(Intermediate Macroeconomics)

:

(Microfoundation)

(i)

~ 1
s~
y
~ sk
k

PC2

k
~
k

I2

i1e

n+g+d

I1

PC1

~
k
~
k

I3

(C) (i)

~
k*

(Y)

YT

~ 1(c)
s~
y
~ sk
k G

k
~
k
D

E
B
M

PC2

(Ve(w))

i*

~
k
~
k

I2
B

i C2

I2

i*

-G1

I1

I1

~
k*

PC1

I3

l1 YT

I1

c1

c2

c3 A

I3

Ve(w)

2
V
I2 u

Vu1

(c)

PPF2

PPF1

PPF3

(l)

(Y)

(Ve(w))

B
C1

e
1

n+g+d

Ve(w)

Vu2

(0,0)

w1*

w 2*

(w)

1
u

(0,0)

w1*

w 2*

(w)




(Microfoundation)


2534

(Microfoundation) Stylized fact
Stylized fact
(Real business cycle) Stylized fact
(Economic growth)

3
1 8
9
10 11 13
322


2553


1 Stylized Fact
1.1
1.2
1.3
1.4 Stylized fact
1.5

1
1
3
6
7
10

2 1
2.1
2.2
2.3

11
11
23
28

3 1
3.1
3.2
3.3 (Pareto Optimality: PO)
3.4
3.5 Laffer curve
3.6

30
30
31
36
39
44
52

4 : Ricardian equivalence
4.1 2
4.2 2
4.3 (CE)
4.4 Ricardian Equivalence Theorem
4.5

53
53
66
67
68
78

5 2
5.1
5.2
5.3

80
80
85
92

5.4
5.5
5.6

92
99
103

6 2 :
(Monetary policy rules)
6.1
6.2 2
6.3
6.4 (Quantity theory of money)
6.5 (Monetary policy rules)
6.6

105

7
7.1
7.2 (Coordination failure model)
7.3

123
123
128
136

8
8.1
8.2
8.3
8.4
8.5

137
137
146
148
150
153

9 :
9.1
9.2
9.3
9.4

155
155
158
162
169

10 :
10.1

171
171

105
106
113
116
118
122

10.2
10.3
10.4

174
182
185

11
11.1 Solow
11.2 Solow
11.3
11.4

187
187
195
202
204

12
12.1
12.2 FriedmanLucas Money Surprise Model
12.3
12.4
12.5

205
205
207
210
215
218

13
13.1
13.2
13.3
13.4
13.5

219
219
225
228
233
236

238

 1
Stylized Fact





Stylized fact



Stylized fact
1.1

2

Hodrick-Prescott filter


1.1

Amplitude

(1) Recession Recession

2 Depression
(2) Turning points


(3) 1
2 8 1 2 High frequency
Low persistence

Amplitude

1.1

1.2
1.1
1974-1975 1981-1982
1 2
1997

30


Stylized fact of business cycle 2

.12
.08
.04
.00
-.04
-.08
-.12
1960

1965

1970

1975

1980

1985

1990

1995

2000

2005

1.2
1.2


2 x
x Procyclical
x
Countercyclical
(Correlation coefficient)
2 -1 1
() (
) Procyclical Countercyclical

4
y

y
y

x
y
y

x
1.3 x y
1.3 (Scatter diagram)
x y

0
1.4

x y Procyclical
1.4
Countercyclical

x
0

x
y

1.4 x y

GDP

GDP

x
0

x
x
(Leading cycle)

1.5

x
(Lagging cycle)

(Leading cycle) 1.5 x
y


(Lagging cycle)

(Coincident cycle)




(2541)
1.3
Stylized fact


Natural logarithm
Hodrick-Prescott filter

1995 2005
1.1


4 Stylized fact
(2542) Backus and Kehoe
(1992) 10
Fiorito and Kollintzas (1994) 7


(2553)
Stylized fact

Dynamic programming

1.1 1995 2007

(%)

4.14
3.80
17.21
1.62
6.86
3.37

: Natural logarithm Hodrick-Prescott filter (1) (4)

(5)
(6)

1.4 Stylized fact

: 1.1

91.79
0.73

Procyclical ( 1.6)
.12
.08
.04
.00
-.04
-.08
-.12
95

96

97

98

99

00

01

CONSUMPTION_CYCLE

02

03

04

05

GDP_CYCLE

1.6 (CONSUMPTION_GDP)

: 1.1
4

0.76
Procyclical ( 1.7)
.4
.3
.2
.1
.0
-.1
-.2
-.3
-.4
-.5
95

96

97

98

99

00

01

INVESTMENT_CYCLE

02

03

04

05

GDP_CYCLE

1.7 (INVESTMENT_CYCLE)

: (Consumer Price Index: CPI)

1.1
39.13

-0.46
Countercyclical ( 1.8)

9
.08
.04
.00
-.04
-.08
-.12
95

96

97

98

99

00

01

PRICE_CYCLE

02

03

04

05

GDP_CYCLE

1.8 (PRICE_CYCLE)

: 1.1
1.66

0.79
Procyclical ( 1.9)
.3
.2
.1
.0
-.1
-.2
95

96

97

98

99

M1_CYCLE

00

01

02

03

04

05

GDP_CYCLE

1.9 (M1_CYCLE)

10

: 1.1

81.40
0.30

Procyclical ( 1.10)
.12
.08
.04
.00
-.04
-.08
-.12
-.16
95

96

97

98

99

00

01

EMPLOYMENT_CYCLE

02

03

04

05

GDP_CYCLE

1.10 (EMPLOYMENT_CYCLE)
1.5



Stylized fact



Procyclical
Countercyclical

 2
1
(Microfoundation)



(Representative consumer) (Representative firm)
(Optimization)


1
2.1
: 2


2
C
l

C1 l1

(Strictly
preferred) 3

(1)

(2)
(3) (Normal goods)
(Indifference curve)
( 2.1)

(C)

12

C1

B
I2

C2

I1
l1

l2

(l)

2.1
2.1
I2 I1
l1


(MRSl,C)

2
2.2 D l1
A C1 C2
D B

(C)

13

MRSl,c
A

C1

C2

I2
I1

l1

l2

(l)

(C)

2.2

I2
B

I1

(l)

2.3

14

2.3 C
A B

Diminishing

:

(2.1)
l

w


(Dividends: )


(A lump-sum tax:
T)




(2.2)
...(2.2)
(2.1)
(2.2)
...(2.3)
(2.4)
(2.4) 2

C

15

(2.4)

(2.4)
(2.5)
(2.5) C l w
y =mx+c

2
1

(C)

wh+p-T A

C = -wl+wh+p-T

B
h+(p-T)/w

(l)

p-T

2.4

2.4 A
l = 0

16

B C = 0
B

l = h
AB

(C)

p-T

D
h

(l)

2.5
2.5

l = h


D
B B
AB w
A

OABD

17

:
(Rational)


1

(C)

(Optimization problem)

1
MRSl,C = -w
2.1 2.5

A
F
H
J

I2
I1

p-T

D
h
(l)

2.6

J F
F
E
I1


H

H
I2

2.6

AB w I2 MRSl,C

MRSl,C = -w

(2.6)

18

(C)

p-T

I1

D
h
(l)

B



B




A
B

2.7

2.6 2.7

:

T
2.8

ABD FJD w
H C1
l1 l1h

H K C1 C2
l1 l2 l2h

19

(C)
F
A
C2
C1
p2 T2

K
H

I2

J
I1

p1 T1

D
l1

l2

(l)

2.8
:


(Substitution effect) (Income effect)





2.9

20
(C)
E

J
A
C2
C1

H
F

I2
I1
B

K
l1

D
h

(l)

2.9
2.9 F
ABD EBD

l1 C1 C2
JK
O H

F O

(w)

21

NS

w2

2.10
w1 w2


N1 N2

w1
N1

N2
(N)

2.10

(w)

(Shift)

2.11

N2S

N1S

N2

N1
(N)

2.11

22

:
( 2.12)

.(2.7)

(C)

AB 2.12

C=al
A

I2

I1

p-T

D
h

(l)

2.12
AB
.(2.8)
2.12 (2.7) (2.8)

23

2.2




(2.9)

Y = ZF(K, ND)

(Y)

Y
K

ND

Z

Total Factor Productivity: TFP Solow residual

1

= MPN
ZF(K*,ND)
A

(N)

