Author: Alessandro Citanna
Publisher: Springer Science & Business Media
ISBN: 3540271929
Category : Business & Economics
Languages : en
Pages : 278
Book Description
In the area of dynamic economics, David Cass’s work has spawned a number of important lines of research, including the study of dynamic general equilibrium theory, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. Based on these contributions, this volume contains new developments in the field, written by Cass's students and co-authors.
Essays in Dynamic General Equilibrium Theory
Author: Alessandro Citanna
Publisher: Springer Science & Business Media
ISBN: 3540271929
Category : Business & Economics
Languages : en
Pages : 278
Book Description
In the area of dynamic economics, David Cass’s work has spawned a number of important lines of research, including the study of dynamic general equilibrium theory, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. Based on these contributions, this volume contains new developments in the field, written by Cass's students and co-authors.
Publisher: Springer Science & Business Media
ISBN: 3540271929
Category : Business & Economics
Languages : en
Pages : 278
Book Description
In the area of dynamic economics, David Cass’s work has spawned a number of important lines of research, including the study of dynamic general equilibrium theory, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. Based on these contributions, this volume contains new developments in the field, written by Cass's students and co-authors.
Essays on Dynamic General Equilibrium Models
Author: Jianjun Miao
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 170
Book Description
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 170
Book Description
Essays on Dynamic General Equilibrium Models
Author: Nicola Giammarioli
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 178
Book Description
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 178
Book Description
Three Essays on Dynamic General Equilibrium Models
Author: Ippei Fujiwara
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 0
Book Description
Essays in Dynamic Stochastic General Equilibrium Models
Author: Denny Lie
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 378
Book Description
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 378
Book Description
Three Essays on Dynamic General Equilibrium Models
Three Essays on Dynamic General Equilibrium Models with Money
Three Essays on Dynamic General Equilibrium Models with Informal Sector and Institutions
Two Essays on Maximum Likelihood Estimations of Dynamic Stochastic General Equilibrium Models
Author: Gulnur Kozak
Publisher:
ISBN:
Category :
Languages : en
Pages : 155
Book Description
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.
Publisher:
ISBN:
Category :
Languages : en
Pages : 155
Book Description
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.
The Flawed Foundations of General Equilibrium Theory
Author: Frank Ackerman
Publisher: Routledge
ISBN: 1135997381
Category : Business & Economics
Languages : en
Pages : 237
Book Description
This book, as the title suggests, explains how General equilibrium, the dominant conceptual framework in mainstream economics, describes a perfectly impossible world. Even with its counterfactual assumptions taken for granted, it fails on many levels. Under the impressive editorship of Ackerman and Nadal, this book will appeal to students and researchers in economics and related social science disciplines.
Publisher: Routledge
ISBN: 1135997381
Category : Business & Economics
Languages : en
Pages : 237
Book Description
This book, as the title suggests, explains how General equilibrium, the dominant conceptual framework in mainstream economics, describes a perfectly impossible world. Even with its counterfactual assumptions taken for granted, it fails on many levels. Under the impressive editorship of Ackerman and Nadal, this book will appeal to students and researchers in economics and related social science disciplines.