Two Essays on Maximum Likelihood Estimation: Dynamic Stochastic General Equilibrium Models

 
9783639154214: Two Essays on Maximum Likelihood Estimation: Dynamic Stochastic General Equilibrium Models

In recent years, a vast macroeconomic and finance literature has been devoted to building DSGE models to explain the impact of various macroeconomic shocks on output, inflation and interest rates. The DSGE models that have numerous frictions and different types of shocks are the standard tool in macroeconomic analysis, and they appear to reproduce the data in many important dimensions. This work consists of two essays on maximum likelihood estimation of DSGE models. The first essay focuses on a monetary DSGE model of term structure, and the estimation of its structural parameters, while the second essay explores and compares three different versions of New Keynesian DSGE models. A general background is provided for the models, and their estimation techniques along with a review of the term structure models and New Keynesian models.

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About the Author:

GULNUR KOZAK was born in Turkey in 1978. She received her B.Sc. degree in Management Eng. from Istanbul Technical Univ. in 1999, and her M.A. degree in Finance from Univ. of Westminster, England, in 2002. She completed her M.A. and Ph.D. degrees in Economics at SUNY, Buffalo, USA, in 2005 and 2008. She is currently a Visiting Professor at RIT.

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Book Description Book Condition: New. Publisher/Verlag: VDM Verlag Dr. Müller | Dynamic Stochastic General Equilibrium Models | In recent years, a vast macroeconomic and finance literature has been devoted to building DSGE models to explain the impact of various macroeconomic shocks on output, inflation and interest rates. The DSGE models that have numerous frictions and different types of shocks are the standard tool in macroeconomic analysis, and they appear to reproduce the data in many important dimensions. This work consists of two essays on maximum likelihood estimation of DSGE models. The first essay focuses on a monetary DSGE model of term structure, and the estimation of its structural parameters, while the second essay explores and compares three different versions of New Keynesian DSGE models. A general background is provided for the models, and their estimation techniques along with a review of the term structure models and New Keynesian models. | Format: Paperback | Language/Sprache: english | 216 gr | 156 pp. Bookseller Inventory # K9783639154214

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Book Description VDM Verlag Mai 2009, 2009. Taschenbuch. Book Condition: Neu. Neuware - In recent years, a vast macroeconomic and finance literature has been devoted to building DSGE models to explain the impact of various macroeconomic shocks on output, inflation and interest rates. The DSGE models that have numerous frictions and different types of shocks are the standard tool in macroeconomic analysis, and they appear to reproduce the data in many important dimensions. This work consists of two essays on maximum likelihood estimation of DSGE models. The first essay focuses on a monetary DSGE model of term structure, and the estimation of its structural parameters, while the second essay explores and compares three different versions of New Keynesian DSGE models. A general background is provided for the models, and their estimation techniques along with a review of the term structure models and New Keynesian models. 156 pp. Englisch. Bookseller Inventory # 9783639154214

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