Artículo

El editor solo permite decargar el artículo en su versión post-print desde el repositorio. Por favor, si usted posee dicha versión, enviela a
Consulte el artículo en la página del editor
Consulte la política de Acceso Abierto del editor

Abstract:

An extension of the nonlinear feedback (NLF) formalism to describe regimes of hyper- and high-inflation in economy is proposed in the present work. In the NLF model the consumer price index (CPI) exhibits a finite time singularity of the type 1/(tc−t)(1−β)/β, with β>0, predicting a blow up of the economy at a critical time tc. However, this model fails in determining tc in the case of weak hyperinflation regimes like, e.g., that occurred in Israel. To overcome this trouble, the NLF model is extended by introducing a parameter γ, which multiplies all terms with past growth rate index (GRI). In this novel approach the solution for CPI is also analytic being proportional to the Gaussian hypergeometric function 2F1(1/β,1/β,1+1/β;z), where z is a function of β, γ, and tc. For z→1 this hypergeometric function diverges leading to a finite time singularity, from which a value of tc can be determined. This singularity is also present in GRI. It is shown that the interplay between parameters β and γ may produce phenomena of multiple equilibria. An analysis of the severe hyperinflation occurred in Hungary proves that the novel model is robust. When this model is used for examining data of Israel a reasonable tc is got. High-inflation regimes in Mexico and Iceland, which exhibit weaker inflations than that of Israel, are also successfully described. © 2016 Elsevier B.V.

Registro:

Documento: Artículo
Título:Extended nonlinear feedback model for describing episodes of high inflation
Autor:Szybisz, M.A.; Szybisz, L.
Filiación:Departamento de Economía, Facultad de Ciencias Económicas, Universidad de Buenos Aires, Av. Córdoba 2122, Buenos Aires, RA, Argentina
Laboratorio TANDAR, Departamento de Física, Comisión Nacional de Energía Atómica, Av. del Libertador 8250, Buenos Aires, RA, Argentina
Departamento de Física, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Ciudad Universitaria, Buenos Aires, RA, Argentina
Consejo Nacional de Investigaciones Científicas y Técnicas, Av. Rivadavia 1917, Buenos Aires, RA, Argentina
Palabras clave:Critical exponents; Economics, econophysics; Interdisciplinary applications of physics; Singularity theory; Social and economic systems; Special functions; Economics; Critical exponent; Econophysicss; Singularity theory; Social and economic systems; Special functions; Nonlinear feedback
Año:2017
Volumen:465
Página de inicio:91
Página de fin:108
DOI: http://dx.doi.org/10.1016/j.physa.2016.07.014
ISSN:03784371
CODEN:PHYAD
Registro:http://digital.bl.fcen.uba.ar/collection/paper/document/paper_03784371_v465_n_p91_Szybisz

Referencias:

