Bifurcation Analysis of New Keynesian Functional Structure

This work studies the class of new Keynesian models.
We are looking at stability properties and
conducting a bifurcation analysis. Bifurcation
analysis is often overlooked while examining the
properties of the model. Bifurcation is a
qualitative change in the nature of a solution that
occurs due to change of the parameter value. For
example stable system can become unstable. The
parameter space of most dynamic models is stratified
into subsets, each of which supports a different
kind of dynamic solution. Since we do not know the
parameters with certainty,knowledge of the location
of the bifurcation boundaries is of fundamental
importance. Without it there is no way to know
whether the confidence region about the parameters
point estimates might be crossed by such a boundary,
thereby stratifying the confidence region itself and
damaging inferences about dynamics.Central results
in this work are the theorems on the existence and
location of Hopf bifurcation boundaries.We also
solve numerically for the location and properties of
the Period Doubling bifurcation boundaries and their
dependency upon policy-rule parameters.

Autorentext

Evgeniya Duzhak earned BS from Novosibirsk State University. A year after graduation she started a PhD program at the University of Kansas. She defended the dissertation with honors in the areas of Macroeconomics and Econometrics. Dr. Duzhak is currently employed as an Assistant Professor of Economics at Baruch College,CUNY.

Klappentext

This work studies the class of new Keynesian models. We are looking at stability properties and conducting a bifurcation analysis. Bifurcation analysis is often overlooked while examining the properties of the model. Bifurcation is a qualitative change in the nature of a solution that occurs due to change of the parameter value. For example stable system can become unstable. The parameter space of most dynamic models is stratified into subsets, each of which supports a different kind of dynamic solution. Since we do not know the parameters with certainty,knowledge of the location of the bifurcation boundaries is of fundamental importance. Without it there is no way to know whether the confidence region about the parameters' point estimates might be crossed by such a boundary, thereby stratifying the confidence region itself and damaging inferences about dynamics.Central results in this work are the theorems on the existence and location of Hopf bifurcation boundaries.We also solve numerically for the location and properties of the Period Doubling bifurcation boundaries and their dependency upon policy-rule parameters.