HTGAMS Hall and Taylor´s Model in GAMS

Mercado, Ruben and Kendrick, David (1997): HTGAMS Hall and Taylor´s Model in GAMS. Published in: UT Austin - Dept. of Economics - WP 9704

Abstract

This paper , and its accompanying programs , show how to implement in GAMS (General Algebraic Modeling System) deterministic simulations with standard macroeconomic models, be these models linear or nonlinear, static or dynamic.

Our general goals here are:

a) to introduce the use of GAMS for solving static and dynamic linear and nonlinear models expressed as system of equations

b) to introduce the workings of some linearization techniques

c) to provide an interface between the GAMS representation of a dynamic nonlinear model and DUALI , so that one can perform control experiments in deterministic and stochastic environments.

As a practical illustration of solution concepts and computational techniques, we use Robert Hall and John Taylor’s macroeconomic model. This is a twelve-equation nonlinear dynamic model for an open economy with flexible exchange rates which generates interesting and realistic patterns of macroeconomic behavior. Three types of simulations of progressive complexity are successively presented. For each of them, there is a corresponding program written in GAMS.

• Item Type: MPRA Paper
• Language: English
• Keywords: Macroeconomics, Economic Modeling, GAMS
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60 - General; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models

References

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Hall, R. and J. Taylor (1993), Macroeconomics, fourth edition, W.W. Norton & Company, New York.

Kendrick, D. (1981), Stochastic Control for Economic Models, McGraw-Hill Book Company, New York.

Kendrick, D. (1990), Models for Analyzing Comparative Advantage, Kluwer Academic Publishers, Dordrecht, The Netherlands.

Mercado, P. R. and D. Kendrick (1997), TAYGAMS: John Taylor’s Two-Country Model in GAMS, Department of Economics, The University of Texas at Austin.