2.13

24

(2.9) 2
K* 2.13
A
(Marginal product of labor: MPN)

(Y)

= MPK

ZF(K,N*)

(K)

2.14

(2.9) N*

2.14 A (Marginal
product of capital stock: MPK)

25

(MPN)

(1) (Constant return to scale)

(2)

(3)
( 2.15)
1 2




1

MPN
(N)

2.15

(4)




( 2.16)

(MPN)

26

MPN2
MPN1

(N)

2.16

Z2F(K*,ND)

(MPN)

(Y)

(5) TFP
TFP
2.17
N*


MPN
N*
MPN 2.17
TFP

Z1F(K*,ND)

MPN2
MPN1

N*

(N)

N*

2.17 TFP

(N)

27

wND
ZF(K*,ND)
A

wND

N*
AB=ED

MPN = w

N*

(2.12)

(N)

2.18

2.18 MPN = w MPN > w (

N*)

MPN < w ( N*)


(Demand for labor)

28

w2ND

, MPN
w1ND

ZF(K,ND)

B:
A

A:

, ND

, ND

2.19

2.19 w1 w2
w1ND w2ND

A
B


2.19

TFP

2.3

(Economics agent)
(Representative agent) 2

29

TFP

 3
1
1 First welfare
theorem Second welfare theorem
(Simulation) 2





1
2
2
3.1


(Public goods)




(3.1)
G T
500
3
1



(Transfer payment)

31

3.2
3.1

(Experiment) (Simulation)

Stylized fact
1 Stylized fact
Procyclical Countercyclical
Stylized fact

G, Z, K

C, Ns, ND, Y, w

3.1

(Competitive Equilibrium: CE)

Total factor productivity

4

(1)

32

(2)
Total Factor Productivity

(3)

(4)

1

(3.1)

(3.1)
(3.2)

(3.2)
(3.3)

(3.3)

(Y)

33

(3.4)

Y1

= MPN

(Y)

(N)

Y1
= -MPN

h
(l)

.
(C)
Y1-G

(Marginal productivity of labor:
)

(3.5)
h


.
.

D
= -MPN

PPF
B
h
A

-G

(l)

.
3.2

D
A
DBA

(Production Possibility Frontier: PPF)
PPF
2

34

3.1
Marginal rate of transformation

AD 3.3
(C)

AD PPF J

A
Y-G

C*

*- T

B
l*

-G

DH
3.4

3.3 PPF

D

DH =

DH =


AD
J D

(C)
A

C*

l*

3.4 AD

35

(C)

CE
2.6
3.3 3.5
A
F
C*

CE

I0
(PPF)

p*-T
0

-G

l*

(l)

3.5 (Competitive Equilibrium: CE)

3.5 AD 2
w
AD j I0
j
j
CE


(3.6)
j 3.5 1

36

3.3 (Pareto Optimality: PO)

(C)

CE

(Pareto Improvement)
(Welfare)
(Pareto Optimality: PO)
(Reallocate)

A
C*

PO

I0
(PPF)

-G

l*

(l)

3.6 (Pareto Optimality: PO)

(Pareto Optimality: PO)
(Representative consumer)


(Social

37

planner) (Benevolent)


3.6

B

B
PO

B First
welfare theorem

Second welfare theorem


CE PO First welfare theorem Adam Smith
Wealth of Nation (Invisible hand)





First welfare theorem


(1) (Externality)

38

(C)

(2)

(3) (Price taker)

3

A
F
C*

B CE

PO

I0
(PPF)

p*-T
Y*

-w

D
B
h

l*

-G

(l)

H
N*

3.7 1

3.7 First Second welfare theorem

PO
Second welfare theorem CE 3.7

AD
I0 B PO

39

Second welfare
theorem (w) PPF
PPF = w
3.4

(C)

Stylized fact
1 2 Total
Factor Productivity

C1
C2

A
B

D
E

I1
I2

PPF2
0

PPF1

l2 l1

(l)

-G1
-G2

3.8

1: 3.8
A PPF1
I1

PPF1 PPF2 A
(PO)
PPF

40

B PO B
PPF2 I2

(Crowding-out
effect) (AD)
(AE)
Second welfare theorem B CE PPF2
B
(MPN)

3.1 Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical
Procyclical

Countercyclical
Procyclical
Countercyclical

Stylized fact ( 3.1)


2: Total Factor Productivity (TFP) TFP
3.9

(Y)

41

Z2F(K*,ND)

Z1F(K*,ND)

N*

(N)

3.9 TFP
Total Factor Productivity TFP Z1 Z2
Z1F(K,N) Z2F(K,N)
3.9 (PPF)
Z PPF
3.10 F
AB

I1

TFP Z 3.9 PPF1

AB AD F PO

10.11
H
PO H PPF2
I2

(C)

42

D
H

C2
B
C1

I2
I1

PPF2
PPF1
0

-G1

l1

(l)

3.10 Total Factor Productivity

3.11
Z MPN
Second welfare theorem

PPF3 PPF2 I1
( O
H)

(
F O)

43

(C)

( F H)
Second welfare theorem F CE
PPF2 3.11
F H (MPN)

C2

I2
B
C1

-G1

O
F

I1

PPF2
PPF1

l1

PPF3

(l)

3.11 Total Factor Productivity

44

TFP
Stylized fact
( 3.2)
Total Factor Productivity
3.2 TFP Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical

Procyclical
Procyclical

Procyclical
Procyclical

3.5 Laffer curve

(Constant return to scale)
(3.7)

Total factor productivity
Y
Y*

3.11

45

(l)

Y
Y*

3.12

(C)
3.13 PPF

C= Z h

G = Zh

(C)

Zh-G A

(PPF)

B
h-G/Z

0= Z h l
0 = Zh Zl
Zl = Zh G
G
l= h
Z

-G

3.13

G
G
(l)

46

AB


(3.8)

(3.9)


t
(T = 0)
(3.10)
(3.10)



(3.9) (3.8)
(3.10)
(3.11)
(3.11) 3.14

C
Y
D
H

I1

F
3.14

47

DF

F l = h
DF
H I1


(1)

(2)

(C)

(3)
(4)

A
PPF
D

CE

I1
B

h
F

(l)

-G

3.15

48

3.15
3.13 PPF
-Z 3.14

PPF H
H

(C)

H

H

H



First welfare theorem PO
3.16 PO
I1 AB E PO

PO

I2
PPF
B

h
F

(l)

-G

3.16

(C)

49

A PPF

PO

I2

D
H

CE

I1

h
F

(l)

-G

3.17
3.17 CE PO PO





First welfare theorem



Arthur Laffer
Arthur Laffer

50

(3.12)
(3.12)

(REV)

(3.12) 3.18

REV*

0 t1

t*

B
t2 1

(t)

3.18 Laffer

A B
100% Laffer
t* REV*



t*
t*
0 t*
Laffer

t1 t2 t1
t2

51

G
2 t1 t2
CE
3.19

t1 t1< t2 3.19
CE t1 ( F) CE t2 ( H)



t2
Laffer

(C)
Zh-G A

PPF

Z(1-t1)h

F
I2

Z(1-t2)h

H
B

I1
h

-G

3.19

(l)

52

3.6
(Economic agent)

1


1 2
(Competitive equilibrium: CE)
(Pareto optimality: PO)

(Social planner)
CE PO
PO
Second welfare theorem
Stylized fact 2

Countercyclical Procyclical

Crowdingout effect TFP

Stylized fact TFP

 4
: Ricardian equivalence
1

4 5 2

(Intertemporal decision) 2
(Dynamic analysis)




Ricardian Equivalence Theorem

4.1 2
: N
N
2


y y
t t

(4.1)

(4.1)

(Disposable income: y
)

54

(Bond)


(Interest-bearing security)

(4.2)

(4.1) (4.2)

:

(4.1) (4.2) (4.2)
(4.3)
(4.3) (4.1)
y

(4.4)

55

(4.4)

(Lifetime wealth)
y

(4.5)

(4.4)
(4.6)

(4.6)

(4.7)

(4.7)

y = mx + b
b y

4.1
E Endowment point

y

y
E ( EA)
Endowment
E ( EB)
Endowment

56

(c)
B we(1+r)

y-t

y-t

A
we

(c)

4.1
: 2
3
(1)


(2)
(Consumption
smoothing) 4.1 .
20 . 1
2 . 2
2
1 2 1 11 2 9

57

4.1 (Consumption smoothing)

