Three Essays On The Solution And Estimation Of Dynamic Macroeconomic Models
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Three Essays On The Solution And Estimation Of Dynamic Macroeconomic Models
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Author : Anthony Alan Smith
language : en
Publisher:
Release Date : 1990
Three Essays On The Solution And Estimation Of Dynamic Macroeconomic Models written by Anthony Alan Smith and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Equilibrium (Economics) categories.
Three Essays In The Estimation Of Dynamic Macroeconomic Models
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Author : Taeyoung Doh
language : en
Publisher:
Release Date : 2007
Three Essays In The Estimation Of Dynamic Macroeconomic Models written by Taeyoung Doh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Essays In Quantitative Macroeconomics
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Author : Hanno Kase
language : en
Publisher:
Release Date : 2021
Essays In Quantitative Macroeconomics written by Hanno Kase and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Consumer credit categories.
This thesis consists of three essays in quantitative macroeconomics. In Chapter 1, joint with Leonardo Melosi and Matthias Rottner, we leverage recent developments in machine learning to develop methods to solve and estimate large and complex nonlinear macroeconomic models, e.g. HANK models. Our method relies on neural networks because of their appealing feature that even models with hundreds of state variables can be solved. While likelihood estimation requires the repeated solving of the model, something that is infeasible for highly complex models, we overcome this problem by exploiting the scalability of neural networks. Including the parameters of the model as quasi state variables in the neural network, we solve this extended neural network and apply it directly in the estimation. To show the potential of our approach, we estimate a quantitative HANK model that features nonlinearities on an individual (borrowing limit) and aggregate level (zero lower bound) using simulated data. The model also shows that there is an important economic interaction between the impact of the zero lower bound and the degree of household heterogeneity. Chapter 2 studies the impact of macroprudential limits on mortgage lending in a heterogeneous agent life-cycle model with incomplete markets, long-term mortgage, and default. The model is calibrated to German economy using Household Finance and Consumption Survey data. I consider the effects of four policy instruments: loan-to-value limit, debt-toincome limit, payment-to-income limit, and maximum maturity. I find that their effect on homeownership rate is fairly modest. Only the loan-to-value limit significantly reduces the homeownership rate among young households. At the same time, it has the largest positive welfare effect. Chapter 3 explores applications of the backpropagation algorithm on heterogeneous agent models. In addition, I clarify the connection between deep learning and dynamic structural models by showing how a standard value function iteration algorithm can be viewed as a recurrent convolutional neural network. As a result, many advances in the field of machine learning can carry over to economics. This in turn makes the solution and estimation of more complex models feasible.
Essays On Estimation Of Dynamic Macroeconomic Models
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Author : Luca Neri
language : en
Publisher:
Release Date : 2022
Essays On Estimation Of Dynamic Macroeconomic Models written by Luca Neri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Essays On The Simulation Based Estimation Of Dynamic Macroeconomic Models
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Author : Dongya Koh
language : en
Publisher:
Release Date : 2014
Essays On The Simulation Based Estimation Of Dynamic Macroeconomic Models written by Dongya Koh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Electronic dissertations categories.
This dissertation consists of two chapters, both of which approach macroeconomic issues using simulation-based methods. Aside from the fact that each chapter contributes to its narrowly scoped field, the two chapters demonstrate an implementation of simulation-based estimation techniques and identification strategies to examine dynamic properties of unobserved economic shocks. The main objective of two chapters is to understand the properties of shock process, which in turn provides better macroeconomic implications. The first chapter structurally estimates idiosyncratic labor income risks over the life-cycle to obtain implications for a redistribution policy, namely tax and transfer systems. Since a redistribution policy provides a partial insurance to those exposed to income risks, understanding the underlying life-time labor income risks that households face is central to designing better institutional arrangements. The chapter constructs a human capital life-cycle model and structurally estimates the underlying source of labor income risks across age. We find that the estimated shock process is significantly age-dependent even after controlling for the endogenous responses to the exogenous shocks. In particular, young workers encounter a highly persistent (almost unit-root) but relatively small volatility of permanent shocks, while older workers encounter a less persistent but higher volatility of permanent shocks. In addition, we demonstrate that under the age-dependent shock process the self-insurance ability of young workers is 20% lower than that of middle-aged workers. Finally, we find that more benefits, either through a tax exemption or subsidies, to young workers drastically improve aggregate production, welfare, and income inequality. In the second chapter, we structurally estimate the dynamic properties of elasticity of substitution between capital and labor to resolve well-known puzzles in labor market dynamics: Dunlop-Tarshis phenomenon, the labor productivity puzzle, the labor share puzzle including its oveshooting response to productivity shocks, and the hours-productivity puzzle. We propose an aggregate production function that potentially takes a different shape in the short run (SR) from the long run (LR). Specifically, we allow for cyclical fluctuations of the short-run elasticity of substitution between capital and labor, [sigma][subscript t], while keeping the Cobb-Douglas shape in the long run. We find that productivity shocks are on average biased toward labor (i.e. [sigma][subscript t]
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.
Essays In The Econometrics Of Macroeconomic Models
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Author : Andreas Tryphonides
language : en
Publisher:
Release Date : 2016
Essays In The Econometrics Of Macroeconomic Models written by Andreas Tryphonides and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The thesis has focused on issues related to the use of external information in the identification, estimation and evaluation of Dynamic Stochastic General Equilibrium (DSGE) models, and comprises three papers. The first paper, entitled Improving Inference for Dynamic Economies with Frictions - The role of Qualitative Survey data, proposes a new inferential methodology that is robust to misspecification of the mechanism generating frictions in a dynamic stochastic economy. I derive a characterization of the model economy that provides identifying restrictions on the solution of the model that are consistent with a variety of mechanisms. I show how qualitative survey data can be linked to the expectations of agents and how this link generates an additional informative set of identifying restrictions. Moreover, I show how the framework can be used to formally validate mechanisms that generate frictions. Finally, I apply the methodology to estimate the distortions in the Spanish economy due to financial frictions and derive an optimal robust Taylor rule. The second chapter, entitled Estimation and Inference for Incomplete Structural Models using Auxiliary Density Information considers an alternative method for estimating the parameters of an equilibrium model which does not require the equilibrium decision rules and produces an estimated probability model for the observables. This is done by introducing auxiliary information about the conditional density of the observables, and using density projections. I develop and assess frequentist inference in this framework. I provide the asymptotic theory for parameter estimates for a general set of conditional projection densities and simulation exercises. In the third chapter, entitled Monetary Policy Rules and External Information, I analyze how conclusions about monetary policy stance are altered when we explicitly acknowledge that model concepts like the output gap and inflation are non-observable and we utilize many proxies that are available in the data. I document the effects on Bayesian inference of introducing such proxy information.
Three Essays On Non Linear Effects In Dynamic Macroeconomic Models
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Author : Sara Alizadeh Miyandoab
language : en
Publisher:
Release Date : 2017
Three Essays On Non Linear Effects In Dynamic Macroeconomic Models written by Sara Alizadeh Miyandoab and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Essays On The Solution Estimation And Analysis Of Dynamic Nonlinear Economic Models
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Author : Xiongwen Rui
language : en
Publisher:
Release Date : 1995
Essays On The Solution Estimation And Analysis Of Dynamic Nonlinear Economic Models written by Xiongwen Rui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Three Essays On Adaptive Learning In Macroeconomic Models
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Author :
language : en
Publisher:
Release Date : 2015
Three Essays On Adaptive Learning In Macroeconomic Models written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Decision making categories.