Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 67 for “"DSGE"”.
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DSGE Models for the South African Economy
Dynamic stochastic modelling is relatively a new exercise in developing countries including South Africa. We use stochastic models to reproduce stylized facts of business cycles in South Africa. The basic neoclassical model and a model with indivisible labour are used to replicate the documented …
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DSGE models for the South African economy
Dynamic stochastic modelling is relatively a new exercise in developing countries including South Africa. We use stochastic models to reproduce stylized facts of business cycles in South Africa. The basic neoclassical model and a model with indivisible labour are used to replicate the documented …
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Private and government banks : a DSGE approach
… in a Dynamic Stochastic General Equilibrium (DSGE) model with heterogeneous financial intermediaries. In accordance with the empirical literature on the subject, this study shows that the presence of public banks alter the reaction of the aggregate variables to negative shocks relative to …
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Essays on DSGE Models and Bayesian Estimation
This thesis explores the theory and practice of sovereignty. I begin with a conceptual analysis of sovereignty, examining its theological roots in contrast with its later influence in contestations over political authority. Theological debates surrounding God’s sovereignty dealt not with the …
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Empirical Evaluation of DSGE Models for Emerging Countries
… of dynamic stochastic general equilibrium (DSGE) models in explaining the behavior of macroeconomic dynamics in emerging countries. </p><p>Chapter 1, which is joint work with M. Uribe and R. Pancrazzi, investigates the hypothesis that a real business cycles model driven by permanent and …
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Real investment and dividend policy in a dynamic stochastic general equilibrium (DSGE) model. Corporate finance at an aggregate level through DSGE models.
… dynamic stochastic general equilibrium (DSGE) approach to investigate optimal aggregate dividend policy. I make the following contribution: 1. I extend the standard DSGE model to incorporate a residual dividend policy, external financing and default and find that simulated optimal …
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A small open economy modelling: A Bayesian DSGE approach
… economy dynamic stochastic general equilibrium (DSGE) models. The thesis comprises three self-contained chapters on formulating, estimating and evaluating the DSGE models using Bayesian methods and data for Australia and the United States (US) (or G7 for Chapter 2), as well as a general thesis …
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A small open economy modelling: A Bayesian DSGE approach
… economy dynamic stochastic general equilibrium (DSGE) models. The thesis comprises three self-contained chapters on formulating, estimating and evaluating the DSGE models using Bayesian methods and data for Australia and the United States (US) (or G7 for Chapter 2), as well as a general thesis …
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Confronting Theory with Data: the Case of DSGE Modeling
The primary objective of this is to confront the DSGE model (Ireland, 2011) with data in an attempt to evaluate its empirical adequacy. The perspective used for this evaluation is based on unveiling the statistical model (structural VAR) behind the DSGE model, with a view to test its probabilistic …
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Sources of Fluctuations in Emerging Markets: DSGE Estimation with Mixed Frequency Data
… with annual data. In Chapter I, I outline the DSGE Bayesian mixed frequency estimation methodology. Then, I estimate a small open economy model featuring financial frictions for twelve emerging countries under the baseline mixed frequency estimation. I find that transitory technology shocks are …
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Una relación conveniente : la economía experimental y los modelos de equilibrio general dinámico estocásticos (DSGE)
… de Equilibrio General Dinámico Estocásticos (DSGE) y los experimentos económicos. Es así como, el principal aporte de este trabajo es pretender conciliar las discusiones de la economía experimental con los modelos DSGE, en lo concerniente a las tasas de descuento, la generalización de sus …
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Structural changes and financial frictions in the monetary transmission mechanism : GMM, VAR and Bayesian DSGE approaches
… employs a GMM, VAR and estimates Bayesian DSGE models for the UK data from 1955 to 2014. The GMM simulation analysis confirmed that the UK monetary policy is more of a forward-looking Taylor type and a hybrid Taylor-McCallum MP rules RFs with a mixture of conventional and unconventional …
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Business cycles, interest rates and market volatility : estimation and forecasting using DSGE macroeconomic models under partial information
… model calibration methods, including those with DSGE methods and models, and spelled the need for further enhancements. The issues this research started addressing even before the 2008 crisis imposed demand for improvements, was use of single, fully informed rational agents in those modes. …
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El impacto de shocks contractivos de política monetaria en un modelo DSGE estimado con métodos bayesianos para Chile
… modelo corresponde a un New Keynesian Model DSGE estimado mediante métodos Bayesianos intentando explicar el impacto que presenta un shock contractivo de política monetaria sobre el ciclo real de la economía Chilena. Al igual que Gerali, A. et. Al. (2010), trabajo que utilizamos como base, …
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Institutional Frictions & Policy Constraints in Macroeconomic Transmission: Essays in Macroeconomics, Monetary & Fiscal Policy, and DSGE Business Cycle Modelling
… of five self-contained essays in macroeconomics, DSGE modelling, and applications to the analysis of macroeconomic stabilisation, particularly through monetary and fiscal policy. Beyond the methodological framework, the unifying thread is modelling and assessing the role in the macroeconomic …
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Theoretical and empirical analysis of a macroeconomic model with financial and housing sectors in emerging market economies
The Dynamic Stochastic General Equilibrium (DSGE) model, which is based on the New Consensus Macroeconomics (NCM) theoretical framework, has become the workhorse of macroeconomic analysis in academia, research institutes and monetary authorities since the 1980s. The dominating popularity of the …
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Can Animal Spirits Solve The Forward Premium Puzzle?
… 2, a dynamic stochastic general equilibrium (DSGE) two-country two-money model is fitted with Robust Control, inducing fear of model misspecification, or pessimism, in international households. The forward premium bias, produced from a collapse in uncovered interest parity (UIP), is a direct …
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FORECASTING IN EASTERN EUROPEAN COUNTRIES
… of a dynamic stochastic general equilibrium (DSGE) model for a small open economy. After discussing a survey of the literature on macroeconomics forecasting, which includes a discussion on the developments of methodology and accuracy measures, I first analyze the forecasts resulting from a …
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Essays on Macroeconomic Implications of International Capital Flow and Fiscal Uncertainty
… of a dynamic stochastic general equilibrium(DSGE) model with imperfect asset substitution between short and long-term government bonds, I find that shocks to long-term U.S debt held by foreign official institutions have expansionary effects on the economy--they lower the long-term interest …
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