1
2

5
17
11

15
3
9

20
20
20

(3) (Normal goods)

= MRSc,c

I3
A

I2
I1
c

4.2

A B
I1 (Indifference curve)
(Marginal rate of substitution of future
consumption by current consumption: MRS , ) 2

58

(Consumer optimization) :

,
Endowment 2
4.3
c
we(1+r)

c*

I1

y-t

B
c*

we

y-t

we(1+r)

y-t

.
E

c*

I1
D
y-t

B
c*

we

4.3

. E Endowment




E
. A
= OB =

=BD= y

. E Endowment




E A
= OB =
= BD =
y

59

:
(Consumption smoothing)
3
1 4.4 Endowment E1 A

Endowment
E1 E2 AD
B

(c)
we2(1+r)

we1(1+r)

c2
A

c1

I2

D
I1
E1

c1

c2

E2
we1

we2

(c)

4.4
AD AF

(4.9)
y

(4.9)

60

2 A ( 4.5)
Endowment
y

y


Endowment A D B

(c)
we2(1+r)
we1(1+r)
D

c2

c1

A
I1
c1

c2

we1

I2

(c)

we2

4.5

(4.9)

61

3 H ( 4.6)
Endowment

HL J


4.6 HL+LM
K

1 2

(c)
G

E
B
M

J
I3
L

I2
I1
c1

c2

c3 A

(c)

4.6




(Permanent income hypothesis) Milton Friedman

62

3
:





4.7
(c)
we2(1+r2)

we1(1+r1)

we2

we1

(c)

4.7

Endowment E
Endowment
y

63

1
A ( 4.8)
Endowment A B

2
D B


A D
4.8

(c)

we2(1+r2)
F

we1(1+r1)

D
A

I2

I1
E

we2

we1

(c)

4.8
2
4.9 A

64

Endowment
A B

2
D B

A
D

4.9

(c)
F

we2(1+r2)

we1(1+r1)

A
I1
I2
we2

we1

(c)

4.9

65

(c)

= ac

(L shape)
,

A
I2
I1

D
B

(c)

4.10

AB
()

()
() ()

()

66

4.2 2

2



(4.17)

(4.18)

(4.18)

67

(4.19)

(4.19)
4.3 (CE)
Ricardian Equivalence Theorem 2


(Credit market)

2

(1)


,
y

(2)

(3)

(4.20)

(4.21)

68

(4.22)
(4.21) (4.22) (4.20)
(4.23)

1
4.4 Ricardian Equivalence Theorem
: 1

2
Ricardian Equivalence Theorem

(4.19)
(4.24)
(4.25)

(4.25)

69
y

(4.26)

:
4.11

Endowment Endowment

A I
(c)
we(1+r)

E1
E2
A
I

we

(c)

4.11 Ricardian Equivalence Theorem

4.11 A
Ricardian Equivalence



A Endowment
E1 E2

Endowment

70

(r)

:



( 4.12)






p

S1

S2

r1

B1

B2

(B)

4.12

4.12

B1 B2

B2 - B1

Ricardian equivalence
theorem

-

71

Ricardian equivalence theorem

2
Ricardian Equivalence
10%
10%

Friedman
Ricardian Equivalence


Ricardian Equivalence Theorem:
(1)






(2) 2






(Social security program)

72

(3)
3


(4)





Ricardian Equivalence Theorem




(Social security program):


Ricardian
Equivalence Theorem

(r)
2

4.2
4.2

10
20

30
10

(4.27)

73

y y

(4.28)
(4.27)
(4.28)

(4.29)
(4.29)
4.13 4.14

(c)
F

B
E2

y+b

J
H
I2
y

I1

E1
y

(c)

4.13

74

G = 0 1 2 Endowment E1

H I1 AB



Endowment E2
AB DF
I2




(c)
F

B
y+b

E2

J
H
I2
y

I1

E1
y

b
1+n

4.14

(c)

75

Endowment E1 1 2
H
I1
AB 4.14

Endowment E2
Endowment
y
y

AB DF
4.14
AB E1E2 AB
E1E2

E1E2

J I2 I1

y
y

76
y

Ricardian Equivalence Theorem

: 2

(4.30)

(4.31)

77

(4.30) (4.31) 4.15

( DF)
( AB)
Endowment ( E)
E
( AE) E
( EF)
( . 4.15)
(c)

(c)

we2(1+r2) D

we1(1+r1)
y-t

we1(1+r1)

E
E1
E2

H
I2

y-t

I1
F
G
we2 we3

F
we2

I3

we1

(c)

(c)

.
.
4.15

Endowment ( .
4.15) AE1B E1

78

B F

E2



Endowment

AE1F AE2G ( . 4.15)
I1 I2




G

4.5

(Intertemporal choice)
4

79

Ricardian Equivalence Theorem 19




(Social security program)

 5
2
6

2








Total Factor Productivity Stylized fact

5.1


1 2

81

(5.1)

(5.1)

2

2

(5.2)
(5.2)
(5.1)

(5.2)
(5.3)

(5.3)


(5.3)

82

(1)


(5.4)
(2) (5.4)

(5.5)
(3)

(5.6)
(4)

(5.7)
(5.4) (5.6)
(5.7)
(Intertemporal substitution of leisure)

(5.4) (5.7)
2

(w)

NS(r)

(N)

5.1

83

5.1



2

(5.6)
( ) (5.7)

(w)

NS(r1 )

NS(r2 )

w1

N1

N2

(N)

5.2

84

5.2 r1 r2

w1

N1 N1

5.3
w1

N1 N2

(w)

N2S(r1 )

N1S(r1 )

w1

N2

N1

(N)

5.3


3
(Output demand)

85

(5.5)

4









5.2




(5.8)
TFP

(5.9)
TFP

86

(Capital accumulation)
(5.10)
(5.10)
(Depreciation rate)

(5.11)
(5.11)

(5.12)
(5.12)

87

(5.13)
2

N2D

(w)

N1D

w1

N1

N2

(N)

5.4 TFP
5.4 Total Factor Productivity





2


1 (Marginal cost of investment:

88

) 1 (Marginal benefit of
investment:
) (5.11) (5.13)
1
1
1

(5.14)

)
(5.12)

-

(5.15)

1
(5.14)
(5.15)
(5.16)
(5.16)

(5.17)

89

(r)

(5.17)

(Optimal
investment rule) 2








-

MPK

d = r

r1 I1

r1

r1 r2
I1 MPK

d>

r2

r2

I1

I2

(Id)

5.5

90

(Demand for investment goods:

5.5

(r)

5.5

2
Total Factor Productivity

r1
2
1

I1d

I2d

(Id)

5.6

(1)

5.6

91

(2) Total Factor Productivity TFP

TFP


. 10


10 100

5.1

20%
. 8 10 2

.
5%

5.1



3

5
4
5.1

8
9
10
11
12
13
14
15

0
1
2
3
4
5
6
7

95
98
100
101
101.5
101.65
101.75
101.77

196.6
199.2
200.9
201.6
201.8
201.7
201.6
201.4

2.8
1.8
0.8
0.3
-0.35
-0.10
-0.18

92

5.3
4



...(5.19)
5.4
2

(1)

(2)
(3)
(4)

93

5.7

w
ND

NS(r)

w*

N*

Y
Y=ZF(K,N)
Y*

N*

5.7

94

( 5.8)

.

ND

N1S (r1 )

N2S (r2 )

w1
w2
N1

N2

Y=ZF(K,N)
.



N1 N2

Y2
Y1

N1

N2

r
YS

r2
r1

Y1 Y2

5.8

.

.



2

95
.

ND

N1S (r1 )

N2S

Total Factor Productivity

r1

w1
w2
N1

N2

Y
Y2
Y1

Y=ZF(K,N)

N1

N2

Y1S

Y2S

Y2

( .)



( .)

r1

Y1

5.9

96
.

N1D

N2D

N1S (r1 )

w2
w1

N1

N2

Y
Y2

N
Y=Z2F(K,N)

Y=Z1F(K,N)

Y1

N1 N2

N
Y1S

Y2S

Total Factor Productivity

( .)

( .)







( .)
.

