Three Essays On Dynamic Stochastic General Equilibrium Models With Heterogeneous Agents And Financial Frictions
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Three Essays On Dynamic Stochastic General Equilibrium Models With Heterogeneous Agents And Financial Frictions
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Author : Tianli Zhao
language : en
Publisher:
Release Date : 2014
Three Essays On Dynamic Stochastic General Equilibrium Models With Heterogeneous Agents And Financial Frictions written by Tianli Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Essays In Macroeconomics And Dynamic Factor Models
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Author : Ziyi Guo
language : en
Publisher:
Release Date : 2013
Essays In Macroeconomics And Dynamic Factor Models written by Ziyi Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business cycles categories.
Three Essays On Dynamic General Equilibrium Models
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Author : Francesco Busato
language : en
Publisher:
Release Date : 2004
Three Essays On Dynamic General Equilibrium Models written by Francesco Busato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Essays In Dynamic Stochastic General Equilibrium Models
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Author : Denny Lie
language : en
Publisher:
Release Date : 2009
Essays In Dynamic Stochastic General Equilibrium Models written by Denny Lie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Equilibrium (Economics) categories.
Dynamic Stochastic General Equilibrium Models With Heterogeneous Agents
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Author : Elisabeth Pröhl
language : en
Publisher:
Release Date : 2018
Dynamic Stochastic General Equilibrium Models With Heterogeneous Agents written by Elisabeth Pröhl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Two Essays On Maximum Likelihood Estimations Of Dynamic Stochastic General Equilibrium Models
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Author : Gulnur Kozak
language : en
Publisher:
Release Date : 2008
Two Essays On Maximum Likelihood Estimations Of Dynamic Stochastic General Equilibrium Models written by Gulnur Kozak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This dissertation consists of two essays on maximum likelihood estimation of Dynamic Stochastic General Equilibrium (DSGE) models. The first essay focuses on a monetary DSGE model of term structure, while the second essay explores and compares three different versions of New Keynesian DSGE models. In Chapter 1, a general background is given for the DSGE models, and their estimation techniques along with a review of the term structure models and New Keynesian models. The first essay, which is a joint work with Hwagyun Kim, empirically evaluates the relationships between money, inflation, output growth, and the interest rates of different maturities using a monetary DSGE model of term structure, featuring inflation targeting behavior, asset market segmentation, and external habit extended for nominal economy. This model can generate liquidity effect, average upward sloping yield curve, and time-varying bond risk premia for bearing inflation and real shocks. By exploiting the term structure equations derived from the model, the deep parameters of the model describing risk preference, inflation targeting behavior, and market segmentation between bond traders and non-traders are estimated. The model is estimated under alternative specifications: latent factors; macroeconomic factors; and both latent and macroeconomic factors. The empirical findings show that all the methods give consistent estimates of the parameters, and conclude that asset market segmentation, inflation targeting, and time-varying risk aversion are significant to account for the term structure dynamics. They also suggest that monetary factors and monetary policy are important to understand both short-run and long-run behaviors of bond prices. In the second essay, three different versions of New Keynesian DSGE models are developed, and their structural parameters are estimated by maximum likelihood estimation. Specifically, the role of velocity of money on the dynamics of real variables is empirically examined by constructing a money in the utility model and two special cases of transactions cost model. Wealth effects, previously ignored in many transactions cost models, are taken into consideration in one of the cases examined here, and comparisons are made between the transactions cost model that includes the wealth effects and the transactions cost model that ignores the wealth effects entirely. The equivalence of money in the utility model and transactions cost model with wealth effects is also quantitatively examined. The results show that there is no evidence of quantitative equivalence between these two models. Although the magnitude of impulse responses are different among the models studied here, all three models give consistent estimates for the structural parameters. The empirical findings from the maximum likelihood estimates of all three models' parameters also suggest that the velocity of money is a very important part of the IS and Phillips curves of all three models developed here, and should be included in IS and Phillips curves when examining the inflation and output dynamics.
