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Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation

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Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation. / Ascari, G.; Colciago, A.; Rossi, L.
In: Economics Letters, Vol. 159, 31.10.2017, p. 82-87.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Ascari, G, Colciago, A & Rossi, L 2017, 'Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation', Economics Letters, vol. 159, pp. 82-87. https://doi.org/10.1016/j.econlet.2017.05.040

APA

Ascari, G., Colciago, A., & Rossi, L. (2017). Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation. Economics Letters, 159, 82-87. https://doi.org/10.1016/j.econlet.2017.05.040

Vancouver

Ascari G, Colciago A, Rossi L. Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation. Economics Letters. 2017 Oct 31;159:82-87. Epub 2017 Jun 30. doi: 10.1016/j.econlet.2017.05.040

Author

Ascari, G. ; Colciago, A. ; Rossi, L. / Determinacy analysis in high order dynamic systems : The case of nominal rigidities and limited asset market participation. In: Economics Letters. 2017 ; Vol. 159. pp. 82-87.

Bibtex

@article{2f9c28391d1d4cd5a4dfd1edfef7b892,
title = "Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation",
abstract = "We show how to use Hurwitz polynomials to study the stability and uniqueness of Rational Expectation equilibria (REE) in Dynamic General Equilibrium models (DGE). We apply this method to a model characterized by sticky wages and prices and by limited asset market participation (LAMP). We prove analytically in a fourth-order dynamics system that, once nominal wage stickiness is taken into account, LAMP does not invalidate the Taylor Principle. ",
keywords = "Determinacy, High-order dynamics, Non-Ricardian household, Sticky wages",
author = "G. Ascari and A. Colciago and L. Rossi",
year = "2017",
month = oct,
day = "31",
doi = "10.1016/j.econlet.2017.05.040",
language = "English",
volume = "159",
pages = "82--87",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Determinacy analysis in high order dynamic systems

T2 - The case of nominal rigidities and limited asset market participation

AU - Ascari, G.

AU - Colciago, A.

AU - Rossi, L.

PY - 2017/10/31

Y1 - 2017/10/31

N2 - We show how to use Hurwitz polynomials to study the stability and uniqueness of Rational Expectation equilibria (REE) in Dynamic General Equilibrium models (DGE). We apply this method to a model characterized by sticky wages and prices and by limited asset market participation (LAMP). We prove analytically in a fourth-order dynamics system that, once nominal wage stickiness is taken into account, LAMP does not invalidate the Taylor Principle.

AB - We show how to use Hurwitz polynomials to study the stability and uniqueness of Rational Expectation equilibria (REE) in Dynamic General Equilibrium models (DGE). We apply this method to a model characterized by sticky wages and prices and by limited asset market participation (LAMP). We prove analytically in a fourth-order dynamics system that, once nominal wage stickiness is taken into account, LAMP does not invalidate the Taylor Principle.

KW - Determinacy

KW - High-order dynamics

KW - Non-Ricardian household

KW - Sticky wages

U2 - 10.1016/j.econlet.2017.05.040

DO - 10.1016/j.econlet.2017.05.040

M3 - Journal article

VL - 159

SP - 82

EP - 87

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -