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El Modelo Klein I y los Ciclos Economicos

Listed author(s):
  • Sanz Carnero, Basilio


  • Rayego Seriñan, Pablo


  • Matilla Garcia, Mariano



La idea de partir de variables aleatorias para generar ciclos economicos proviene del denominado efecto Slutzky. Esta ponencia presenta a discusion este mismo tema pero a partir del modelo de Klein, es decir, estudiar los aspectos dinamicos del modelo y ver si con la introduccion de variables aleatorias se obtiene como resultado de la simulacion del modelo ciclos economicos realistas. Realizaremos varios experimentos de simulacion a partir del modelo. Primero estimaremos las variables exogenas del modelo en funcion de una tendencia lineal y extrapolaron los resultados a largo plazo. En una segunda fase, sustituiremos las variables exogenas por las estimadas y añadieron variables aleatorias en el modelo; a traves de las variables exogenas , o en las ecuaciones de comportamiento , o en ambas al mismo tiempo. Los resultados se contrastaron con las longitudes de fase establecidas por el NBER, llegandose a la conclusion de que las simulaciones que incluian shocks aleatorios del tipo I y II reproducian ciclos economicos realistas. Simularemos el modelo hasta el año 2000 y compararemos los resultados con los ciclos que realmente se han producido.

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Article provided by International Association of Economic Cycles in its journal Review on Economic Cycles.

Volume (Year): 4 (2002)
Issue (Month): 1 (August)

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Handle: RePEc:rec:cycles:v:4:y:2002:i:1_2
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