Download or read book Essays on Business Cycles and Dynamic Stochastic General Equilibrium Models with Heterogeneous Agents written by Jonghyeon Oh and published by . This book was released on 2014 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on business cycles and dynamic stochastic general equilibrium models with heterogeneous agents. Micro-data either for households or for firms are important sources to understand macroeconomic movements. Heterogeneous agent models are useful tools to study the implications of microeconomic aspects of economy on macroeconomy.

Download or read book Essays in Macroeconomics and Dynamic Factor Models written by Ziyi Guo and published by . This book was released on 2013 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Real Business Cycle Models and Bayesian Estimation written by Kan Chen and published by . This book was released on 2013 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Dynamic Stochastic General Equilibrium Models with Heterogeneous Agents and Financial Frictions written by Tianli Zhao and published by . This book was released on 2014 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic General Equilibrium Modelling written by Burkhard Heer and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. Many mathematical tools are needed to solve these models. The book presents various methods for computing the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. Part II discusses methods for solving heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. Through an accompanying home page to this book, computer codes to all applications can be downloaded.

Download or read book Essays in Business Cycles written by Ningru Zhao and published by . This book was released on 2016 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this dissertation is to explain several phenomena in business cycles. The first chapter serves to introduce the aims and methods of the subsequent chapters. Chapter 2 incorporates empirical methodology and a proposed dynamic stochastic general equilibrium (DSGE) model with Epstein-Zin preferences and several real rigidities to investigate and explain the differing effects of surprise and anticipated government spending shocks. Chapter 3 studies the implication of asset pricing under news-driven business cycles. This chapter achieves a desirable equity premium and risk-free rate under news-driven business cycles with a lower relative risk aversion (RRA) and an intertemporal elasticity of substitution (IES) slightly larger than one. Chapter 4 addresses aggregate labor market fluctuations through a proposed family-labor-supply model with efficient leisure in the real business cycle (RBC) frame to capture the facts of aggregate labor market fluctuations.

Download or read book Dynamic General Equilibrium Modeling written by Burkhard Heer and published by Springer Science & Business Media. This book was released on 2011-10-20 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In particular, the book discusses issues that are often neglected in existing work on computational methods, e.g. how to find a good initial value. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded.

Download or read book Essays on Business Cycles with Credit Shocks written by In Hwan Jo and published by . This book was released on 2015 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt: A recent but growing literature in macroeconomics works to reconcile microeconomic data with the micro-level predictions of dynamic stochastic equilibrium models in an effort to improve the aggregate performance of macroeconomic models. My dissertation follows in this new tradition. It also contributes to a recently revitalized literature attempting to understand the links between financial markets and real economic activity. The essays discussed below examine how real and financial shocks affect the distribution of production in an economy, and how that distribution in turn influences aggregate quantity variables. The models I explore involve rich, time-varying distributions of firms differing in their capital stocks, debt, and productivities.

Download or read book Three Essays on the Us Business Cycle Expectations Formation and Model Comparison written by Angelia Lee Grant and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the vast literature on understanding the disturbances that cause recessions, testing the importance of the assumption of rational expectations in macroeconomic models, and assessing model selection criteria. The main objective is to assess structural instabilities in macroeconomic models and to develop a new econometric methodology to compare different assumptions regarding expectations formation. Chapter 2 examines the role of oil price, demand, supply and monetary policy shocks during the 2001 US slowdown and Great Recession. It replicates the structural vector autoregression (VAR) of Peersman (2005) and extends it with time-varying parameters and stochastic volatility. Significant time variation is found in some impulse responses, with evidence that the constant coefficients VAR is erroneously representing structural instabilities as shocks. All models find that a combination of shocks caused the 2001 slowdown and Great Recession, but the role of individual shocks differs across models. Chapter 3 assesses the assumption of rational expectations versus adaptive learning in a dynamic stochastic general equilibrium (DSGE) model for the US economy. Using the framework in Smets and Wouters (2007) and Slobodyan and Wouters (2012), it finds that expectations implied by the rational expectations model are comparable to the adaptive learning models for actual and survey data on consumption and inflation. This chapter also formally assesses the overall fit of the model with different assumptions regarding expectations formation using the deviance information criterion (DIC), which is not commonly used to compare DSGE models. It finds that the rational expectations model is comparable to the adaptive learning models according to this criterion. Chapter 4 proposes fast algorithms for computing the DIC based on the integrated likelihood for a variety of high-dimensional latent variable models. The DIC has been a widely used Bayesian model comparison criterion since Spiegelhalter et al. (2002) introduced the concept and Celeux et al. (2006) introduced a number of alternative definitions for latent variable models. However, recent studies have cautioned against the use of some of these variants. While the DIC computed using the integrated likelihood seems to perform well, it is rarely used in practice due to computational burden. This chapter shows that the DICs based on the integrated likelihoods have much smaller numerical standard errors compared to the other DICs.

Download or read book Essays in Economic Dynamics written by Akio Matsumoto and published by Springer. This book was released on 2016-09-22 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art in nonlinear economic dynamics, providing a broad overview of dynamic economic models at different levels. The wide variety of approaches ranges from theoretical and simulation analysis to methodological study. In particular, it examines the local and global asymptotical behavior of both macro- and micro- level mathematical models, theoretically as well as using simulation. It also focuses on systems with one or more time delays for which new methodology has to be developed to investigate their asymptotic properties. The book offers a comprehensive summary of the existing methodology with extensions to the more complex model variants, since considerations on bounded rationality of complex economic behavior provide the foundation underlying choice-theoretic and policy-oriented studies of macro behavior, which impact the real macro economy. It includes 13 chapters addressing traditional models such as monopoly, duopoly and oligopoly in microeconomics and Keynesian, Goodwinian, and Kaldor–Kaleckian models in macroeconomics. Each chapter presents new aspects of these traditional models that have never been seen before. This work renews the past wisdom and reveals tomorrow's knowledge.

