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You searched for subject:(Nonlinear dsge). Showing records 1 – 3 of 3 total matches.

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University of Kansas

1. Kacaribu, Febrio. Three Essays in Macroeconomics and Financial Economics.

Degree: PhD, Economics, 2014, University of Kansas

This dissertation presents empirical analysis of linear and nonlinear models in macroeconomics and financial economics. It conveys the message about the substantial benefit in the analysis stems from a little departure from the standard models. By relaxing some assumptions, especially the linearity, it demonstrates some significant improvements of analysis performed in terms of accuracy and theoretical consistency. Empirical Analysis of A Core Inflation Measure in An Estimated DSGE Model The first chapter presents the analysis of inflation by allowing an ad-hoc time-varying inflation target given by one of the best core inflation measures, namely the PCE trimmed mean core inflation. At the same time, we are evaluating the core inflation measure by directly incorporating them into a dynamic general equilibrium model. The analysis of the inflation dynamics, especially in correspondence to its broken-down components is interesting and worth exploring further. It is argued that the Fed has been actually targeting a time-varying inflation target consistent with the underlying inflation dynamics. Analysis of New Keynesian Phillips Curve Relationship in An Estimated Nonlinear DSGE Model This paper estimates a nonlinear DSGE model based on Amisano & Tristani (2010) with US data. The model is approximated up to the second order. Conditional particle filter is used to calculate the likelihood and Bayesian method is used to simulate the posterior distribution of the parameters. The analysis of the nonlinear NKPC better accommodates short-term sharp-turns of the dynamics in the economy. It shows different impulse responses that are conditional on high or low inflation rate in the initial period. As a result, the relationships between inflation, its inertia, the expected inflation and output are more consistent with the theory suggested by the model. Value at Risk (VaR) Based on GARCH-Type Estimated Volatility of 5 Stock Markets The Great Recession has stirred up debate about risk management practices. Value-at-Risk (VaR) is often blamed for imprudent excessive risk taking leading to the crisis. VaR-based potential loss calculation is based on the assumption of normality of the shocks. In reality, shocks distributions are often highly kurtotic. VaR will be more accurately representing the real risks if such distributions are used in the calculation. EGARCH(1,1) with Student t-distribution is shown to be more reliable than the simple standard RiskMetrics and the standard GARCH(1,1) approaches. Advisors/Committee Members: Barnett, William A (advisor), Keating, John (cmtemember), Wu, Shu (cmtemember), Juhl, Ted (cmtemember), Hu, Yaozhong (cmtemember).

Subjects/Keywords: Economics; New keynesian phillips curve; Nonlinear dsge; Particle filter

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APA (6th Edition):

Kacaribu, F. (2014). Three Essays in Macroeconomics and Financial Economics. (Doctoral Dissertation). University of Kansas. Retrieved from http://hdl.handle.net/1808/14575

Chicago Manual of Style (16th Edition):

Kacaribu, Febrio. “Three Essays in Macroeconomics and Financial Economics.” 2014. Doctoral Dissertation, University of Kansas. Accessed October 23, 2017. http://hdl.handle.net/1808/14575.

MLA Handbook (7th Edition):

Kacaribu, Febrio. “Three Essays in Macroeconomics and Financial Economics.” 2014. Web. 23 Oct 2017.

Vancouver:

Kacaribu F. Three Essays in Macroeconomics and Financial Economics. [Internet] [Doctoral dissertation]. University of Kansas; 2014. [cited 2017 Oct 23]. Available from: http://hdl.handle.net/1808/14575.

Council of Science Editors:

Kacaribu F. Three Essays in Macroeconomics and Financial Economics. [Doctoral Dissertation]. University of Kansas; 2014. Available from: http://hdl.handle.net/1808/14575


Humboldt University of Berlin

2. Lan, Hong. Essays on higher order approximation solution Mmethods for DSGE models.

Degree: 2015, Humboldt University of Berlin

In dieser These untersuche ich die Wirkungsmechanismen stochastischer Volatilität in einem neoklassischem Wachstumsmodel mit Arbeitsmarktfriktionen, Anpassungskosten, variabler Kapitalintensität und kurzfristigen Einkommenseffekt. Nominale Rigiditäten werden in diesem Modell nicht betrachtet. Im gegebenen allgemeinen Gleichgewicht generiert stochastische Volatilität Konjunkturzyklen in den wesentlichen makroökonomischen Aggregaten. Dies ist das Resultat eines vorbeugenden Sparmotives der risiko-aversen Haushalte, dennoch sind die quantitativen Effekten auf die unbedingten Momente der makroökonomischen Aggregate vernachlässigbar.

In this thesis I examine the propagation mechanism of stochastic volatility in a neoclassical growth model that incorporates labor market search, adjustment cost to investment, variable capital utilization and a weak short-run wealth effect, but no nominal frictions such as sticky wage and price. In this general equilibrium environment, stochastic volatility generates business cycle fluctuations in major macroeconomic aggregates due to the precautionary motive of risk-averse agents, yet it has no significant effects on these major aggregates as suggested by the numerical analysis of the model.

Advisors/Committee Members: Burda, Michael, Weinke, Lutz.

