IDEAS home Printed from https://ideas.repec.org/p/sce/scecfa/55.html
   My bibliography  Save this paper

Bifurcation analysis of New Keynesian models

Author

Listed:
  • William A. Barnett

    () (Economics The University of Kansas)

  • Evgeniya A. Duzhak

    (University of Kansas)

Abstract

Grandmont (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

Suggested Citation

  • William A. Barnett & Evgeniya A. Duzhak, 2006. "Bifurcation analysis of New Keynesian models," Computing in Economics and Finance 2006 55, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:55
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    More about this item

    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; 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:55. See general 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). General contact details of provider: http://edirc.repec.org/data/sceeeea.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.