Essays On Fiscal Policy And International Economics
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Author : Tannous Kass-Hanna
language : en
Publisher:
Release Date : 2020
Essays On Fiscal Policy And International Economics written by Tannous Kass-Hanna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This thesis tackles the transmission of fiscal policy, with a focus on noisy news and its cross-border spillovers. It is composed of four chapters: In the first chapter, I provide an analytical characterization of the effects of noisy news shocks on the transmission of fiscal policy. Using a small-scale Dynamic Stochastic General Equilibrium (DSGE) model with capital accumulation and endogenous labor supply, this chapter shows how aggregate noise dampens the propagation of anticipated fiscal policy over the business cycle, thus reducing the fiscal multiplier. In the second chapter, I investigate the cross-border spillovers of fiscal stimuli policies - as conducted in the aftermath of the Great Recession - using a two-country New Keynesian DSGE model. Fiscal policy is assumed to be noisy: private agents receive an idiosyncratic noisy signal about future government spending shocks. This characterization of the model allows for the dispersion of individuals' expectations and captures one of the components of fiscal policy uncertainty. This chapter also shows a method for identifying the relevance of noise within fiscal policy news, and computes the average level of noise using the Survey of Professional Forecasters (SPF) dataset. By comparing the model simulations under the case of full information with that under noisy fiscal policy, this chapter illustrates how noise considerably weakens the international spillovers of fiscal policy. The third chapter tackles the domestic and cross-border quantitative effects of fiscal policy within a monetary union by building a two-country Heterogeneous Agents New-Keynesian (HANK) model in order to quantify the internal and external spillovers of fiscal policy on growth and inequality. Using the Household Finance and Consumption Survey (HFCS) data for Germany and the rest of Euro area, the model is calibrated to match wealth and income distributions. As a policy experiment, I take the case of the fiscal devaluation, that attempts to mimic competitive exchange rate devaluation. The results suggest that specific country policy has non-negligible impact on other country wealth distribution. Inequality transmits through two channels: (i) prices, which affect the household consumption level and split between foreign and home goods and, (ii) the interest rate on bonds, whose any change affects all the members in the monetary union. Finally, this chapter sheds the light on the importance of introducing heterogeneity at the international level in understanding the complex transmission of fiscal policy. In the final chapter, I augment a dynamic labor market general equilibrium model with search and matching frictions in the public and private sectors to include components of government spending: public wage bills, public investment, and transfers. The model elucidates the interactions between public and private sectors, and have numerous policy implications. I also conduct model simulations that show how a policy mix decreasing public employment and increasing public investment can boost the private sector and increase fiscal space in the long run.
A History Of Macroeconomics From Keynes To Lucas And Beyond
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Author : Michel De Vroey
language : en
Publisher: Cambridge University Press
Release Date : 2016-01-08
A History Of Macroeconomics From Keynes To Lucas And Beyond written by Michel De Vroey and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-08 with Business & Economics categories.
This book retraces the history of macroeconomics from Keynes's General Theory to the present. Central to it is the contrast between a Keynesian era and a Lucasian - or dynamic stochastic general equilibrium (DSGE) - era, each ruled by distinct methodological standards. In the Keynesian era, the book studies the following theories: Keynesian macroeconomics, monetarism, disequilibrium macro (Patinkin, Leijongufvud, and Clower) non-Walrasian equilibrium models, and first-generation new Keynesian models. Three stages are identified in the DSGE era: new classical macro (Lucas), RBC modelling, and second-generation new Keynesian modeling. The book also examines a few selected works aimed at presenting alternatives to Lucasian macro. While not eschewing analytical content, Michel De Vroey focuses on substantive assessments, and the models studied are presented in a pedagogical and vivid yet critical way.
The Global Financial Crisis And The New Monetary Consensus
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Author : Marc Pilkington
language : en
Publisher: Routledge
Release Date : 2013-10-01
The Global Financial Crisis And The New Monetary Consensus written by Marc Pilkington and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-01 with Business & Economics categories.
The Global Financial Crisis has reshuffled the cards for central banks throughout the world. In the wake of the biggest crisis since the Great Depression, this volume traces the evolution of modern central banking over the last fifty years. It takes in the inflationary chaos of the 1970s and the monetarist experiments of the 1980s, eventually leading to the New Monetary Consensus, which took shape in the 1990s and prevailed until 2007. The book then goes on to review the limitations placed on monetary policy in the aftermath of the global meltdown, arguing that the financial crisis has shaken the new monetary consensus. In the aftermath of the worst crisis since the Great Depression, the book investigates the nature of present and future monetary policy. Is the Taylor rule still a satisfactory monetary precept for central bankers? Has the New Monetary Consensus been shaken by the Global Financial Crisis? What are the fundamental issues raised by the latter cataclysmic chain of events? How should central banks conceptualize monetary policy anew in a post-crisis scenario? Existing books have dwelt extensively on the characteristics of the New Monetary Consensus, but few have cast light on its relevance in a post-crisis scenario. This book seeks to fill this gap, drawing on the lessons from five decades of contrasted theoretical approaches ranging from Keynesianism, monetarism, new classical macroeconomics, inflation targeting and more recently, pragmatic global crisis management.
Post Walrasian Macroeconomics
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Author : David Colander
language : en
Publisher: Cambridge University Press
Release Date : 2006-07-17
Post Walrasian Macroeconomics written by David Colander and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-17 with Business & Economics categories.
Macroeconomics is evolving in an almost dialectic fashion. The latest evolution is the development of a new synthesis that combines insights of new classical, new Keynesian and real business cycle traditions into a dynamic, stochastic general equilibrium (DSGE) model that serves as a foundation for thinking about macro policy. That new synthesis has opened up the door to a new antithesis, which is being driven by advances in computing power and analytic techniques. This new synthesis is coalescing around developments in complexity theory, automated general to specific econometric modeling, agent-based models, and non-linear and statistical dynamical models. This book thus provides the reader with an introduction to what might be called a Post Walrasian research program that is developing as the antithesis of the Walrasian DSGE synthesis.