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 43 for “"Dynamic Stochastic General Equilibrium"”.
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Essays on Markov-Switching Dynamic Stochastic General Equilibrium Models
… presents two essays on Markov-Switching dynamic stochastic general equilibrium models.</p><p>The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, Dan Waggoner, and Tao Zha. This essay develops an perturbation-based approach …
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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.
In this thesis, I take a theoretical 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 …
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Essays on monetary policy
… of monetary policy shocks on the economy using a Dynamic Stochastic General Equilibrium (DSGE) model with financial frictions.
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Can Animal Spirits Solve The Forward Premium Puzzle?
… to the anomaly.</p> <p> In Chapter 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 …
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Private and government banks : a DSGE approach
This paper studies the role of public banks 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 …
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Essays on monetary policy, institutions and terms of trade shocks in emerging market economies
… shocks and how they shape the macroeconomic dynamics and the conduct of monetary policy. These issues are discussed in three essays. The first essay empirically evaluates the role of institutional structures in inflation targeting in emerging market economies (EMEs). The second essay …
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FORECASTING IN EASTERN EUROPEAN COUNTRIES
… to produce an empirical estimation 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 …
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Essays on the Financial Sector Inefficiencies
… of asset prices on financial institutions in a dynamic stochastic general equilibrium model including bank defaults and related agency costs. I find that pecuniary externalities exist in asset prices as decentralized banks do not internalize the effects of their lending on asset price …
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Current account dynamics and macroeconomic policy
… and consumption. The study calibrates a Dynamic Stochastic General Equilibrium(DSGE) model that analyses the role of non-traded goods in the determination of the current account and exchange rate. These three studies help to develop an understanding of the current account in South Africa.
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Predictability of the Dollar- Rand exchange rate using Taylor Rule fundamentals and commodity Prices.
… sophisticated techniques like neural networks or dynamic stochastic general equilibrium modelling.
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A Re-Examination Of Money And Business Cycles
<p>In the last several years, dynamic stochastic general equilibrium (DSGE) models have become the predominant tool of modern macroeconomics and, in particular, monetary policy research. Generally speaking, the basic New Keynesian model is the standard framework for analysis. This framework uses …
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Empirical Evaluation of DSGE Models for Emerging Countries
… aimed to evaluate the empirical performance 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 …
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Essays on Macroeconomic Implications of International Capital Flow and Fiscal Uncertainty
… affect the U.S economy. In the context 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 …
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Essays in financial economics
… consists of three chapters on asset pricing, dynamic stochastic general equilibrium and structural estimation of dynamic models. Chapter 1 introduces a global, nonlinear numerical method to solve a large class of continuous-time models in economics and finance. Using modern tools from Machine …
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Money, transactions and the business cycle: inspecting the mechanism
… and the real-resource-cost (RRC) model - using a Dynamic Stochastic General Equilibrium (DSGE) framework, with perfectly competitive markets and flexible prices. The CIA model is built on the quantitative assessment developed by Cooley and Hansen (1989, 1995), while the RRC model is an …
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Real Exchange Rate Dynamics in the New Member States of the EU – Run-up to the Euro
… convergence based on real exchange rate (RER) dynamics. As fluctuations in RER represent deviations from purchasing power parity (PPP), the thesis also adds to the literature on PPP theory. Finally, by proposing basic and extended small open economy dynamic stochastic general equilibrium …
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Essays on self-fulfilling expectations and business cycles
… studies the self-fulfilling business cycles in a dynamic stochastic general equilibrium model with financial market frictions. It consists of three papers. The first paper uncovers a series of belief shocks (a.k.a animal spirits) that drive the U.S. economy from both financial markets data and the …
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Monetary Policy in a Low Exchange Rate Pass-Through Environment: The case of Botswana
… constructs a small open economy New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model, to examine monetary policy conduct and the extent of exchange rate pass-through in Botswana. Thus, I apply a three-step procedure. In the first step, I estimate the degree of exchange rate …
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Essays on Housing Markets and Monetary Policy
… is the core of this dissertation. I construct a dynamic stochastic general equilibrium (DSGE) model in this paper to study the fluctuations in the U.S. housing markets. The model features a market for newly built houses, a secondary market for old houses, and an endogenous term structure of …
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Three Essays On Monetary Policy In Economies With Financial Frictions
… mechanism. To accomplish the task, we develop Dynamic Stochastic General equilibrium models with financial frictions. In the first chapter, we develop a model to analytically determine the appropriate price index to target in the presence of financial frictions (where a fraction of households …
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