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ADVANCEDMACROECONOMICS

FifthEdition

DavidRomer

UniversityofCalifornia,Berkeley

ADVANCEDMACROECONOMICS,FIFTHEDITION

PublishedbyMcGraw-HillEducation,2PennPlaza,NewYork,NY10121.Copyrightc2019byMcGraw-HillEducation.Allrightsreserved.PrintedintheUnitedStatesofAmerica.Previouseditionsc2012,2006,and2001.Nopartofthispublicationmaybereproducedordistributedinanyformorbyanymeans,orstoredinadatabaseorretrievalsystem,withoutthepriorwrittenconsentofMcGraw-HillEducation,including,butnotlimitedto,inanynetworkorotherelectronicstorageortransmission,orbroadcastfordistancelearning.

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Title:Advancedmacroeconomics/DavidRomer,UniversityofCalifornia,Berkeley.

Description:FifthEdition.|Dubuque:McGraw-HillEducation,c2019|Series:TheMcGraw-Hillseriesineconomics|Revisededitionoftheauthor’sAdvancedmacroeconomics,c2012.

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ABOUTTHEAUTHOR

DavidRomeristheRoyerProfessorinPoliticalEconomyattheUniver-sityofCalifornia,Berkeley,wherehehasbeenonthefacultysince1988.Heisalsoco-directoroftheprograminMonetaryEconomicsattheNationalBureauofEconomicResearch.HereceivedhisA.B.fromPrincetonUniver-sityandhisPh.D.fromtheMassachusettsInstituteofTechnology.HehasbeenafellowoftheAmericanAcademyofArtsandSciencessince2006.AtBerkeley,heisathree-timerecipientoftheGraduateEconomicAssoci-ation’sdistinguishedteachingandadvisingawards;hereceivedBerkeley’sSocialSciencesDistinguishedTeachingAwardin20132014.Muchofhisresearchfocusesonmonetaryandfiscalpolicy;thisworkconsidersboththeeffectsofpolicyontheeconomyandthedeterminantsofpolicy.Hisotherresearchinterestsincludethefoundationsofpricestickiness,empiricalevi-denceoneconomicgrowth,andasset-pricevolatility.Hismostrecentworkisconcernedwithfinancialcrises.HeismarriedtoChristinaRomer,withwhomhefrequentlycollaborates.Theyhavethreechildren,Katherine,Paul,andMatthew.