Total Factor Productivity

r1

Y1

Y2

5.10 Total factor productivity

97

(5.20)

(r)

(r)

(5.20)

. 5.11
Yd

Y1d

Y2d

(Y)

(Y)

5.11

. 5.11

(1)

(2)

(3)

(4) TFP

Nd

(r)

(w)

98

NS(r*)

w*

Yd

YS

r*
N*

Y*
(N)

(Y)

5.12

5.12

5.13

Total Factor Productivity

G, Z, K

5.13

C, I, N, Y, w, r

99

5.5
1:

( . 5.14)
A (
. 5.14)
w

r
N1S (r1 )

Nd

N2S (r1 )

Y1d

N2S (r2 )

Y2d

r2
r1

w1
w2
N1

N2

Y1S

Y2S

Y2

Y1

5.14

100

Crowding out effect 5.1


5.1 Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical
Procyclical
Procyclical

Countercyclical
Countercyclical
Procyclical
Countercyclical

2:




2

( 5.15)

A

101

( 5.15)

w

N2D

N1D

N1S (r1 )

r
N2S (r2 )

Y1d

Y2d

Y2S

Y1S

r2
w1
A
w2

r1

N2 N1

Y2Y1

5.15
N1





5.2

102
5.2 Stylized fact

Stylized fact

(Simulated value)
Procyclical
Countercyclical
Procyclical
Procyclica

Procyclical
Procyclical
Procyclical
Procyclical

3: Total Factor productivity

Total Factor Productivity

( 5.17)

A

A
( 5.17)
w

N1D

N2S (r2 )

N2D

Yd

N1S (r1 )

Y1S

Y2S

w2
r1

w1

r2
N1 N2

Y1

Y2

5.17 Total Factor productivity

103

5.3 Total Factor Productivity



(Labor productivity)

Procyclical
Total Factor Productivity
5.3 TFP Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical
Procyclical
Procyclical
Procyclical

Procyclical
Procyclical
Procyclical
Procyclical
Procyclical

5.5
3
2

TFP

104

TFP

3

TFP

TFP

 6
2 :
(Monetary policy rules)

2




(Neutrality)

(Monetary policy rules) (Inflation targeting)
6.1








(Store of value)
(1)

106

(2) (Store of value)





(3)


(Money supply)






www.bot.or.th
6.2 2





Cash-in advance model
Robert Clower Robert Lucus

5
(1) 2

(2) 2
(3)

107

(6.1)
(Expected value of inflation)


(6.2)
Fisher relation
(6.2)
(6.2) (6.2) 1+r
1
1




(6.3)
(6.1)
(6.3) Fisher relation

(6.2)

(6.4)
(6.4)
2%
3% -1%

108

3







ATM


(Nominal money; )
(Nominal bond;
)
ATM




(6.5)
(6.5)

Cash-in advance constraint (CIA)

(Budget constraint: BC) (6.6)

(6.6)

109

CIA BC

(6.7)

...(6.7)
Fisher relation (6.7)

..(6.8)

(P)

(6.8)
6.1

Md=PL(Y,r)

6.1

(P)

110

1d =PL(Y1,r)
d2 =PL(Y2,r)

6.2
Y1 Y2

6.2

5





(6.9)
(6.9)

ATM

(Money supply: )


6.3

(P)

111

Ms

6.3

3
6.4

6.4

112

Ns(r*)

ND

(r)

(w)

(Competitive equilibrium) CE
4

4 3

6.5


8

w*

Yd

Ys

r*

(N)

N*

Y*

(P)

Ms

Md=PL(Y*,r*)

P*

6.5

(Y)

113

6.3
2
TFP

(w)

D
2

1D

(r)

1




5

Ns(r1)

2s

Yd

Ns(r2)

1s

w1

r2

w2

r1

(P)

N2 N1

Y2 Y1

(N)

(Y)
Ms

PL(Y2,r2)

PL(Y1,r1)

P2
P1

6.6 TFP

114

6.6






A

6.1 TFP Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical
Procyclical
Procyclical
Procyclical
Countercyclical

Procyclical
Procyclical
Procyclical
Procyclical
Procyclical
Countercyclical

115

(Stylized fact)
Countercyclical

(Technology shock)

(r)

(w)

2


(Nominal expenditure)

6.7

Nd

Ns(r1)

Yd

w1

Ys

r1
N1

(N)

Y1

(P)

s
1

(Y)

2s
Md=PL(Y1,r1)

P2
P1

M1

M2

6.7

116

6.7

Economy-classical
dichotomy

10
10 Stylized fact


(Neutrality of monetary policy)


6.4 (Quantity theory of money)
(Velocity of asset)

(6.10)
(6.10)

(6.10)
(6.11)

117

(6.11) (Quantity theory of money)

(Monetarism)

(6.11)
(6.12)
(6.12)
10%
10%
2
(6.11)
(6.12)
(Growth of money supply)
3%

(Monetary policy rule) 3%
Milton Friedman 1968 70
80


(6.12)


(1)
(Alternative means of payment)

(2)

(P)

118
Ms

1d

d2

P1

P2

(3)
1980
(Depository and Deregulation and
Monetary Control Act of 1980)

M

6.8

(4)

(5)
1930

6.5 (Monetary policy rules)

(Neutral)

3 (1) (2) (3)





( 6.9 6.11)

(P)

119
M1S

M2S

PL1(Y,r)
PL2(Y,r)
P1
P2
M1

M2

(r)

6.9

1d

2d

Ys

( . 6.10)

( . 6.10)

r2
r1

Y1

Y2

(Y)

(P)

1s
PL(Y1,r1)

s2
P1
P2
M1

M2

PL(Y2,r2)

( .)

6.10

(r)

120

1s

Yd

2s

r1

( . 6.11)

r2

Y1

Y2

(Y)

(P)

1s

s2
PL(Y1,r1)

PL(Y2,r2)
P1

P2
M1

M2

6.11

(Discretionary monetary policy)
(Monetary policy rules)
(1) (Money supply targeting)

121

3 ( 6.9 6.10 6.11)

(2) (Nominal
interest rate targeting) Fisher relation

6.9

M1 M2 P2 P1

6.10

M1 M2

( 6.11)

122

6.6
2

Cash-in advance constraints


TFP
Stylized fact

Countercyclical






2

 7

6
2
(Coordination failure model)
3
Stylized fact


7.1
Finn Kydland Edward Prescott 1982

Solow residual
7.1

Random productivity shocks

.06
.04
.02
.00
-.02
-.04
-.06
-.08
66 68 70 72 74 76 78 80 82 84 86 88 90
LSOLOW_CYCLE_US

LGDP_CYCLE_US

7.1 Solow residual (LSOLOW_CYCLE_US) 1965-1990

124

(w)

Kydland and Prescott

(Dynamic model)

Kydland and Prescott
6
Random productivity shock

Nd1

N2d

Ns(r2)
Ns(r1)

w2
w1

N1 N2

(N)

(r)

Yd1

Yd2

Ys1
Ys2

r1
r2

Y1

Y2

(Y)

(P)

125
Ms
PL(Y1,r1)
PL(Y2,r2)
P1
P2

(Ms,Md)

7.2 Productivity shock

. 7.2

. 7.2

. 7.2

Procyclical Countercyclical

126

(Y)

Stylized fact 2

Y2

Z2F(K,N)

Z1F(K,N)

Y1

b
a

N1

N2

(N)

7.3 Productivity shock

(P)

7.3

Procyclical
Ms1

Ms2
PL(Y1,r1)
PL(Y2,r2)

P1
P2

M1

M2

(Ms,Md)

7.4 Productivity shock

127

7.4


Procyclical
(M1) (M2)


7.1
Productivity shock
Technological shock
7.1 Productivity shock Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical
Procyclical
Procyclical
Procyclical
Countercyclical
Procyclical

Procyclical
Procyclical
Procyclical
Procyclical
Procyclical
Countercyclical
Procyclical

Second Welfare Theorem

Shock Solow residual TFP

128

Solow residual
(Utilization)

100%
100 50

100
Labor hoarding
95% 90%

Solow residual

1
Solow residual
Solow residual

7.2 (Coordination failure model)

1980 Peter Diamond
(New Keynesian School) (Coordination
failure model)



2




(Complementary goods)

129

Strategic
complementarities
2
(Waves of optimism) (Good equilibrium)
(Waves of pessimism)
(Bad equilibrium)

(Y)

:

(Constant return to scale)
Strategic complementarities





(Increasing return to scale)
Y = ZF(K,N)
7.5

Y = zF(K,N)

A
(N)

