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Un enfoque teórico en tiempo continuo para modelos de equilibrio general dinámicos estocásticos

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dc.contributor.advisorSerrano Perdomo, Rafael Antonio
dc.creatorZambrano Jurado, Juan Carlos
dc.creator.degreeDoctor en Economíaspa
dc.creator.degreetypeFull timespa
dc.date.accessioned2021-04-29T16:58:51Z
dc.date.available2021-04-29T16:58:51Z
dc.date.created2021-04-22
dc.descriptionEste documento contiene tres aportes teóricos que se encuentran en la interacción entre los modelos estocásticos de equilibrio general, la macroeconomía dinámica y el control óptimo en tiempo continuo. En el primer capítulo, se estudia una solución analítica de dos modelos DSGE (Dynamic Stochastic General Equilibrium) en tiempo continuo con preferencias CRRA, tecnología tipo Cobb-Douglas y choques en la dinámica de acumulación de capital que combinan un proceso de difusión con saltos aleatorios asociados a eventos raros. El factor de tecnología puede tomar la forma de un proceso CIR con reversión a la media o un movimiento browniano geométrico. En el segundo capítulo, se propone la solución de un modelo de crecimiento neoclásico estocástico en tiempo continuo con un solo sector, de tipo Ramsey, con función de utilidad CRRA y tecnología tipo Cobb-Douglas, con acumulación de capital, efectividad y la fuerza del trabajo sujetos a choques exógenos que siguen procesos de difusión con saltos, dados por eventos raros. Finalmente, en el tercer capítulo, estudiamos un problema de agentes heterogéneos en tiempo continuo. Analizamos el efecto de los choques estocásticos con saltos en la dinámica y distribución del ingreso de los agentes, y su impacto en el consumo, el ahorro y la distribución conjunta de la riqueza e ingreso. En todos los modelos, el principio de programación dinámica, el teorema de veri cación y el método de diferencias nitas permitieron encontrar soluciones analíticas y numéricas de las ecuaciones de Hamilton-Jacobi-Bellman (HJB) y Kolmogorov-Forward (kF). Eso permite obtener las funciones de política óptimas para las variables de control, analizar en cada caso de forma analítica y numérica los efectos de este tipo de choques estocásticos sobre las decisiones económicas de los agentes; como también destacar que el empleo de modelos dinámicos, que siguen procesos de difusión con saltos, representan los fenómenos económicos de forma más realista y enriquecen el análisis en ambientes con riesgo e incertidumbre.spa
dc.description.abstractThis document contains three theoretical contributions that lie in the interplay between stochastic general equilibrium models, dynamic macroeconomics, and optimal control in continuous time. In the first chapter, we study an analytic solution of two continuous-time DSGE models with CRRA preferences, Cobb-Douglas type technology, and shocks in the capital accumulation dynamics that combine a diffusion process with random jumps associated with rare events. The technology factor can take the form of, either a mean-reverting CIR process or a geometric Brownian motion. In the second chapter, we study a stochastic continuous-time one-sector neoclassical growth model of Ramsey type with CRRA utility function and a Cobb-Douglas type technology, with capital accumulation, efectivity and the labor force subject to exogenous shocks that follow diffusion processes with jumps, given by rare events. Finally, in the third chapter, we study a heterogeneous agent problem in continuous time. We analyze the effect of stochastic shocks with jumps in the dynamics and distribution of agent's income, and their impact on consumption, saving and joint distribution of wealth and income. In all models, the dynamic programming principle, the veri cation theorem and the method of finite differences allowed us to find analytical and numerical solutions of the Hamilton-Jacobi-Bellman (HJB) and Kolmogorov-Forward (kF) equations. This allows obtaining the optimal policy functions for the control variables, analyzing in each case analytically and numerically the effects of this type of stochastic shocks on the economic decisions of the agents; as well as highlighting that the use of dynamic models, which follow diffusion processes with jumps, represent economic phenomena in a more realistic way and enrich the analysis in environments with risk and uncertainty.spa
dc.description.embargo2021-04-29 12:10:02: Script de automatizacion de embargos. Correo recibido: Juan Carlos Zambrano Jurado Jue 29/04/2021 8:11 AM Cordial saludo. Les escribo para informales que coloqué la notificación de restringido en el repositorio de la CRAI, al documento de mi disertación Doctoral en Economía, " Un enfoque teórico en tiempo continuo para modelos de equilibrio general dinámicos estocásticos ". Dado que el documento final se compone de tres artículos los cuales van a ser enviados próximamente a revistas indexadas para su posterior publicación, por tanto, el documento no puede ser de dominio público hasta no completar esa etapa. Agradezco su atención y colaboración. Atentamente, Juan Carlos Zambrano Jurado. Estudiante Doctorado en Economía. - Respuesta : Repositorio Institucional EdocUR Jue 29/04/2021 12:04 PM Respetado Doctor Juan Zambrano, reciba un cordial saludo, Hemos realizado la publicación de su documento: Un enfoque teórico en tiempo continuo para modelos de equilibrio general dinámicos estocásticos, el cual puede consultar en el siguiente enlace: https://repository.urosario.edu.co/handle/10336/31310 De acuerdo con su solicitud, el documento ha quedado embargado por 2 años hasta el 2023-04-29 en concordancia con las Políticas de Acceso Abierto de la Universidad. Si usted desea dejarlo con acceso abierto antes de finalizar dicho periodo o si por el contrario desea extender el embargo al finalizar este tiempo, puede enviar un correo a esta misma dirección realizando la solicitud. Tenga en cuenta que los documentos en acceso abierto propician una mayor visibilidad de su producción académica. Quedamos atentos a cualquier inquietud o sugerencia.
dc.format.extent220 pp.spa
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.48713/10336_31310
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/31310
dc.language.isospaspa
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.publisher.programDoctorado en Economíaspa
dc.rightsAtribución-NoComercial-SinDerivadas 2.5 Colombiaspa
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dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subjectModelos de agentes heterogéneosspa
dc.subjectProcesos de difusión con saltos aleatoriosspa
dc.subjectEcuaciones de Hamilton-Jacobi- Bellman y kolmogorov-Forwardspa
dc.subjectModelos económicos de equilibrio general aplicadospa
dc.subjectModelos EGDE (equilibrio general dinámico estocástico) en tiempo continuospa
dc.subjectControl óptimo estocástico en modelos Economicosspa
dc.subjectMétodo de diferencias finitas en modelación económicaspa
dc.subjectAnálisis de riesgo de desastres económicospa
dc.subject.ddcMacroeconomía & temas relacionadosspa
dc.subject.keywordHeterogeneous agent modelsspa
dc.subject.keywordDiffusion processes with random hopsspa
dc.subject.keywordHamilton-Jacobi- Bellman and kolmogorov-Forward equationsspa
dc.subject.keywordApplied General Equilibrium Economic Modelsspa
dc.subject.keywordContinuous-Time DSGE Models (Stochastic Dynamic General Equilibrium)spa
dc.subject.keywordOptimal stochastic control in economic modelsspa
dc.subject.keywordFinite difference method in economic modelingspa
dc.subject.keywordEconomic disaster risk analysisspa
dc.titleUn enfoque teórico en tiempo continuo para modelos de equilibrio general dinámicos estocásticosspa
dc.title.TranslatedTitleA theoretical approach in continuous time to dynamic general equilibrium models stochasticsspa
dc.typedoctoralThesiseng
dc.type.documentMonografíaspa
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaTesis de doctoradospa
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