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CONTENTSINBRIEF

Introduction

1

Chapter

1

THESOLOWGROWTHMODEL

6

Chapter

2

INFINITE-HORIZONANDOVERLAPPING-

GENERATIONSMODELS

50

Chapter

3

ENDOGENOUSGROWTH

99

Chapter

4

CROSS-COUNTRYINCOME

DIFFERENCES

149

Chapter

5

REAL-BUSINESS-CYCLETHEORY

188

Chapter

6

NOMINALRIGIDITY

238

Chapter

7

DYNAMICSTOCHASTICGENERAL-

EQUILIBRIUMMODELSOF

FLUCTUATIONS

309

Chapter

8

CONSUMPTION

368

Chapter

9

INVESTMENT

420

Chapter

10

FINANCIALMARKETSANDFINANCIAL

CRISES

458

Chapter

11

UNEMPLOYMENT

520

Chapter12

MONETARYPOLICY

578

Chapter13

BUDGETDEFICITSANDFISCALPOLICY

660

References

715

Indexes

752

ix

Thispageintentionallyleftblank

CONTENTS

PrefacetotheFifthEdition

xvii

Introduction

1

Chapter1

THESOLOWGROWTHMODEL

6

1.1

SomeBasicFactsaboutEconomicGrowth

6

1.2

Assumptions

10

1.3

TheDynamicsoftheModel

15

1.4

TheImpactofaChangeintheSavingRate

18

1.5

QuantitativeImplications

24

1.6

TheSolowModelandtheCentralQuestionsof

Growth

Theory

28

1.7

EmpiricalApplications

30

1.8

TheEnvironmentandEconomicGrowth

37

Problems

45

Chapter2

INFINITE-HORIZONANDOVERLAPPING-

GENERATIONSMODELS

50

PartA

THERAMSEY

CASS

KOOPMANSMODEL

50

2.1

Assumptions

50

2.2

TheBehaviorofHouseholdsandFirms

53

2.3

TheDynamicsoftheEconomy

59

2.4

Welfare

65

2.5

TheBalancedGrowthPath

66

2.6

TheEffectsofaFallintheDiscountRate

67

2.7

TheEffectsofGovernmentPurchases

72

PartBTHEDIAMONDMODEL

76

2.8

Assumptions

76

2.9

HouseholdBehavior

78

2.10

TheDynamics

oftheEconomy

80

2.11

ThePossibilityofDynamicInefficiency

87

2.12

GovernmentintheDiamondModel

90

Problems

91

xi

CONTENTS

Chapter3

ENDOGENOUSGROWTH

99

3.1

FrameworkandAssumptions

100

3.2

TheModelwithoutCapital

102

3.3

TheGeneralCase

109

3.4

TheNatureofKnowledgeandtheDeterminantsofthe

AllocationofResourcestoR&D

114

3.5

TheRomerModel

121

3.6

EmpiricalApplication:Time-SeriesTestsofEndogenous

GrowthModels

132

3.7

EmpiricalApplication:PopulationGrowthand

Technological

Changesince1MillionB.C.

137

3.8

ModelsofKnowledgeAccumulationandtheCentral

QuestionsofGrowthTheory

142

Problems

144

Chapter4

CROSS-COUNTRYINCOME

DIFFERENCES

149

4.1

ExtendingtheSolowModeltoIncludeHumanCapital

150

4.2

EmpiricalApplication:AccountingforCross-Country

IncomeDifferences

155

4.3

SocialInfrastructure

162

4.4

EmpiricalApplication:SocialInfrastructureand

Cross

-CountryIncomeDifferences

164

4.5

BeyondSocialInfrastructure

169

4.

6

DifferencesinGrowthRates

178

Problems

183

Chapter5

REAL-BUSINESS-CYCLETHEORY

188

5.1

Introduction:AnOverviewofEconomicFluctuations

188

5.2

An

OverviewofBusiness-CycleResearch

193

5.3

A

BaselineReal-Business-CycleModel

195

5.4

HouseholdBehavior

197

5.5

A

SpecialCaseoftheModel

201

5.6

SolvingtheModelintheGeneralCase

207

5.7

Implications

211

5.8

EmpiricalApplication:CalibratingaReal-Business-

Cycle

Model

217

5.9

EmpiricalApplication:MoneyandOutput

220

5.

10

AssessingtheBaselineReal-Business-CycleModel

227

Problems

233

Chapter6

NOMINALRIGIDITY

238

PartAEXOGENOUSNOMINALRIGIDITY

239

6.1

ABaselineCase:FixedPrices

239

CONTENTS

xiii

6.2

PriceRigidity,WageRigidity,andDeparturesfromPerfect

CompetitionintheGoodsandLaborMarkets

244

6.3

EmpiricalApplication:TheCyclicalBehavioroftheReal

Wage

253

6.4

TowardaUsableModelwithExogenousNominalRigidity

255

PartBMICROECONOMICFOUNDATIONSOF

INCOMPLETENOMINALADJUSTMENT

268

6.5

A

ModelofImperfectCompetitionandPrice-Setting

269

6.6

AreSmallFrictionsEnough?

276

6.7

RealRigidity

279

6.8

Coordination

-FailureModelsandRealNon-Walrasian

Theories

286

6.

