带有不完全市场的开放经济模型分析中的全局与局部方法

Global v. Local Methods in theAnalysis of Open-EconomyModels with Incomplete Markets

作者：

奥利弗·德·格鲁特（Oliver de Groot）

C.波拉杜尔都（C.Bora Durdu）

恩里克·门多萨（Enrique G.Mendoza）

Global and local methods are widely used in international macroeconomics to analyze incompletemarkets models. We study solutions for an endowment economy, an RBC model and a SuddenStops model with an occasionally binding credit constraint. First-order, second-order, riskysteady state (RSS), and DynareOBC solutions are compared v. xed-point-iteration globalsolutions in the time and frequency domains. The solutions dier in key respects, includingmeasures of precautionary savings, cyclical moments, impulse response functions, nancial premia and macro responses to credit constraints, and periodograms of consumption, foreign assetsand net exports. The global method is easy to implement and fast albeit slower than localmethods, except DynareOBC which is of comparable speed. These ndings favor global methods except when prevented by the curse of dimensionality and urge caution when using localmethods. Of the latter, rst-order solutions are preferable because results are very similar tosecond-order and RSS methods.
全球和本地方法在国际宏观经济学中广泛用于分析不完全的市场模型。我们研究了具有economy赋约束的信贷约束的an赋经济，RBC模型和Sudden Stops模型的解决方案。一阶，二阶，风险稳态（RSS）和DynareOBC解决方案在时域和频域中通过固定点迭代全局解决方案进行了比较。解决方案在关键方面有所不同，包括预防性储蓄，周期性时刻，冲动响应函数，金融溢价和对信贷约束的宏观处置的度量，以及消费，外国资产和净出口的周期图。全局方法易于实现，并且比本地方法要慢，但速度较慢，但​​DynareOBC的速度相当。这些发现有利于整体方法，除非被维数的诅咒所阻止，并且在使用局部方法时敦促创造。在后者中，一阶解是可取的，因为结果与二阶和RSS方法非常相似。