Download or read book Essays in Macroeconomic Dynamics Over Severe Recessions written by Benjamin Barfod Lidofsky and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these essays, I study macroeconomic responses to large recessions, in environments with heterogeneous agents. In the first chapter, "Long-Term Debt, Default Risk, and Policy Transmission during Severe Recessions", I study the implications of rollover risk on firm-level investment and aggregate dynamics. A growing empirical literature suggests that the maturity risk associated with long-term debt reduces firm-level investment, particularly during recessions. I introduce discretely maturing long-term debt into a dynamic stochastic general equilibrium model where heterogeneous firms borrow subject to default risk. My model is distinguished relative to existing long-term debt models in that it captures the rollover risk arising from uncertainty about what economic conditions will be when debt matures. Moreover, my firms actively save in a short-term financial asset to help hedge against the maturity risk associated with their debt. Nonetheless, the rollover risk associated with discretely maturing long-term debt exacerbates the debt overhang problem arising in conventional long-term debt models. Thus, firms effectively face greater financial frictions, and output is on average lower. Consequently, my model predicts a larger rise in defaults and a greater decline in endogenous aggregate productivity in its response to a financial shock. Thus, its financial recessions are both deeper and longer-lived than in conventional models. I also consider a large non-financial aggregate shock, and use my model to study the efficacy of targeted stimulus policies implemented over the U.S. 2020 recession. My findings suggest that the combined effects of the Paycheck Protection Program and the expansion of quantitative easing helped stem the rise in defaults and stimulate the subsequent economic recovery. The second chapter, "The Persistence of Recessions with Incomplete Markets and Time-Varying Risk" (joint with Aubhik Khan), studies the implications of precautionary savings behavior across households on aggregate responses to crises. We study the propagation of recessions in overlapping generations economies wherein households, with uncertain lifetimes and uninsurable earnings risk, face cyclical employment risk. Business cycles are driven by persistent shocks to TFP growth and household-level employment. Increases in employment risk cause fluctuations in both the unemployment rate and in labor force participation. In this setting, we introduce elements commonly used to deliver a strong and countercyclical precautionary savings motive. Specifically, households have non-separable utility characterized by high levels of risk aversion, and a diminishing marginal productivity of investment leads to a time-varying price of capital. We find that changes in precautionary savings, following aggregate shocks, have important implications for aggregate consumption. Persistent negative shocks to TFP growth, associated with increases in risk to employment, drive large declines in consumption. This helps explain the large fall in consumption observed over the Great Recession. An empirically consistent, moderate shock to TFP growth rates implies a large and persistent fall, against trend, in aggregate consumption. Moreover, an estimated rise in households' risk of long-term non-employment reduces labor force participation and reconciles the swift recovery in TFP growth rates with a protracted decline in consumption and output.

Download or read book Dynamic General Equilibrium Modeling written by Burkhard Heer and published by Springer. This book was released on 2009-02-03 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In particular, the book discusses issues that are often neglected in existing work on computational methods, e.g. how to find a good initial value. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded.

Download or read book Three Essays on Real Financial Linkage in Dynamic Stochastic General Equilibrium Models written by Abeer Reza and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Stochastic General Equilibrium Models written by Hamilton Galindo Gil and published by Springer. This book was released on 2024-10-12 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook guides the student step-by-step in developing and solving a DSGE (Dynamic Stochastic General Equilibrium) model–not only from the technical and conceptual aspects but also through the simulation process of each model. Characterized by a learning-by-doing approach, the book is set apart from the extant textbooks in three ways. First, it performs all the algebra associated with each model, such as the calculation of steady-state and the log-linearization of the model. Second, each model developed has been generated in Dynare, and every chapter is accompanied by a set of codes (mod-files and m-files) that the reader can use to replicate the model developed in every chapter. Finally, the models considered are toy models in the closed and open economy, which allows the student to learn the basic lessons and understand the fundamental relationships of the variables. All of this prepares the student to deal with more complex models. This book is intended for advanced undergraduate or beginning graduate courses in economics, finance, or applied mathematics, as well as practitioners in central banks that use these models daily in the preparation of forecasts or simulations of aggregate variables.

Download or read book DSGE Models for Real Business Cycle and New Keynesian Macroeconomics written by Giuseppe Chirichiello and published by Springer Nature. This book was released on with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A General Equilibrium Model of Sovereign Default and Business Cycles written by Mr.Enrique G. Mendoza and published by International Monetary Fund. This book was released on 2011-07-01 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad-noc default costs. We propose instead a general equilibrium model of both sovereign default and business cycles. In the model, some imported inputs require working capital financing; default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around default triggers an efficiency loss as these inputs are replaced by imperfect substitutes; and default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around deraults, countercyclical spreads, high debt ratios, and key business cycle moments.

Download or read book Business Cycle Models with Indeterminacy written by Mark Weder and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three original models which explain business cycles as a result of self-fulfilling expectations are presented. The models are founded on the structure of dynamic general equilibrium theory. Market power and increasing returns to scale are introduced which allow indeterminancy of the Rational Expectations equilibria to be obtained. Unlike the majority of existing literature on this subject, the departures from perfect markets and constant returns presented in these models are very low and, more importantly, at a realistic level to achieve the respective results. It is demonstrated in all of the presented models that stylized facts of the business cycle can be reproduced.