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EXPLICIT INVESTMENT SETTING IN A KALDOR MACROECONOMIC MODEL WITH MACRO SHOCK

机译：Kaldor宏观经济模型中的明确投资环境，宏观震动

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摘要

As the inevitable attributes of macro shocks on macroeconomic system,in this paper,we develop a Kaldor macroeconomic model with shock.The shock is due to the investment uncertainty.We then provide an approach for macroeconomic control by calibrating the evolvement of the shocked Kaldor macroeconomic model with some expected benchmark process.The calibration is realized through the setting for investment.The benchmark process is usually the reection of decisions or policies.An optimal investment setting associated with a five-dimensional nonlinear system of ordinary differential equations is presented.Through a logical modification for the boundary conditions,the nonlinear system is simplified to be linear and a completely explicit formula for the optimal investment setting is achieved.The rationality of the modification is supported by some stability condition.To cope with the systematic risk caused by the macro shock,we define a dynamic Value-at-Risk(VaR) as the risk measure capturing the risk level of the shocked Kaldor macroeconomic model and introduce a risk constraint into the programming of calibration.Then a constrained investment setting is presented.Finally,we carry out an application of the theoretical results by calibrating the evolvement of the shocked Kaldor macroeconomic model with the business cycle generated from the classical Kaldor model through the investment setting.
机译：作为宏观经济系统对宏观经济系统的不可避免的属性，在本文中，我们开发了一个震惊的喀尔多宏观经济模型。震荡是由于投资不确定性。我们通过校准震撼的kaldor宏观经济的演变来提供宏观经济控制的方法具有一些预期的基准过程的模型。通过投资的设置实现了校准。基准过程通常是重新决定或政策的反映。提出了与常微分方程的五维非线性系统相关的最佳投资环境。用于边界条件的逻辑修改，非线性系统被简化为线性和完全明确的公式实现了投资环境。通过一些稳定条件支持修改的合理性。要应对宏观冲击引起的系统风险，我们定义了动态值 - 风险（VAR），因为风险措施捕获风险级别震惊的kaldor宏观经济模型将风险限制引入校准的编程。该限制的投资环境介绍。最后，我们通过校准生成的商业循环来校准震惊的kaldor宏观经济模型的演变来进行理论结果的应用通过古典kaldor模型通过投资环境。

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