  • Olivera, J.H.G., Money, prices and fiscal lags: A note on the dynamics of inflation (1967) Banca Naz. Lav. Q. Rev., 20, pp. 258-267
  • Tanzi, V., Inflation, lags in collection, and the real value of tax revenue (1977) IMF Staff Pap., 24, pp. 154-167
  • Lucas, R.E., Jr., Expectations and the neutrality of money (1972) J. Econom. Theory, 4 (2), pp. 103-124
  • King, M., Twenty years of inflation targeting (Speech) (2012), The Stamp Memorial Lecture, London School of Economics 9 October; Fischer, S., Hall, R.E., Taylor, J.B., Relative shocks, relative price variability, and inflation (1981) Brook. Pap. Econ. Act., 1981 (2), pp. 381-441
  • Cooley, T.F., Hansen, G.D., The inflation tax in a real business cycle model (1989) Amer. Econ. Rev., 79 (4), pp. 733-748
  • Taylor, J.B., Aggregate dynamics and staggered contracts (1980) J. Polit. Econ., 88 (1), pp. 1-23
  • Heymann, D., Leijonhufvud, A., High Inflation: The Arne Ryde Memorial Lectures (1995), Clarendon Press Oxford (England); Lucas, R.E., Jr., Econometric policy evaluation: A critique (1976) The Phillips Curve and Labor Market, Carnegie-Rochester Conference Series on Public Policy, 1. , Karl Brunner Allan H. Meltzer North-Holland Amsterdam
  • Mantegna, R.N., Stanley, E., An Introduction to Econophysics: Correlations and Complexity in Finance (1999), Cambridge University Press Cambridge, England; Moss de Oliveira, S., de Oliveira, P.M.C., Stauffer, D., Evolution, Money, War and Computers (1999), Teubner Stuttgart-Leipzig; Sornette, D., Why Stock Markets Crash (Critical Events in Complex Financial Systems) (2003), Princeton University Press Princeton; Cagan, P., The monetary dynamics of hyperinflation (1956) Studies in the Quantity Theory of Money, , M. Friedman University of Chicago Press Chicago
  • Mizuno, T., Takayasu, M., Takayasu, H., The mechanism of double-exponential growth in hyperinflation (2002) Physica A, 308, pp. 411-419
  • Sornette, D., Takayasu, H., Zhou, W.-X., Finite-time singularity signature of hyperinflation (2003) Physica A, 325, pp. 492-506
  • Szybisz, M.A., Szybisz, L., Finite-time singularity in the evolution of hyperinflation episodes ; Szybisz, M.A., Szybisz, L., Finite-time singularities in the dynamics of hyperinflation in an economy (2009) Phys. Rev. B, 80. , 026116/1-11
  • Szybisz, L., Szybisz, M.A., People's collective behavior in a hyperinflation (2010) Adv. Appl. Stat. Sci., 2, pp. 315-331
  • Szybisz, L., Szybisz, M.A., Universality of the behavior at the final stage of hyperinflation episodes in economy (2015) Anales AFA, 26, pp. 142-147. , (in Spanish)
  • Szybisz, M.A., Szybisz, L., Hyperinflation in Brazil, Israel, and Nicaragua revisited (2016) Physica A, , http://dx.doi.org/10.1016/j.physa.2016.07.052, http://arxiv.org/abs/1601.00092
  • Cooper, R., Coordination Games: Complementarities and Macroeconomics (1999), Cambridge University Press Cambridge; Diamond, P.A., Aggregate demand management in search equilibrium (1982) J. Polit. Econ., 90, pp. 881-894
  • Bruno, M., Fisher, S., Seigniorage, operating rules and the high inflation trap (1987), National Bureau of Economic Research Cambridge Mass., USA; Obstfeld, M., Models of currency crises with self-fulfilling features (1996) Eur. Econ. Rev., 40 (3), pp. 1037-1047
  • Krugman, P., Balance sheets, the transfer problem, and financial crises (1999) International Finance and Financial Crises, pp. 31-55. , Springer Netherlands
  • Morris, S., Shin, H.S., Rethinking multiple equilibria in macroeconomic modeling (2000) NBER Macroeconomics Annual, Vol. 15, pp. 139-181. , B.S. Bernanke K. Rogoff MIT Press Massachusetts
  • Nadal, J.-P., Phan, D., Gordon, M.B., Vannimenus, J., Multiple equilibria in monopoly market with heterogeneous agents and externalities (2005) Quant. Finance, 5, pp. 557-568
  • Flügge, S., Practical Quantum Mechanics (1971), Springer Berlin; Abramowitz, M., Stegun, I.A., Handbook of Mathematical Functions (1972), Dover New York; Paal, B., Measuring the Inflation of Parallel Currencies: An Empirical Reevaluation of the Second Hungarian Hyperinflation (2000), Stanford Institute for Economic Policy Research, Discussion Paper No. 00-01, June; Grossman, P.Z., Horváth, J., The Dynamics of the Hungarian Hyperinflation (2000), 1945-6: A New Perspective, Scholarship and Professional Work - Business, Paper 29; Bevington, P.R., Data Reduction and Error Analysis for the Physical Sciences (1969), McGraw Hill New York; Press, W.H., Teukolsky, S.A., Vetterling, W.T., Flannery, B.P., Numerical Recipes in Fortran, Vol. 77 (1996), Cambridge University Press Cambridge; http://www.imf.org/external/pubs/ft/weo/2002/01/data/index.htm, Table of the International Monetary Fund; Leiderman, L., Liviatan, N., The 1985 stabilization from the perspective of the 1990’s (2003) Israel Econ. Rev., 1 (1), pp. 103-131
  • Rojas-Suárez, L., From the Debt Crisis Toward Economic Stability: An Analysis of the Consistency of Macroeconomic Policies in Mexico (1992), International Monetary Fund, Working Paper No. 17; Goodman, T., The economy (1997) Mexico a Country Study, pp. 141-228. , T.L. Merrill R. Miro Federal Research Division, Library of Congress (Chapter 3)
  • Bergoeing, R., Kehoe, P.J., Kehoe, T.J., Soto, R., A decade Lost and Found: Mexico and Chile in the 1980’s (2007), Federal Reserve Bank of Minneapolis; https://research.stlouisfed.org/fred2/series/, Federal Reserve Bank of St. Louis; Andersen, P.S., Guðmundsson, M., Inflation and disinflation in Iceland (1998), Bank for International Settlements, Working Papers No. 52, Basel, Switzerland

Citas:

---------- APA ----------
Szybisz, M.A. & Szybisz, L. (2017) . Extended nonlinear feedback model for describing episodes of high inflation, 465, 91-108.
http://dx.doi.org/10.1016/j.physa.2016.07.014
---------- CHICAGO ----------
Szybisz, M.A., Szybisz, L. "Extended nonlinear feedback model for describing episodes of high inflation" 465 (2017) : 91-108.
http://dx.doi.org/10.1016/j.physa.2016.07.014
---------- MLA ----------
Szybisz, M.A., Szybisz, L. "Extended nonlinear feedback model for describing episodes of high inflation" , vol. 465, 2017, pp. 91-108.
http://dx.doi.org/10.1016/j.physa.2016.07.014
---------- VANCOUVER ----------
Szybisz, M.A., Szybisz, L. Extended nonlinear feedback model for describing episodes of high inflation. 2017;465:91-108.
http://dx.doi.org/10.1016/j.physa.2016.07.014