: La evidencia empírica para México sugiere que los mercados no siempre son perfectos y completos ya que existen rigideces nominales y el sector público no siempre desplaza al sector privado. Por esta razón, se utiliza un modelo de Equilibrio General Estocástico Dinámico (EGED) con los siguientes supuestos: 1) competencia monopolística en los mercados de bienes y de trabajo, 2) consumidores no Ricardianos, 3) precios y salarios rígidos, y 5) el papel del gobierno en la economía está impulsada por las reglas de política fiscal y monetaria. Desarrollamos un sistema de ecuaciones de equilibrio no lineal para obtener el estado estacionario de la economía mediante una aproximación lineal a la tendencia de largo plazo. A partir de la solución en forma reducida del modelo estructural lineal, se formula el correspondiente sistema de espacio de estados para evaluar la función de verosimilitud asociada al filtro de Kalman. Una vez proporcionada la distribución previa de los parámetros estructurales, se obtiene la distribución posterior a partir del teorema de Bayes. De esta forma, se implementa el algoritmo Random Walk Metropolis-Hastings (RWMH) para obtener muestras simuladas en cadenas de Markov a partir de la distribución posterior. Se hace una inferencia estadística sobre los parámetros estructurales. Con lo anterior, el modelo teórico muestra la insuficiencia de la demanda agregada, el desempleo involuntario y el rechazo al pleno cumplimiento de la equivalencia Ricardiana. Encontramos evidencia empírica a favor de la estabilidad de precios, el efecto desplazamiento del gasto privado por el déficit público y la no neutralidad de las políticas fiscal y monetaria. Finalmente, encontramos evidencia sobre la insostenibilidad de la deuda pública para la economía mexicana.

Suggested Citation

  • Vergara-Pérez, Sami D. & Venegas-Martínez, Francisco, 2022. "Estimación bayesiana de un modelo dinámico estocástico nuevo keynesiano de equilibrio general con reglas de política fiscal y monetaria para México [Bayesian estimation of a new Keynesian stochasti," MPRA Paper 115458, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:115458
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    References listed on IDEAS

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    More about this item

    Keywords

    general equilibrium; Bayesian analysis; macroeconomic models; Mexican economy // equilibrium general; análisis bayesiano; modelos macroeconómicos; economía mexicana;
    All these keywords.

    JEL classification:

    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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