Sökning: "DSGE model"

Visar resultat 1 - 5 av 13 avhandlingar innehållade orden DSGE model.

1. 1. DSGE Model Estimation and Labor Market Dynamics

   Författare :Glenn Mickelsson; Nils Gottfries; Karl Walentin; Martin M Andreasen; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; DSGE Models; Macroeconomics; Estimation; Uninformative Priors; Maximum Likelihood; Labor Hoarding; US Labor Market; Swedish Micro Data; Economics; Nationalekonomi;

   Sammanfattning : Essay 1: Estimation of DSGE Models with Uninformative PriorsDSGE models are typically estimated using Bayesian methods, but because prior information may be lacking, a number of papers have developed methods for estimation with less informative priors (diffuse priors). This paper takes this development one step further and suggests a method that allows full information maximum likelihood (FIML) estimation of a medium-sized DSGE model. LÄS MER

3. 2. Essays on Financial Markets and the Macroeconomy

   Författare :Jürg Fausch; Roine Vestman; John Hassler; Ilan Cooper; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; business cycles; DSGE model; macroeconomic risk; monetary policy shocks; recursive preferences; stock market; VAR model; variance decomposition; Economics; nationalekonomi;

   Sammanfattning : Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. LÄS MER

4. 3. Expectations, Financial Markets and Monetary Policy

   Författare :Dmytro Stoyko; Mikael Bask; Daniel Spiro; John Hassler; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Macroeconomics; Monetary policy; DSGE models; Expectations; Macroprudential regulations; Credit spread; Forward guidance; Economics; Nationalekonomi;

   Sammanfattning : Monetary Policy and Macroprudential Regulations. We investigate the desirability of macroprudential regulations in a DSGE model with collateral and income borrowing constraints. LÄS MER

5. 4. Housing, Banking and the Macro Economy

   Författare :Rachatar Nilavongse; Mikael Bask; Nils Gottfries; Jesper Lindé; Uppsala universitet; []
   Nyckelord :House price expectations; Debt default; Boom-bust cycles; Monetary policy; Inflation; Welfare analysis; Credit supply disruptions; Working capital; DSGE models; Economics; Nationalekonomi;

   Sammanfattning : Essay 1: Expectation-Driven House Prices, Debt Default and Inflation DynamicsWe contribute to the literature on dynamic stochastic general equilibrium (DSGE) models with housing collateral by including shocks to house price expectations. We also incorporate endogenous mortgage defaults that are rarely included in DSGE models with housing collateral. LÄS MER

7. 5. The Response of the Riksbankto House Prices in Sweden

   Författare :Mathias Pronin; Anna Seim; Daria Finocchiaro; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; House prices; monetary policy; DSGE models; Bayesian estimation; Economics; nationalekonomi;

   Sammanfattning : In the aftermath of the recent financial crisis, an environment of historically low interest rates and extensive household indebtedness in the OECD countries have triggered a vivid debate on whether central banks should react to house price fluctuations in their pursuit of monetary policy. In Sweden, a period of low policy rates and house price inflation was halted when the central bank increased the interest rates in 2010. LÄS MER