7.5

7.5
A B

(w)

130





7.6

Nd

(N)

(w)

7.6

7.7

Nd
Ns(r)

w1

N1

(N)

(w)

7.7
s
Nd N (r2)
Ns(r1)

N1

N2

(N)

(Y)

zF(K,N)

Y2
Y1
N1

N2

7.8

(N)

(Output supply)

(r)

131
7.9

7.8

Ys

r1

r2

Y1

Y2

(Y)

7.9

2 :
2
(r)

Ys

r1

r2

(w)

Y1

w2

w1

N1

7.10

(Bad equilibrium)

Yd
(Good
Y2
(Y) equilibrium)

s
N (r2)

Nd
s
N (r1)

(Bad equilibrium)



(Good equilibrium)
N2
(N)

7.10 2

(P)

132

Ms
Md1PL(Y1,r1)
Md2PL(Y2,r2)

P1
P2
M

(Ms,Md)

2
2
2

7.11 2

: 2




(Self-fulfilling optimism) (Self-fulfilling
pessimism) (Animal
spirit)

(Sunspot)




Sunspot


(Good equilibrium)
(Bad equilibrium) Sunspot

Sunspot
7.10
7.11

133

Procyclical
Countercyclical Stylized fact
2

(Y)

Y = zF(K,N)

Y2

7.12

B
A

N2

Procyclical

Y1

N1

(N)

(P)

7.12 Sunspot

Ms1

Ms2
PL(Y1,r1)

PL(Y2,r2)
P1
P2

M1

M2

(Ms,Md)

7.13 Sunspot

7.13
Sunspot

Procyclical
Countercyclical

134

7.2
Sunspot
7.2 Sunspot Stylized fact

Stylized fact
Procyclical
Procyclical
Procyclical
Procyclical
Procyclical
Countercyclical
Procyclical

(Simulated value)
Procyclical
Procyclical
Procyclical
Procyclical
Procyclical
Countercyclical
Procyclical

:





2

Sunspot

2 (Empirical evidence)


Sunspot (Expectation)

135

(r)

Ys1

Ys2

r1

r*
r2
Yd2

Y1

Y*

Yd1

Y2
(Y)

7.14
7.14

136

7.3
(Real business cycle model)
(Coordination failure model)
Random productivity shocks


Second welfare theorem

2

Sunspot

 8

(Neutrality)

(Nominal
wage) (Sticky)

8.1
John Maynard Keynes
1930 Hicks 30
60

(Nominal wage) (Sticky)
3
1







8.1

(w)

138
Nd
Ns(r)

w*

wmc

N*

N**

(N)

8.1












8.2

8.2

(w)

139
Nd

W
P1

(Y)

W
P2

N1

N2

(N)

zF(K,N)
Y2
Y1

N2

(N)

(P)

N1

AS

P2
P1

Y1

Y2

(Y)

8.2

(P)

140

AS

P1

(Y)

8.4

8.4


Total factor productivity




TFP

(Investment)

( Saving)

Liquidity preference M Money supply LM

IS
5



8.5

(r)

141
IS

(Y)

8.5 IS

(r)

(r)

Ms

r2

LM

r2
PL(Y2,r)

r1
PL(Y1,r)
M

r1

(Ms,Md)

Y1

Y2

(Y)

8.6 LM
8.6

142

M1s

M2s

(r)

(r)

8.6

LM1

r2

LM2

r2

r1

PL(Y1,r)
M1

M2

r1

(Ms,Md)

Y1

(Y)

8.7 LM

8.7

8.8

( 8.8)

(r)

(r)

143

Ms

LM2
LM1

r2

r2
P2L(Y1,r)

r1

r1

P1L(Y1,r)
M

Y1

(Ms,Md)

(Y)

8.8 LM

(r)

(r)

8.9

1%

Ms

LM2
LM1

r2

r2
PL2(Y1,r)

r1

r1

PL1(Y1,r)
M

(Ms,Md)

Y1

8.9 LM

(Y)

(r)

144

IS

LM

r*

Y*

(Y)

8.10

(r)

IS-LM ( 8.10)
(Aggregate demand)

LM2(P2)
LM1(P1)

IS

Y1

(P)

Y2

(Y)

AD

P2
P1

Y2 Y1

8.11

(Y)

( 8.11)

IS-LM

(r)

145
IS2
IS1

LM

Y2

(Y)

(P)

Y1

AD1

AD2

( 8.12)
AD

P1

Y1 Y2
(Y)

(r)

8.12 IS AD

IS1

LM

(P)

Y1

Y2

(Y)

AD1 AD2

P1
Y1 Y2

(Y)

8.13 LM AD

LM

( 8.13)

146

(r)

8.14

(Simulation)

LM

(w)

IS

r*

Y*
(P)

(Y)

AD

ND

Ns(r*)

W
P*

AS

N*
P*

(N)

8.14
Y*

(Y)

8.2





6

(r)

147

LM1

IS

LM3
LM2

r1
r2

Y2

(Y)

(P)

Y1
AD2
AD1

LM1
LM2

P1
P2
LM LM

LM LM2
LM3

AS

IS LM
r1
r2 AD
AS

P1 P2

P2
P1

Y1 Y2
(w)

(Y)

ND

Ns(r2)
Ns(r1)

W
P1
W
P2

W/P1 W/P2

Ns(r1) Ns(r2)

Y1 Y2

N1

N2

N2s

Ns1

(N)

8.15

148

(Stylized fact) 8.1


8.1 Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical

Procyclical
Procyclical

Procyclical
Procyclical

Procyclical
Countercyclical

Countercyclical
Procyclical

Procyclical
Procyclical

8.3



8.16

N1 N2
Ns(r1) Ns(r2)



Y1 Y2

149
(r)

IS2
LM2

IS1

LM1
r2
r1

Y2

(Y)

(P)

Y1

AD1

AD2
AS

P2
P1

Y1 Y2
(w)

(Y)

ND

Ns(r1)

W
P1
W
P2

Ns(r2)

(N)

N1

N2

N2s Ns1

8.16

150

(Stylized fact) 8.2



8.2 Stylized fact

Stylized fact

(Simulated value)

Procyclical
Procyclical

Procyclical
Procyclical

Procyclical
Procyclical

Procyclical
Countercyclical

Countercyclical
Procyclical

Procyclical
Procyclical

8.4





John Maynard Keynes

1930




(Stabilization policies)

(r)

151
LM1

IS

LM2

r1
r2

(Y)

Y2

(P)

Y1

AS1

AD

AS2

P1
P2

Y2

(Y)

(w)

Y1

Ns(r2)

ND

W1
P1
W2
P2

N2

Ns1

Ns(r2)

Nd
Ns(r2) W2/P2
N2

Ns(r1)

N1

AS1 AS2
P1 P2
LM LM1 LM2
IS-LM
r1 r2

Y1 Y2

W1/P1 W2/P2

N1 N2
r1
r2 Ns(r1)

(N)

8.17

8.18

(r)

152

LM1
LM3

IS

LM2

r1
r2

Y2

(Y)

(P)

Y1
AD2
AD1

AS

P2
P1

Y1 Y2
(w)

(Y)

Ns(r2)

ND

Ns(r1)

W
P1
W
P2

N1

N2

N1

LM1 LM2




P1 P2

LM LM

LM
LM2 LM3
IS LM
r1 r2
AD AS

P1 P2

W/P1
W/P2
N1 N2

Ns(r1) Ns(r2)

ND Ns(r2)
W/P2
N2

(N)

8.18

8.19
Crowding out effect

153
(r)

IS2
LM2

IS1

LM1
r2
r1

Y2

(Y)

(P)

Y1

AD1

AD2
AS

P2
P1

(w)

Y1 Y2

ND

Ns(r1)

(Y)

Ns(r2)

W
P1
W
P2

N1

N2

W/P1 W/P2
N1
N2

Ns(r1) Ns(r2)

ND
Ns(r2) W/P2
N2

(N)

8.19

8.5

154

IS LM 3

IS LM









Stylized fact
(Stabilization
policies)

 9
:

(Globalization)

1997
9
10

2

9.1


(Investment-saving gap)
(Yd)
Yd = Y + NFP + TR + INT T

...(9.1)

Y NFP


NFP TR INT
T

(C)
(SP)
SP = Yd C
= Y + NFP + TR + INT T C

...(9.2)

