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Método numérico para la calibración de un modelo DSGE

Authors: Diego Arturo Rodríguez-Guzmán; Juan David Prada-Sarmiento; Andrés González-Gómez; Jean Pietro Bonaldi-Varón;

Método numérico para la calibración de un modelo DSGE

Abstract

En este articulo se propone un metodo numerico para la calibracion de un modelo de equilibrio general dinamico y estocastico (DSGE). Esencialmente, este consiste en utilizar un algoritmo hibrido de optimizacion, primero para encontrar un estado estacionario del modelo, y luego para minimizar una funcion objetivo que se define segun cual sea el proposito del investigador con el proceso de calibracion. El algoritmo propuesto consiste en una aplicacion del Simulated Annealing seguida de metodos tradicionales de optimizacion. Las bondades del algoritmo se analizan mediante simulaciones de Monte Carlo usando un modelo de economia cerrada cuyo estado estacionario no tiene solucion analitica. Los resultados de este ejercicio muestran que el algoritmo propuesto genera resultados mas precisos utilizando menos recursos computacionales que alternativas tradicionales. Por ultimo se presentan los resultados de la calibracion de un modelo para la economia colombiana que consta de 179 ecuaciones y que se ajusta a 50 razones con 50 parametros. La maxima desviacion porcentual entre las razones del modelo y los valores correspondientes de la economia colombiana es de 7.29% y en 29 de los 50 casos, esta desviacion es menor o igual al 1%.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
hybrid