9

TheLucasImperfect-InformationModel

293

Problems

303

Chapter

7DYNAMICSTOCHASTICGENERAL-

EQUILIBRIUMMODELSOF

FLUCTUATIONS

309

7.1

BuildingBlocksofDynamicNewKeynesianModels

312

7.2

PredeterminedPrices:TheFischerModel

316

7.3

FixedPrices:TheTaylorModel

320

7.4

TheCalvoModelandtheNewKeynesianPhillipsCurve

326

7.5

State-DependentPricing

329

7.6

EmpiricalApplications

335

7.7

ModelsofStaggeredPriceAdjustmentwithInflationInertia

341

7.8

TheCanonicalNewKeynesianModel

350

7.9

TheForward

GuidancePuzzle

354

7.10

OtherElementsofModernNewKeynesianDSGEModels

ofFluctuations

360

Problems

365

Chapter8

CONSUMPTION

368

8.1

ConsumptionunderCertainty:ThePermanent-Income

Hypothesis

369

8.2

ConsumptionunderUncertainty:TheRandom-Walk

Hypothesis

376

8.3

EmpiricalApplication:TwoTestsoftheRandom-Walk

Hypothesis

379

8.4

TheInterestRateandSaving

385

8.5

Consumption

andRiskyAssets

389

8.6

BeyondthePermanent-IncomeHypothesis

398

8.7

ADynamic-ProgrammingAnalysisofPrecautionarySaving

407

Problems

413

CONTENTS

Chapter9

INVESTMENT

420

9.1

InvestmentandtheCostofCapital

421

9.2

A

ModelofInvestmentwithAdjustmentCosts

424

9.3

Tobin’sq

429

9.4

AnalyzingtheModel

431

9.5

Implications

435

9.6

Empirical

Application:qandInvestment

441

9.7

TheEffectsofUncertainty

444

9.

8

KinkedandFixedAdjustmentCosts

449

Problems

453

Chapter10

FINANCIALMARKETSAND

FINANCIALCRISES

458

10.1

A

ModelofPerfectFinancialMarkets

460

10.2

AgencyCostsandtheFinancialAccelerator

463

10.3

EmpiricalApplication:CashFlowandInvestment

475

10.4

MispricingandExcessVolatility

479

10.5

EmpiricalApplication:EvidenceonExcessVolatility

488

10.6

TheDiamond

DybvigModel

491

10.7

Contagion

andFinancialCrises

501

10.8

EmpiricalApplication:MicroeconomicEvidenceonthe

MacroeconomicEffectsofFinancialCrises

508

Problems

514

Chapter11

UNEMPLOYMENT

520

11.1

A

GenericEfficiency-WageModel

523

11.2

TheShapiro-StiglitzModel

532

11.3

ContractingModels

543

11.4

Searchand

MatchingModels

550

11.5

Implications

558

11.

6

EmpiricalApplications

564

Problems

572

Chapter12

MONETARYPOLICY

578

12.1

Inflation,MoneyGrowth,andInterestRates

579

12.2

MonetaryPolicyandtheTermStructureofInterest

Rates

583

12.3

TheMicroeconomicFoundationsofStabilizationPolicy

588

12.4

OptimalMonetaryPolicyinaSimpleBackward-Looking

Model

596

12.5

OptimalMonetaryPolicyinaSimpleForward-Looking

Model

602

12.6

SomeAdditionalIssuesConcerningInterest-RateRules

607

CONTENTS

xv

12.7

TheZeroLowerBoundontheNominalInterestRate

615

12.8

TheDynamicInconsistencyofLow-Inflation

Monetary

Policy

630

12.9

EmpiricalApplications

637

12.10

SeignorageandInflation

642

Problems

652

Chapter13

BUDGETDEFICITSANDFISCALPOLICY

660

13.1

TheGovernmentBudgetConstraint

662

13.2

RicardianEquivalence

669

13.3

Tax-Smoothing

673

13.4

Political-EconomyTheoriesofBudgetDeficits

678

13.5

StrategicDebtAccumulation

681

13.6

DelayedStabilization

691

13.7

EmpiricalApplication:PoliticsandDeficitsin

Industrialized

Countries

696

13.8

TheCostsofDeficits

700

13.9

AModelofSovereignDebtCrises

704

Problems

710

References

715

AuthorIndex

752

SubjectIndex

761

EMPIRICALAPPLICATIONS

Section

1.7

GrowthAccounting

30

Convergence

33

Section

3.6

Time-SeriesTestsofEndogenousGrowthModels

132

Section

3.7

PopulationGrowthandTechnologicalChangesince

1MillionB.C.