156

(Sg) (9.3)
(S) (9.4)
Sg = T TR INT G

...(9.3)

S = SP + S g

...(9.4)

(9.2) (9.3) (9.4)

S = Y + NFP C G

(C) (I) (G) (NX)

S = C + I + G + NX + NFP C G
= I + NX + NFP

...(9.5)

NX NFP (CA)
(S-I) (9.6)

S-I = NX + NFP = CA

...(9.6)

NFP = 0 (NX = CA)

I = 0
(9.7)
=

...(9.7)

(9.7)
4


(Representative agent) 2
2

157

(Consumption smoothing)
(9.8)

=

(9.8)

(9.9)

(9.9)

(9.9) (9.8)

=

(9.10)

(9.10)

9.1 E
Endowment D 2
B

(9.7) TR INT
0 (9.11)

- -

(9.10)

G = T 9.1

( )

158

D
I1

A
C*

Y-T

(C)

9.1

9.2
9.1
(9.7)

(1)

(Consumption smoothing)

(2)
(Multiplier effect)
(9.9)

(9.10)

9.2
B B


-

159

( )

I1

I2

B1

B0

C1'*

E0

E1
A0

A1

*
C* C1

(C)

9.2

(3)

9.3 Ricardian equivalence theorem 4




D Endowment
E E


I1
9.3 (
)

Ricardian equivalence
theorem

(2) (3)

(Twin deficit)

( )

160

B
D

I1

E
A
C*

Y-T

DSP>0
(C)

9.3

9.3 9.4
( )

(4)

we2(1+r2)

I2

I1

we1(1+r1)
A

E
we2

we1
(C)

9.4

161

( )

9.4 A
Endowment E

A B

we2(1+r2)
we1(1+r1)
E
B
A
I1

I2
we2

we1
(C)

9.5

9.5 A
Endowment E
A B

9.4 9.5

162

9.3

(r)

5 9.6

(Free
trade)



Ys

Yd

r*

Y*

(Y)

9.6

Ys = Y Yd = C + I + G + NX

Ys = Yd

(9.11)

(9.11) Y* r*

163

(NX)

NFP
0 (NX)
(CA)
4 (1)
(2) (3)
(4)

Ys = Yd = C + I + G + NX NX > 0

(r)

1:
9.7

Y1d

Ys

Y2d

r2
r1

Y1

Y2

(Y)

9.7
9.7
r1 r2 r2
(Ys > )

Yd = C + I + G

164

Y1 Y2

+ NX

(r)

2:
9.8
r1 r2
r*
9.9

Y2d

Y1s

Yd1

Y2s

r2
r1

Y1

Y2

(Y)

9.8

(r)

165

Yd1

Y3d

Y1s

Y2d

Y2s

r*

Y1

Y2

(Y)

9.9
9.8







r1 r2
9.9


r*

Y1 Y2

166

(r)

3:
Total
Factor Productivity
9.10 r1 r2
9.11
r*

Y1s

Yd

Y2s

r1
r2

Y1

Y2

(Y)

(r)

9.10

Y1s

Y2d

Y2s

Y1d

r*

Y1

Y2

(Y)

9.11

167

9.10 Total Factor Productivity

(Marginal productivity of
labor)

r1 r2
9.11

r*

Y1
Y2



4: Total
Factor Productivity
9.12
r1 r2

r* 9.13
9.12 Total Factor Productivity

9.13 (r1 = r*)



r*

168

Y1 r*


9.1 (9.6)
(9.12)

S I = CA

(r)

(Investment-saving gap)

Yd2

Ys

Y1d

r2
r1

Y1

Y2

(Y)

(r)

9.12

Yd2

Ys

Y1d

r*

Y1

(Y)

9.13

169

(Current account deficit)

(Taking off)




(Consumption smoothing)


9.4





4
(1) (2) (3) (4)
(1) (3) (4)


(3)



5 2

170

9.1
9.1

r*
G

TFP

TFP

CA

 10
:

(Nominal exchange rate) (Exchange
rate regime)



(Neutrality of money)
(Capital control)


1998
10.1
( e)
e = 40 /US $ 1 40

50,000
50,000 US $ 40 /US $ = 2,000,000
38 /US $
(Appreciation) . 38
1 . 50,000 US $ 38
/US $ = 1,900,000 42 /US $
(Depreciation) .
42 1 .
50,000 US $ 42 /US $ = 2,100,000
(Real
exchange rate)
50,000

30,000

172

30,000 US $ 40 /US $ = 1,200,000
(Law of one price)
(P) (eP*)
(Purchasing power parity: PPP)
(10.1)

P = eP*

PPP
P < eP*

P > eP*

(Traded goods)
PPP
(Nontraded goods)


(Consumer price index)




(Real exchange rate)
Big Mac

3.10
2.94
250.00
29.00
4.45
33.00
60.00

1.000
1.280
0.009
0.088
0.620
0.137
0.026

: The Economist, 25 2006

1.000
1.220
0.720
0.830
0.890
1.460
0.500

The Economist

Big Mac Index

2006
60
0.026 .

173

.
.
1.00
0.5
1
2 The Economist

34
. 40 .

(Real Effective Exchange Rate: REER)

100

2



(Managed floating exchange rate regime)




2

174

3
(1) Dollarize
.

(2) Currency board Interestbearing
assets
. 7.80 .
1983
(3) Mutual agreement among countries
1999
10.2

(r)

10.1

Yd

Ys

r*

Y1

(Y)

10.1

10.2
P = eP* P*

(e)

175

Ms

eP*L(Y,r*)

e1

Md = PL(Y, r*)
P
= eP*

Md = eP*L(Y, r*)
r*

10.2

10.2
Ms = eP*L(Y, r*)
e1




:
(1)
(e)

1s

2s
eP*L(Y,r*)

e2

e1

M1

10.3
e1

M2

10.3

eP*L(Y, r*)
e1 e2
Ms = eP*L(Y, r*) 2%

176

2% P = eP*
2%
Classical dichotomy

(e)

(2)


10.4

Ms

eP1* L(Y,r*)
eP2* L(Y,r*)
e1

e2

Ms
e1

e1

10.4

30 . 24
.

Ms e1
e2 P = e P*
P

177

(r)

:
TFP

Y1d

Y2d
Ys

r2*
r1*

Y1 Y2

(Y)

10.5
9




(Ys > )





Y1 Y2

(e)

10.5 TFP

Ms

eP* L(Y1 ,r1* )

eP* L(Y2 ,r2* )
e1

e2

10.6

e1




e1 e2

10.6 TFP

P = e P*
( P)

178

(e)

:
10.7

Ms

10.7

eP*L(Y,r*)

e1

10.7

10.1


Outside money
Interest-bearing government debt

10.1

Outside money
Interest-bearing government debt

179

(e)

Outside money

1s

2s

eP1*L(Y,r*)

eP2*L(Y,r*)
e1

M1

M2

10.8

10.8

e1

e1 10.1
Outside money
P = eP*

Classical dichotomy

180

(r)

(e)

:
Total Factor Productivity
. 10.9

Y1d

Y2d

M1S

M2S

eP* L(Y1 ,r1* )

Ys

eP* L(Y2 ,r2* )

e1

r2*
r1*

Y1 Y2

(Y)

M1

M2

10.9

. 10.9

e1

e1 10.1


P = eP*

181

(r)

Y2d

. 10.9 Total Factor

Productivity

Y2S

Y1d

Y1S

r*

Y2

Y1

(Y)

(e)

.
M2S

M1S

eP*L(Y2,r*)

e2
eP*L(Y1,r*)

e1

M2

M1

.
10.10

r*
.
10.10 Y1 Y2

e1




e2

e1

182

e1 e2

9


10.3
(Capital control)





(Balance of payment: BP)
(Current account: CA) (Capital account: KA)

BP = CA + KA

(10.2)

2
(Foreign direct investment: FDI)

(Capital inflow)
(Capital outflow)
BP = 0

KA = -CA

(10.3)

183

(10.3)
50
50

KA = -CA

KA = 0 CA = 0


1998

Y2d

Y2S

Y1d

eP*L(Y2,r*)

(e)

(r)

:
Total Factor Productivity

Y1S

eP*L(Y3,r*)

e2

eP*L(Y1,r*)

r1

e3

r*

e1

Y2

Y3 Y1
(Y)