Subjects/Keywords: Wirtschaft; Wirtschaft; DSGE; Dynamische Allgemeine Gleichgewichtsmodelle; stochastic volatility; nichtlineare Perturbation; Arbeitsmarkt Suchmodelle; stochastische Volatilität; Nonlinear perturbation; labor market search; QC 140; ddc:330

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Lan, H. (2015). Essays on higher order approximation solution Mmethods for DSGE models. (Doctoral Dissertation). Humboldt University of Berlin. Retrieved from http://edoc.hu-berlin.de/docviews/abstract.php?id=41826 ; http://edoc.hu-berlin.de/dissertationen/lan-hong-2015-03-30/PDF/lan.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100230247

Chicago Manual of Style (16th Edition):

Lan, Hong. “Essays on higher order approximation solution Mmethods for DSGE models.” 2015. Doctoral Dissertation, Humboldt University of Berlin. Accessed October 23, 2017. http://edoc.hu-berlin.de/docviews/abstract.php?id=41826 ; http://edoc.hu-berlin.de/dissertationen/lan-hong-2015-03-30/PDF/lan.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100230247.

MLA Handbook (7th Edition):

Lan, Hong. “Essays on higher order approximation solution Mmethods for DSGE models.” 2015. Web. 23 Oct 2017.

Vancouver:

Lan H. Essays on higher order approximation solution Mmethods for DSGE models. [Internet] [Doctoral dissertation]. Humboldt University of Berlin; 2015. [cited 2017 Oct 23]. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=41826 ; http://edoc.hu-berlin.de/dissertationen/lan-hong-2015-03-30/PDF/lan.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100230247.

Council of Science Editors:

Lan H. Essays on higher order approximation solution Mmethods for DSGE models. [Doctoral Dissertation]. Humboldt University of Berlin; 2015. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=41826 ; http://edoc.hu-berlin.de/dissertationen/lan-hong-2015-03-30/PDF/lan.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100230247

3. Ashe, Sinead. An examination of the interactions between the real and financial economy.

Degree: 2016, National University of Ireland – Galway

The primary aim of this thesis is to critically examine the interactions between the real and financial economy, particularly in the context of financialisation, and its implications for the transmission of monetary policy. Understanding this interaction has never been more important, particularly given the nature of the Great Recession. While the foundations that facilitated the Great Recession were financial in nature, the macroeconomic models in use by central banks for policy analysis did not include any role for the financial economy. A number of key deficiencies have therefore emerged: firstly, there is an inadequate integration of the financial economy within macroeconomic models, particularly with regards to the role of money, credit, and asset prices. Secondly, linear macroeconomic models are inadequate to capture the regime changes arising from the dynamic interactions between the real and financial economy. Finally, given these substantive and methodological limitations, the impact of monetary policy under financialisation remains unresolved. This is particularly evident when one examines the existence of the IS puzzle within the US economy. Given these deficiencies, the first objective of this thesis is to assess the empirical properties of the prototypical macroeconomic model used by central banks and policy makers in the run up to the Great Recession. The second objective of this thesis is to examine the nonlinear empirical properties of both macroeconomic and financial variables. Within the context of the IS puzzle in the US, and arising from our analysis, the third objective is to examine the transmission of monetary policy under financialisation. Finally, the fourth objective is to study the nature of the business cycle, the financial cycle, and their interaction using nonparametric methods, with a view to informing the development of alternative macroeconomic theory and policy. Advisors/Committee Members: Raghavendra, Srinivas, Galway Doctoral Research Scholarship.

Subjects/Keywords: Macroeconomics; DSGE; Markov switching; Recurrence Analysis; Economics; Monetary policy; Financial economics; Nonlinear dynamics

…Performance of DSGE Models during the Great Recession”, and “Nonlinear Dynamics in Macroeconomic… …LIST OF TABLES Table 2.1 Overview of DSGE Models developed by Central Banks Table 2.2… …Table 2.7 RMSE for DSGE & BVAR Models Table 3.1 Descriptive Statistics and Selection of an… …in the US Figure 1.9 Thesis Structure Figure 2.1 The Basic Structure of DSGE Models… …Shock Decomposition: Hours Worked v LIST OF FIGURES (CONTINUED) Figure 2.16 DSGE… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ashe, S. (2016). An examination of the interactions between the real and financial economy. (Thesis). National University of Ireland – Galway. Retrieved from http://hdl.handle.net/10379/5755

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ashe, Sinead. “An examination of the interactions between the real and financial economy.” 2016. Thesis, National University of Ireland – Galway. Accessed October 23, 2017. http://hdl.handle.net/10379/5755.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ashe, Sinead. “An examination of the interactions between the real and financial economy.” 2016. Web. 23 Oct 2017.

Vancouver:

Ashe S. An examination of the interactions between the real and financial economy. [Internet] [Thesis]. National University of Ireland – Galway; 2016. [cited 2017 Oct 23]. Available from: http://hdl.handle.net/10379/5755.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ashe S. An examination of the interactions between the real and financial economy. [Thesis]. National University of Ireland – Galway; 2016. Available from: http://hdl.handle.net/10379/5755

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.