Econ Papers Daily / 期刊论文
具有财政政策的开放经济模型的自适应重要性抽样估计
Adaptive Importance Sampling Estimation of an Open Economy Model With Fiscal Policy
摘要
We propose and estimate an open economy general equilibrium model that includes international trade between Canada and the United States. We estimate our model using a new adaptive methodology based on the mixture of student's by Importance Sampling weighted Expectation–Maximisation (MitISEM). Our findings for the Canadian economy indicate that an increase in productive spending initially worsens the trade balance, whereas unproductive spending leads to a more persistent improvement through the contraction in private demand. We also show that the domestic real exchange rate appreciates on impact after both productive and unproductive government spending shocks, although the response is sharper and less persistent following a productive expenditure shock. Our structural framework uncovers highly asymmetric spillovers from the United States to Canada, successfully resolving the international transmission puzzle highlighted by Justiniano and Preston [12]. Finally, we conduct counterfactual exercises that consider alternative trade‐elasticity assumptions and a policy experiment involving a sizeable increase in US trade barriers.
中文摘要
我们提出并估计了一个包含加拿大与美国之间国际贸易的开放经济一般均衡模型。我们使用一种基于学生分布混合的重要性抽样加权期望最大化方法（MitISEM）的新型自适应方法来估计我们的模型。我们对加拿大经济的研究结果表明，生产性支出的增加最初会恶化贸易余额，而非生产性支出则通过私人需求的收缩带来更持久的改善。我们还表明，在生产性和非生产性政府支出冲击之后，国内实际汇率在冲击当期均会升值，尽管在生产性支出冲击之后，其反应更为剧烈且持续性更低。我们的结构性框架揭示了从美国到加拿大的高度不对称溢出效应，成功解决了Justiniano和Preston[12]所强调的国际传导之谜。最后，我们进行了反事实练习，考虑了替代性贸易弹性假设以及一项涉及美国贸易壁垒大幅提高的政策实验。