JEL Classification: C140, E200, E220, E620.
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Investigación económica
versão impressa ISSN 0185-1667
Inv. Econ vol.59 no.230 Ciudad de México Out./Dez. 1999
Artículos
Solución de un modelo de crecimiento estocástico con capital público con el método de parametrización de expectativas
Solving a neoclassical growth model with public capital using the parameterized expectation method
* Departamento de Economía, ITAM. Camino a Santa Teresa 930, C.P. 10700, México, D.F. Fax 52-5-6 52 62 84. Correo electrónico: rojas@master.ster.itam.mx
En este artículo presentamos una solución numérica a un modelo de crecimiento neoclásico con incertidumbre en donde existe capital público productivo. Encontramos trayectorias óptimas para el consumo y la inversión privada para un conjunto dado de formas funcionales y parámetros de las preferencias y la función de producción. El capital público se describe como un proceso estocástico, así como el shock agregado de productividad y un shock que afecta la función de utilidad. El método que utilizamos, "Parametrización de Expectativas" (PEA) propuesto por Marcet (1989) nos permite resolver problemas de optimización con muchas variables de estado sin incurrir en la conocida course of dimensionality. También presentamos un análisis de sensibilidad y enfatizamos el papel de la inversión pública en la formación de capital privado. Una adecuada identificación de los parámetros asociados a la inversión pública es fundamental para el diseño de política económica.
In this paper we use numerical techniques to solve a stochastic growth model in which public capital is productive. We find optimal paths for consumption and investment, given a set of functional forms and parameters for preferences and technology. Public capital is modeled as a stochastic process, as are the technology shock and the shock to preferences. In solving this model we use a numerical technique known as the Parameterized Expectation Method (PEA) proposed by Marcet (1989). This method allows us to solve problems with several state variables without falling into the "curse of dimensionality''. We also present a sensitivity analysis and stress the role of public investment in the decision to accumulate private capital. We conclude that adequate identification of the parameters governing the relationship of public capital to growth is essential for good policy design.
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Recibido: Octubre de 1998; Aprobado: Marzo de 1999