.
.
10.11

Total
Factor Productivity . 10.11

r*

184

. 10.12
e1

e1 e2



r1 Y1 Y3

e1 e3







First welfare theorem


:
Total Factor Productivity

(e)

eP*L(Y2,r*)
eP*L(Y3,r*)

eP*L(Y1,r*)
e1

M2

M3

M1

10.12

185

Y1 Y2

( 10.12)
e1

10.4
(e)
eP*/P P P*





100

Classical dichotomy




10.2

186
10.2

Total Factor Productivity

Total Factor Productivity

(
)

(Discretionary action)

 11

3


Solow Growth Model
Robert Solow 1956

(Technological variable)

Growth accounting


11.1 Solow
1990
18,073 .
554 . 36,810
. 1,142 .

Solow 1956
5
2
Cobb-Douglas (Constant
return to scale)




Solow 2
(Capital accumulation) (11.1)
Y K L

188

+ 1- =1
(Capital share) 0 1
Y

F(K , L) K L1

...(11.1)

Capital share
1
r w

Max
K ,L

= KL1 rK wL

(1 )

wL
Y

...(11.2)

rK
Y

...(11.3)

(11.2)
(Labor share) (11.3)
(Capital share) (11.2) (11.3)
...(11.4)

rK wL Y

(11.4)


(Output per worker) y Y
(Capital per worker)

K
k
L

Y KL1

y = k

Y
=
L

K L1
L

y =

K
L

...(11.5)

189

y=k

(11.5)
11.1



(Marginal productivity of capital
stock per worker)

(k)

11.1

(Capital accumulation) (11.5)
K

...(11.5)

sY dK

dK
K
dt

sY
d
dK (11.5)
2
(Natural logarithm)
t
k

K
ln k ln K ln L
L

d(ln k ) d(ln K ) d(ln L)

dt
dt
dt

1 dk 1 dK 1 dL
k dt

K dt

L dt

k K L

k K L

...(11.6)

190
k

k

K
L

K
L

(11.6)

L
n
L

(11.6)

k K
n
k K

...(11.7)

(11.5) K
K
K

sY dK
K

K
K
K

K
K

sy
d
k

...(11.8)

(11.8) (11.7)
k sy
dn
k k
k sy (n d)k

...(11.9)

(11.9) (sy)
((n d)k) (k 0)
((dk/dt)>0)


(11.9) 11.2
(n+d)k
sy

k0

k*
(k)

11.2 Steady state Solow

191

11.2 sy s
y (n d)k
k
sy (n d)k k 0 Steady state

k*
k0
Steady state sy (n d)k
k 0


k 0

y*

(n+d)k
sy*

sy

k*

(k)

11.3 Steady state Solow

11.3 Solow
Steady state
(k*) (y*) (sy*)
(y*-sy*)

192
(n+d)k
sy**

sy

sy*

sy

k*

(k)

k**

11.4 Solow
11.4
s s'
sy s' y Steady state k *
s' y (n d)k

k 0

k** y** = f(k**)
y**-sy**

(n+d)k

(n+d)k

sy*

sy

sy**

k**

k*
(k)

11.5 Solow

193

11.5
n n' (n d)k
(n'd)k
Steady state k *
sy (n'd)k

k 0
k** y**=f(k**)
y**-sy**

Solow
Steady State k 0
sk * (n d)k *

1
1

s
k*

(n d) k *

s
k *1
(n d)

s 1
s 1

k *1 1 k * =

( n d)
( n d)
1

s 1
k * =

( n d)

y = k y *

s 1
( n d)

(k*)

(y*)

Steady state

k*

y*

=
=

s 1
( n d)

...(11.10)

s
( n d)

...(11.11)

Solow

(11.11)
(s)


(n)

194

(Growth of capital per worker)

sy 1
sk
k

k
k
n+d

k
k
(k)

k*

11.6

k sy (n d)k
k sy (n d)k
k k
k

k sk
k

(n d)
sk 1 (n d)
k
k
k

...(11.12)

(11.2) 11.6

s

s

(n+d)

(Transition dynamic)
Steady state

(Converge) Steady state

k*

Steady state
Steady state

195

11.2 Solow
A
Labor-augmenting (11.1)
Y = F(K , AL) K ( AL)1

..(11.13)

(New growth theory)


(g)
...(11.14)
AL (Effective worker)
(11.15)
(11.16)
Y
~
y

AL
~ K
k

AL

y
A
k
A

...(11.15)
...(11.16)

(11.13)
Y K ( AL)1

~
~
y k

y k A1
k
y = k A1
=
~
y y
A
A
A

...(11.17)

(11.16)

~

k K A L
~ KAL
k

...(11.18)

196
K
Y
K = sY dK = s d
K K
n g
(11.18)

k
Y
~ s (n g d)
K
k

~
k

(11.19)

(11.19)
~
~

k s~
y (n g d)k

...(11.20)

(11.20)
~
(s~y (n d)k )
~

( k 0)

(11.20) 11.7
~
( n g d )k
s~
y

~k
0

11.7 Steady state Solow

197

s~y
~
(n g d)k
~
s~
y (n g d)k

~
s~
y (n g d)k

k 0 Steady state

Steady state
k 0

~

k 0


Steady state

~
~
~
Solow Steady State ~
k 0 s~
y = (n g d)k s k * (n g d)k *
~
k*
s
s
~
~
k *1
(n g d) k *
(n g d)

1
1

1
1

(
n

g
d)

~
~
k *1 1 k *

k *

1
s

( n g d)

1
1

s
( n g d)

~
y

~
k ~
y*

1
s

( n g d)

(y*) Steady state

1
s
A
y* =

( n g d)

Y
y
~
y

AL A

198

g
A Steady
state (11.21) (t)

1
s
A( t )
y * (t ) =

(n g d)

...(11.21)

Solow (A)
(11.21) A(t)


(Growth of capital per worker)

s~
y ~1
~ sk
k

k
~
k
n+g+d

k
~
k

~*
k

11.8 Solow

~k s~y (n g d)~k
~
~

k sk
~
k
~ ~ (n g d) ~ s k 1 (n g d)
k
k
k

~
~

k s~
y (n g d)k
~ ~
~
k
k
k

...(11.22)

(11.22) 11.8
Steady state

199

11.8
Steady state


Steady state

Steady state




Balance growth path
y

y
y

y
y

Steady state
y

sy

s y

ny

Solow Steady state

200

s s
Solow s~y s'~y 11.9
Steady state ~k *
s'~y (n g d)k
~

k 0

~
( n g d )k

s~
y

s~
y

~*
k

~**
k

11.9
11.10
s s s s

k 0
~

11.10 Steady state

k Steady state k g
Steady state k g

201
~
sk 1

~
sk 1

k
~
k

n+g+d

~*
k

~**
k

11.10
Solow

. 11.11
t*
g Steady state
g
t*
Steady state
11.10
. 11.11


t*


Steady state

t*
Steady state

(Level effect) 2 (1)

(Level effect) (2)

202

y

y

Steady state
(Growth
effect)

(Lny)

t*

.
(Level effect)

t*

11.11

11.3

203

1957 Robert Solow

(11.1) (11.23)

Y BK L1

...(11.23)

B Hicks-neutral productivity Total Factor Productivity

(11.23)
ln Y ln B ln K (1 )ln L

d(ln Y) d(ln B)
d(ln K)
d(ln L)

(1 )
dt
dt
dt
dt

1 dY 1 dB 1 dK (1 ) 1 dL
Y dt

B dt

K dt

L dt

Y
K
L B
(1 )
Y
K
L B

...(11.24)

(11.24)

Growth Accounting 2
K (1 ) L
K

(Technological progress: B )
B

(Capital share: )

B
Solow residual (11.24)
(Conventional input)


(Research and Development: R&D)

204

11.4

Solow 2

Steady state
Steady state

Labor-augmenting





(Level effect)
(Growth effect)

 12




FriedmanLucas Money Surprise Model
(Phillips curve) 2

70


80



12.1
A.W. Phillips
50









(Scatter diagram)
(Correlation)
12.1

8
6
4
2
0
-2
-4

-7

-6

-5

-4

-3

-2

-1

12.1

H(Y-YT)

(i)

(%)

206

12.2

(Y)

207

12.2
(Y) (i)
i = H(Y-YT)

...(12.1)

YT (Y-YT)
H
(Increasing function)


2 1947 2006
6 1947 1959 1960 1969
70

12.2 FriedmanLucas Money Surprise Model

Milton Friedman
1988
Robert Lucas

6




(Surprise increase in inflation)

