Schumpeterian Foundations of Real Business Cycles

Technology shocks are at the core of real business cycle models. Although tra- ditionaly described as exogenous, technology shocks can be the result of the endoge- nous decisions by economic agents under uncertainty. To demostrate it, in this paper I develop a dynamic stochastic general equilibrium model that incorporates Schum- peterian endogenous growth features that affect the convergence to the steady-state. In this model, technology advances are due to the introduction of vertical innovations by entrepreneurs who try to become monopolists in different economic sectors. En- trepreneurs? ventures are ?nanced by banks. The model is solved and estimated by bayesian methods for the United States economy to compute the value of some of its structural parameters. Results show that for a country close to the technology fron- tier, the presented innovation mechanism is roughly equivalent in terms of volatilies, correlations and impulse responses to technology shocks in real business cycle mod- els. Therefore, the behavior of the productivity can be due not only to technology considerations but also to ?nancial and entrepreneurial reasons.

Technology, convergence and business cycles

In this paper we integrate Schumpeterian endogenous growth into a general equilibrium framework. By explicitely modelling the innovation and technology adoption process we are able to match some stylized economic facts such as entry rates and survival times of firms in the U.S. economy or the maximum convergence rates accross countries. Additionally, it allows us to propose a new definition of what a technology shock is and to compare it with the standard definition. Results show how this framework provides a plausible description of how economies grow and respond to the arrival of new technologie

The process of economic adjustment following financial crises : a historical perspective

Artículo de revist

Monetary policy implications of central bank-issued digital currency

Artículo de revistaThis article analyses the concept of digital currency issuable by a central bank, highlighting its similarities to and differences from the two main liabilities on its balance sheet: cash and bank reserves. It also discusses the main reasons why some central banks are looking into the potential consequences of the introduction of this new instrument. Lastly, it considers different central bank digital currency alternatives and highlights some of the possible implications for monetary policy conduct and for financial stabilit

Optimal research and development expenditure : a general equilibrium approach

How much should be spent in research and development (R&D)? How should R&D vary over the business cycle? In this paper we answer both questions in the context of a calibrated dynamic general equilibrium model with Schumpeterian endogenous growth. Firstly, we demonstrate that, although the existence of distortions in a decentralized economy produces underinvestment in R&D, a simple proportional subsidy to R&D spending alone cannot restore the first best allocation. The optimal proportional R&D subsidy attains a second best allocation in which R&D spending exceeds its first best level. Secondly, we show how the observed procyclicality of R&D is socially inefficient. However, the welfare loss due to this dynamic inefficiency is much smaller than the loss due to underinvestment in R&

Controlling a distribution of heterogeneous agents

Este artículo analiza el problema de un planificador benevolente que desea controlar una población de agentes heterogéneos sujetos a perturbaciones idiosincrásticas. Esto es equivalente a un problema de control determinista en el que la variable de estado pertinente es la distribución de agentes. Demostramos cómo, trabajando en tiempo continuo, este problema puede descomponerse en una ecuación de programación dinámica junto a la ley de movimiento de la distribución y presentamos un nuevo algoritmo para resolverlo numéricamente. Como aplicación, analizamos la solución eficiente-restringida de una economía à la Aiyagari con una distribución de la riqueza que replica la observada en los datos. Nuestros resultados indican que la solución óptima se caracteriza por un nivel de desigualdad de la riqueza mayor que el observado en el equilibrio competitivoThis paper analyzes the problem of a benevolent planner wishing to control a population of heterogeneous agents subject to idiosyncratic shocks. This is equivalent to a deterministic control problem in which the state variable is the cross-sectional distribution. We show how, in continuous time, this problem can be broken down into a dynamic programming equation plus the law of motion of the distribution, and we introduce a new numerical algorithm to solve it. As an application, we analyze the constrained-efficient allocation of an Aiyagari economy with a fat-tailed wealth distribution. We find that the constrained-efficient allocation features more wealth inequality than the competitive equilibriu

Implicaciones de política monetaria de la emisión de dinero digital por parte de los bancos centrales

Artículo de revistaEn este artículo se analiza el concepto de dinero digital emisible por un banco central, destacando sus semejanzas y diferencias con los dos principales pasivos en su balance: el efectivo y las reservas bancarias. Asimismo, se discuten los principales motivos por los que algunos bancos centrales están investigando las potenciales consecuencias de la introducción de este nuevo instrumento. Por último, se plantean distintas alternativas de dinero digital de banco central y se señalan algunas de sus posibles implicaciones para la conducción de la política monetaria y para la estabilidad financier

Learning from experience in the stock market

Incluye bibliografíaEste documento estudia la dinámica de los precios de las acciones en un modelo tipo «árbol de Lucas» en el que los inversores tienen vidas finitas y aprenden de su propia experiencia. Los individuos actualizan sus expectativas mediante aprendizaje bayesiano basado en datos observados a lo largo de sus propias vidas. En este modelo, el precio de las acciones muestra ciclos de expansión y caída estocásticos alrededor del valor de equilibrio de «expectativas racionales». Esta economía con agentes heterogéneos puede aproximarse por un modelo con un «agente representativo» que aprende mediante un algoritmo de «ganancia constante», en el que el parámetro de ganancia de aprendizaje es función de la estructura demográficaWe study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rat

Oilgopoly : a general equilibrium model of the oil-macroeconomy nexus

Saudi Arabia is the largest player in the world oil market. It maintains ample spare capacity, restricts investment in developing reserves, and its output is negatively correlated with other OPEC producers. While this behavior does not fit into the perfect competition paradigm, we show that it can be rationalized as that of a dominant producer with competitive fringe. We build a quantitative general equilibrium model along these lines which is capable of matching the historical volatility of the oil price, competitive and non-competitive oil output, and of generating the observed comovement among the oil price, oil quantities, and U.S. GDP. We use our framework to answer questions on which available models are silent: (1) What are the proximate determinants of the oil price and how do they vary over the cycle? (2) How large are oil profits and what losses do they imply for oil-importers? (3) What do different fundamental shocks imply for the comovement of oil prices and GDP? (4) What are the general equilibrium effects of taxes on oil consumption or oil production? We find, in particular, that the existence of an oil production distortion does not necessarily justify an oil consumption tax different from zer

A general equilibrium model of the oil market

Este documento presenta un modelo de equilibrio general del mercado global de petróleo, en el que tanto el precio del mismo como su producción y consumo se determinan conjuntamente como resultado de un proceso de decisiones estratégicas de importadores y exportadores de crudo. Por el lado de la oferta, el mercado se modela como una empresa dominante (Saudi Aramco), que coexiste con un conjunto de productores competitivos. Se demuestra que la empresa dominante actúa como tal en tanto disfrute de una ventaja en costes sobre los productores competitivos y se calcula tanto su margen óptimo como su capacidad excedente. El modelo produce una respuesta dinámica plausible en respuesta a perturbaciones de oferta y de demanda. En concreto, el modelo es capaz de reproducir el aumento observado de la oferta de Saudi Aramco tras el colapso de la producción de Irak y Kuwait en la Guerra del Golfo como resultado del comportamiento maximizador de beneficios de una empresa dominante en el mercado. Finalmente, el documento explora los efectos de diversos impuestos y subsidios en el mercado del petróleo a través de su impacto sobre el precio del petróleo y el bienestar, teniendo en cuenta los compromisos entre efi ciencia en la producción y competencia en el mercado de crud