137

Section

4.2

AccountingforCross-CountryIncomeDifferences

155

Section

4.4

SocialInfrastructureandCross-CountryIncome

Differences

164

Section

4.5

Geography,Colonialism,andEconomicDevelopment

174

Section

5.8

CalibratingaReal-Business-CycleModel

217

Section

5.9

MoneyandOutput

220

Section

6.3

TheCyclicalBehavioroftheRealWage

253

Section

6.8

ExperimentalEvidenceonCoordination-FailureGames

289

Section

7.6

MicroeconomicEvidenceonPriceAdjustment

335

InflationInertia

338

Section

8.1

UnderstandingEstimatedConsumptionFunctions

371

Section

8.3

CampbellandMankiw’sTestUsingAggregateData

379

Hsieh’sTestUsingHouseholdData

381

Section

8.5

TheEquity-PremiumPuzzle

396

Section

8.6

CreditLimitsandBorrowing

405

Section

9.6

qandInvestment

441

Section

10.3

CashFlowandInvestment

475

Section

10.5

EvidenceonExcessVolatility

488

Section

10.8

MicroeconomicEvidenceontheMacroeconomic

EffectsofFinancialCrises

508

Section

11.6

ContractingEffectsonEmployment

564

InterindustryWageDifferences

566

SurveyEvidenceonWageRigidity

569

Section

12.2

TheTermStructureandChangesintheFederal

Reserve'sFunds-RateTarget

584

Section

12.6

EstimatingInterest-RateRules

613

Section

12.9

Central-BankIndependenceandInflation

637

TheGreatInflation

639

Section13.1

IsU.S.FiscalPolicyonaSustainablePath?

666

Section13.7

PoliticsandDeficitsinIndustrializedCountries

696

xvi

PREFACETOTHEFIFTHEDITION

KeepingabookonmacroeconomicsuptodatefeelsSisyphean.Thefieldiscontinuallyevolving,asneweventsandresearchleadtodoubtsaboutoldviewsandtheemergenceofnewideas,models,andtests.Whenthefirsteditionofthisbookwaspublishedin1996,financialcrisesandthezerolowerboundonnominalinterestrateswereviewedasofonlyminorim-portancetomacroeconomics;themainfocusofworkonmonetarypolicywasitsimpactonaverageinflation,withlittleattentiontoitsroleinsta-bilizationpolicy;eachofthethreeequationsofwhatisnowthecanonicalnewKeynesianmodelhadonlyrecentlybeendeveloped,andtheyhadnotyetbeenbroughttogether;andtherehadbeenalmostnosubstantialem-piricalworkontheroleofinstitutionsincross-countryincomedifferences.Allthatandmuchmoreinmacroeconomicshaschangeddramatically.

Oneresultoftherapidevolutionofthefieldisthateacheditionofthisbookisverydifferentfromtheonebefore.Atthispoint,thebookhasonlyamoderateresemblancetothefirstedition.Mostofthematerialinthiseditionwaseithernotpresentatallinthefirsteditionorhasbeenrevisedconsiderably.Indeed,asubstantialmajorityofthepaperscitedinthecurrenteditionhadnotbeenwrittenwhenthefirsteditionwaspublished.

Manyofthechangessincethefirsteditionarenewtothisedition.Themostimportantistheadditionofanewchapter,Chapter10,onfinancialmarketsandfinanci