Bifurcation analysis of New Keynesian models
AbstractGrandmont (1985) found that the parameter space of even the simplest, most classical models are stratified into bifurcation regions. Barnett and He (1999,2002) subsequently found transcritical, codimension-two, and Hopf bifurcation boundaries within the parameter space of the policy-relevant Bergstrom and Wymer continuous-time Keynesian macroeconometric model of the UK economy. Barnett and He (2005) continued their investigation of policy-relevant bifurcation with the Leeper and Sims (1994) Euler equations macroeconometric model and found the existence of a singularity bifurcation boundary within the model's parameter space. Singularity bifurcation had not previously been encountered in economics. In this paper we study bifurcation within the class of new Keynesian models. The first model is the simplest linear 3-equation model, consisting of IS curve, Phillips curve, and monetary policy rule, which in our case is the Taylor rule. We find the possibility of Hopf bifurcation, with the setting of the policy parameters influencing the existence and location of the bifurcation boundary. We further study forward looking, backward looking, and hybrid models having both forward and backwards looking features. We also investigate different monetary policy rules relative to bifurcation. In each case, we solve numerically for the location and properties of the bifurcation boundary and its dependency upon policy rule parameter settings
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 55.
Date of creation: 04 Jul 2006
Date of revision:
Find related papers by JEL classification:
- 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 &bull Diffusion Processes
- 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
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.