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Método numérico para la calibración de un modelo DSGE

  • Pietro Bonaldi


  • Andrés González


  • Juan David Prada


  • Diego A. Rodríguez


En este artículo se propone un método numérico para la calibración de un modelode equilibrio general dinámico y estocástico (DSGE). Esencialmente, éste consisteen utilizar un algoritmo híbrido de optimización, primero para encontrar un estadoestacionario del modelo, y luego para minimizar una función objetivo que se definesegún cuál sea el propósito del investigador con el proceso de calibración. El algoritmopropuesto consiste en una aplicación del Simulated Annealing seguida de métodostradicionales de optimización. Las bondades del algoritmo se analizan mediante simulacionesde Monte Carlo usando un modelo de economía cerrada cuyo estado estacionariono tiene solución analítica. Los resultados de este ejercicio muestran que el algoritmopropuesto genera resultados más precisos utilizando menos recursos computacionalesque alternativas tradicionales. Por último se presentan los resultados de la calibraciónde un modelo para la economía colombiana que consta de 179 ecuaciones y que seajusta a 50 razones con 50 parámetros. La máxima desviación porcentual entre lasrazones del modelo y los valores correspondientes de la economía colombiana es de7;9% y en 29 de los 50 casos, esta desviación es menor o igual al 1%.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 005265.

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Length: 26
Date of creation: 28 Jan 2009
Date of revision:
Handle: RePEc:col:000094:005265
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  1. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  2. Juan Carlos Parra Alvarez, . "Hechos estilizados de la economía colombiana: fundamentos empíricos para la construcción y evaluación de un modelo DSGE," Borradores de Economia 509, Banco de la Republica de Colombia.
  3. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
  4. Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: Patacon Model Description," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 222-245, Diciembre.
  5. Stephanie Schmitt-Grohe & Martin Uribe, 2002. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," NBER Technical Working Papers 0282, National Bureau of Economic Research, Inc.
  6. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
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