แบบฝึกหัดที่ 1.1: แบบจำลองตลาด (ILS) u Supply...
Transcript of แบบฝึกหัดที่ 1.1: แบบจำลองตลาด (ILS) u Supply...
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แบบฝกหดท 1.1: แบบจำลองตลาด (ILS)
Demand Function:
�
Qt = 0 + 1Pt + 2Xt + u1t
Supply Function:
�
Qt = 0 + 1Pt + u2t
โดยท Q = Index of Crop Production, 1977=100
P = Index of Crop Prices Received by Farmers, 1977=100
X = Real Per Capita Personal Consumption Expenditure, 1982 $
ทมา: ตารางท 20.1 Gujarati p.767
File: Simultaneous.xls Sheet: EX1
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แบบฝกหดท 1.2: แบบจำลองสำหรบการประมาณการดวยวธ TSLS
Income Function: Y1t = 10 + 11Y2t + 11X1t + 12X2t + u1t
Money Supply Function: Y2t = 20 + 21Y1t + u2t
โดยท Y1 (GDP) = Gross Domestic Product, Billions of $
Y2 (M2) = Money Supply, Billions of $
X1 (GPDI) = Gross Private Domestic Investment, Billions of $
X2 (FEDEXP) = Federal Government Expenditure, Billions of $
X3 (TB6) = Interest Rate on 6-Month Treasury Bills, Percent
ทมา: ตารางท 20.2 Gujarati p.775
File: Simultaneous.xls Sheet: EX2
Identification
Income Function is under-identified
Money supply function is over-identified
Estimation
Estimate money supply function with Two Stage Least Square (TSLS)
Process of Estimation with TSLS
Step I: กำจด correlation ระหวาง
�
u2t กบ
�
Y1t โดยการประมาณการสมการถดถอยของ
�
Y1t
ทถกกำหนดจาก predeterminedvariables ทงหมดในแบบจำลอง ดงน
Y1t = 0 + 1X1t + 2X2t + ut
จะได Y1t= ˆ
0+ ˆ
1X
1t+ ˆ
2X
2t
และ Y1t= Y
1t+ u
t
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Step II: แทนคา
�
Y1t = � Y 1t + �
u t ใน money supply equation
�
Y2t = 20 + 21 [� Y 1t + �
u t ] + 2t
�
Y2t = 20 + 21� Y 1t + [21
� u t + 2t ]
�
Y2t = 20 + 21� Y 1t + 2t
โดยท
�
e2t = [21
� u t + 2t ]
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LS Result
Two Stage Least Square
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ตวอยางท 1.3: Klein’s Model
Consumption Function:
�
CONSt = 10 + 11P2t + 12 [Wt + W1t ] + 13Pt1 + 1t
Investment Function:
�
It = 20 + 21Pt + 22Pt1 + 23Kt1 + 2t
Demand for Labor:
�
Wt = 30 + 31 [Yt Tt W1t ] + 32 [Yt1 Tt1 W1t1 ] + 33t + 3t
Identities:
�
Yt + Tt = CONSt + It + Gt
�
Yt = Wt + W1t + Pt
�
Kt = Kt1 + It
โดยท
�
CONSt is consumption,
�
It is investment,
�
Wt is private wage,
�
W1t is
government wage,
�
Pt is profit,
�
Gt is government spending,
�
Kt is capital stock,
�
Yt is
national income และ is indirect taxes and is time trend (year)
(Gujarati P779 Example 20.2 or Pindyck 363)
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ตวอยาง 1.4: Small Linear Macroeconomic Model Pindyck p.396, p.390
Consumption: cn = f [gnp, cn(-1)]
Investment: i = f [(gnp-gnp(-1)), gnp, r(-4)]
Interest Rate: r = f [gnp, (gnp-gnp(-1)), (m-m(-1))]
Income Determination: gnp = cn + i + g
Endogenous Variable: cn, i, r, gnp
Exogenous Variable: g, m
Estimation : Least Square Method
Smpl 1950 .1 1985 .4
ls cn c gnp cn(-1 )
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ls i c gnp(-1 ) -gnp(-2 ) gnp r(-4 )
ls r c gnp gnp-gnp(-1 ) m-m(-1 ) r ( -1 )+r(-2 )
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Model
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Simulation : Ex post (1950 .1 -1985 .4 )
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Simulation
Ex post (1986 .1 1988 .4 )
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Simulation
Ex ante Forecast : 1988 . 2 -1989 .4 (Baseline)
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Policy Simulation :
Scenario1: G increases 10% from baseline
Scenario2: M increases 10% from baseline
Scenario3: G and M increase 10% from baseline
Scenario4: G increases 20% from baseline
Scenario5: M increases 20% from baseline
Scenario6: G and M increase 20% from baseline
Scenario1 : G increases 10% from baseline
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Scenario2 : M increases 10% from baseline
Scenario3 : G and M increase 10% from baseline
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ตวอยางท 1.5: Gujarati Example 19.16 p.760 data Table 19.4
Demand for Money Function:
�
Mtd = 10 + 11Yt + 12R + 13Pt + 1t
Supply of Money Function:
�
Mts = 20 + 21Yt + 2t
where
�
Mt is money,
�
Yt is income,
�
Rt is interest rate and
�
Pt is price
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ตวอยางท 1.6: Demand and Supply of oats
Qd = a + bP + cYD + e1
Qs = f + gP + hW + e2
Qd = Qs
ตวอยางท 1.7: Selected Macroeconomic Data, United States, 1970-1999
แบบจำลองท 1: Rt = b0 + b1 Mt + b2 Yt + u1t
Yt = c0 + c1 Rt + u2t
แบบจำลองท 2: Rt = b0 + b1 Mt + b2 Yt + b3 Yt-1 + u1t
Yt = c0 + c1 Rt + u2t
แบบจำลองท 3: Rt = b0 + b1 Mt + b2 Yt + u1t
Yt = c0 + c1 Rt + c2 It + u2t
แบบจำลองท 4: Rt = b0 + b1 Mt + b2 Yt + u1t
Yt = c0 + c1 Rt + c2 It + u2t
It = d0 + d1 Rt + u3t
โดยท Y = Gross Domestic Product, Billions of $
M = Money Supply, Billions of $
I = Gross Private Domestic Investment, Billions of $
G = Federal Government Expenditure, Billions of $
R = Interest Rate on 6-Month Treasury Bills, Percent
Gujarati Example 20.8 p.788 data Table 20.2
ตวอยางท 1.8: Naïve Linear Keynesian Macroeconomic Model
Yt = COt + It + Gt + NXt
COt = a0 + a1 YDt + a2 COt-1 + u1t
YDt = Yt – Tt
It = a3 + a4 Yt + a5 rt-1 + u2t
ทมา: S p.489 (ยงไมมขอมล)
ตวอยางท 1.9: Public Spending
EXPt = a1 + a2 AIDt + a3 INCt + a4 POPt + u1t
AIDt = b1 + b2 EXPt + b3 PSt + u2t
ทมา: Pindyck p.354