208

(12.1)

... (12.2)

(i)

(12.2)

12.3

ie+a(Y-YT)

ie

(Surprise inflation)

YT

12.3

(12.2)

(Y)

209

...(12.3)

(i)

(12.3)

(12.3) (Trade off)

12.4
(YT)

ie2 +a(Y-Y T )
ie1 +a(Y-Y T )

ie2

ie1

YT

(Y)

12.4

FriedmanLucas Money Surprise Model

210

1970 1979
12.3

70 80
70


80

2
(Inflation targeting)
I1
i2

= 6%

I2

I3

I4

(i)

i1 = 5%

i* =3%

Y0

i4 = 2%
i3 = 1%

12.5

(Y)

211

(i)

12.5

Better off

Y0
i1 i2 I2 I1
i3 i4 I1 I2
i3 i4
12.5

I1
A
A

A
(Y)

B
B
B
I1

12.6

212

(Concave) (Convex)
12.6

A A A
A A
A I1
B B B
B I1

(i)

ie+a(Y-YT)
i1

ie

i*

B
A

YT

(Y)

Y1

I2
I1

12.7

(12.13)


12.7

213

(i)

A

A
B


Y1
i1

B
FriedmanLucas Money Surprise Model

PC3
I3

i3e

PC2
I2

i2

PC1

i2e

I1

i1

i1e

I4
i*

E
YT

12.8

(Y)

214

12.8



i1

A PC1
i1




Adaptive expectation
PC1 PC2

B
i2

(I2 < I1)

PC2 PC3
I3 PC3

A D



D

I4

215

70


80


(Hyperinflation)
12.4

90 Time consistency Problem
2 Kydland Prescott


5





Time consistency problem
(Game theory)

(Rational expectation)

216

(i)

PC2
I2

i1e

I1

i1

i*

PC1
I3

A
YT

(Y)

12.9
12.9

YT A PC1
I1
A

A

217

i*





D
I1 I3
i1


YT PC1
PC2
B PC2
I2
I2 < I1

A

Time consistency
problem
Kydland Prescott





90

Barro Gordon
Repeated game

218

A
70


12.5

(Cost
push) (Demand pull)

(Microfoundation)




1970 1979


70

80




90

 13

8




2 (Search model)
(Efficiency wage model)

13.1



(Search model)
13.1

Ve(w)

(0,0)

(w)

13.1

(w)
(Ve(w))

220

Ve(w) 2
(s) (s)

Ve(w)
Ve(w)

Ve(w)

Ve(w)


Vu 3
(Unemployment insurance) b
b Vu

p

p Vu

Ve(w)

Vu

w*

13.2 Reservation wage

(w)

221

(Vu) (Ve(w))



Reservation wage

13.2 w* Reservation wage Ve(w) = Vu w >
w* Ve(w) > Vu

w < w* Ve(w) < Vu

Reservation wage

Ve(w)

V u2
Vu1

w 1*

w *2

(w)

13.3 Reservation wage

13.3 Reservation wage Ve(w) =

b
Reservation wage Ve(w) <


Reservation wage

222

Ve1(w)
Ve2(w)
Vu

w 1*

w *2

(w)

13.4 Reservation wage

13.4 Reservation wage

=

Reservation wage
< Vu

Reservation wage

Vu

Reservation wage


H(w)
w
13.5 w = 0 H(0)=1 100


H(w)

223

H(w)
(w)

13.5 H(w)

w = w* H(w*)
Reservation rate

UpH(w*) U
(Labor force) p
13.6

UpH(w*)

s(1-U)

U*

(U)

13.6

13.6
UpH(w*)
UpH(w*)
s(1-U) s
(1-U)

224

s(1-U)
(U=1)
(s(1-U)=0)

UpH(w*)
s(1-U)
U*

Ve(w)

Vu

UpH(w*)

s(1-U)

w*

(w)

U*

(U)

13.7

(Search model)
13.7
Reservation wage w*
(Vu) (Ve(w))



Reservation wage
U*
(s(1-U)) (UpH(w*))

225

13.2

3
(b)
(p)
(b)
13.8
Reservation wage Ve(w) <


Reservation wage


Reservation wage


U1 U2

Ve(w)

V u2
Vu1

w 1*

w *2

(w)

UpH(w 1 )

UpH( w 2 )

s(1-U)

U1

U2

(U)

13.8

(p)
2


p
13.9

226

Reservation wage p

Reservation wage (UpH(w*))
p
p w* H

U1
U2

Ve(w)
Vu2

Up2H( w2 )
*

Vu1

Up1H( w1* )

s(1-U)

w 2*

w1*

U2

(w)

U1

(U)

13.9

Ve1(w)
*

UpH( w1 )

Ve2(w)
Vu

UpH( w 2)

s(1-U)

w1*

w 2*

(w)

U1

U2

13.10

(U)

227

13.10
Reservation wage
< Vu

Reservation wage

Vu
Reservation wage

U1 U2


13.11




Reservation wage
U*

Ve1 (w)
Ve2(w)

Vu1

UpH(w*)
s(1-U)

Vu2

w*

(w)

U*

13.11

1
(U)

228

13.3

e(w)

(Efficiency wage model)

(Asymmetric information)



2 Adverse selection

(Hidden
information)

Moral hazard

(Hidden
action)

e(w)

13.12
e(w)

(w)

13.12

229

2

...(13.1)

Y = ZF(K,e(w)N)

(w)

Y Z Total Factor Productivity K

N



Nd

(N)
13.13

13.13

(Nd)

230

e(w)

13.14

e(w) 13.14 w*

e(w*)

e(w)

e(w)
e(w*)

e( )

(w)

w*
(w)

13.14

13.15 (w*)

Adverse selection

Moral hazard

231

(w)

(w* > w**)

Nd
Ns(r)
w*

w**

N*

N1S

(N)

13.15

(Involuntary unemployment)

Adverse selection Moral hazard

(w)

232

13.16

w*
N*

Nd
Ns(r*)
w*

N*

(N)

(Y)

e(w*)
N*
Y*

zF(K,e(w*)N*)

N*
Y*
Ys
( 13.17)


Yd

r*
Y*



Y*

Y*

N*

(N)

(r)

13.16

Yd

Ys

r*

Y*

13.17

(Y)

(r)

(w)

233
Nd

Yd

Ns(r*)

Ys

w*

w**

r*

N*

N1s

(N)

Y*

(Y)

13.18

(Efficiency wage model)

13.18 (Equilibrium
unemployment) w*
N*
r* Y*
13.4
2

TFP


Stylized fact
13.19
w* N*
r1 Y1

234

(r)

(w)

Ys

r1 r2

w*
N*
Y1
r1 r2
N1S r1

Nd

N2S r1
N3S r2

w*

Y1d

Y2d

Ys

r2

r1

N*

(N)

Y1

(Y)

13.19

Crowding out effect
TFP
13.20

N1 N2
w*

235

N1D

N2D

(r)

(w)

Ns(r2)
Ns(r1)

w*

Yd

Y1s

Y2s

r1

r2

N1

N2

(N)

Y1

Y2
(Y)

13.20 TFP

Stylized fact Procyclical
TFP
TFP



e1(w) e2(w) 13.21



(Hidden action)







TFP

236

e(w)

Countercyclical
Stylized fact

e2(w)
e1(w)

w2*

w1*
(w)

13.21 TFP

13.5

237

(Asymmetric information)

Adverse selection


Moral hazard


TFP
Countercyclical Procyclical

238

Backus, D.K. and P.J. Kehoe. (1992). International Evidence on the Historical Properties on
Business Cycles. American Economic Review, 82(4): 864-888.
Fiorito, R. and T. Kollintzas. (1994). Stylized Facts of business cycles in the G7 from a real
business cycles perspective. European Economic Review, 38(2): 235-269.
Jones, C.I.(1998). Introduction to Economic Growth, New York: W.W.Norton & Company, Inc.
Williamson, S. D. (2005). Macroeconomics (2nd edn), Boston: Pearson Education, Inc.
_____________. (2008). Macroeconomics (3rd edn), Boston: Pearson Education, Inc.
. (2542).
( , ).
,
.
. (2553). .
. 28(1): 84-121.
. (2542). .
. 17(3): 5-54

:
(Microfoundation)

:

(Microfoundation)