Three essays in computational methods and macro financial modeling:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
Zürich
2017
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Physical Description: | V, 183 Seiten Diagramme |
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Record in the Search Index
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| adam_text | Contents
1 Abstract i
2 Acknowledgements ii
I Introduction 1
I Introduction (Rahmenpapier) 2
II Three Essays in Computational Methods and Macro Financial
Modeling 4
1 Occasionally Binding Liquidity Constraints and Maroeconomic Dynam-
ics 5
1.1 Introduction .................................................... 7
1.1.1 Related Literature.........................................10
1.2 Model..............................................................14
1.2.1 Houshold Sector............................................ 15
1.2.2 Firm Sector.............................................. 10
1.2.3 The Governmental Sector.................................. ♦ · 10
1.2.4 The Recursive Equilibrium.................................. 20
1.3 Calibration and Computation........................................20
1.3.1 Utility Function .......................................... 21
1.3.2 Stochastic Processes.........................................21
1.3.3 Parameters................................................. 21
1.3.4 Computation................................................ 22
1.3.5 Accuracy ....................................................25
1.4 Results......................................................♦ · ♦ 25
1.4.1 Policy^ Functions.......................................... 25
1.4.2 Risky Steady State......................................... 28
1.4.3 Impulse Responses.......................................... 30
1.4.4 Simulation ..................................................36
1.5 Conclusion ...................................................... 43
1.6 Appendix...........................................................44
1.6.1 First Order Conditions.......................................44
1.6.2 Stochastic Processes...........................................47
1.6.3 The Deterministic Stead} State................................49
1.6.4 Simulation ....................................................52
2 Incomplete Return Measures and Liquidity Premia in a Production
Economy 54
2.1 Introduction..........................................................56
2.1.1 Related Literature.............................................59
2.2 Model.................................................................61
2.2.1 Households................................................. 64
2.2.2 Asset Pricing..................................................66
2.2.3 Government and Firm Sector.....................................67
2.2.4 The Recursive Equilibrium......................................67
2.3 Calibration, Computation and Simulation...............................68
2.3.1 Calibration i..................................................68
2.3.2 Computation and Simulation.....................................69
2.3.3 Accuracy.......................................................70
2.4 Results..........«..................................................70
2.4.1 Capital Accumulation, Consumption Inequality and the Perception
of Risks.......................................................70
2.4.2 Pricing Dynamics............................................. 72
2.4.3 Returns and Premia.............................................81
2.4.4 The Model with Growth..........................................94
2.5 Conclusion ...........................................................98
2.6 Appendix..............................................................99
2.6.1 Tables.........................................................99
2.6.2 First Order Conditions........................................106
2.6.3 Deterministic Steady State....................................108
2.6.4 Computation..................................................110
2.6.5 Accuracy......................................................Ill
2.6.6 The Model with Growth.........................................114
2.6.7 Figures..................................................... 117
3 Monetary Policy and Debt Holder Heterogeneity 123
3.1 Introduction.........................................................125
3.1.1 Related Literature ...........................................128
3.2 Model................................................................134
IV
3.3 Calibration and Computation........................................136
3.3.1 Earnings Process.............................................137
3.3.2 Government...................................................139
3.3.3 Computation..................................................139
3.3.4 Welfare......................................................140
3.4 Results............................................................141
3.4.1 Consumption and Savings in the Benchmark Economy.............141
3.4.2 Seigniorage and Lower Taxes..................................143
3.4.3 Seigniorage and Higher Debt Levels ..........................154
3.5 Conclusion ........................................................162
3.6 Appendix...........................................................164
3.6.1 Accuracy.....................................................164
3.6.2 Figures......................................................166
III Bibliography and Curriculum Vitae 170
1 Bibliography 171
2 Bibliographic Notes 180
3 Curriculum Vitae of Maximilian Ulrich Werner 181
|
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| discipline | Wirtschaftswissenschaften |
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| language | English |
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| spelling | Werner, Maximilian Ulrich 1984- Verfasser (DE-588)1138850209 aut Three essays in computational methods and macro financial modeling presented by Maximilian Ulrich Werner Zürich 2017 V, 183 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Dissertation University of Zurich 2017 Geldpolitik (DE-588)4019902-2 gnd rswk-swf Geldtheorie (DE-588)4121333-6 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Liquidität (DE-588)4035908-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Liquidität (DE-588)4035908-6 s Geldpolitik (DE-588)4019902-2 s DE-604 Kapitalmarkttheorie (DE-588)4137411-3 s Geldtheorie (DE-588)4121333-6 s V:DE-605 application/pdf http://digitale-objekte.hbz-nrw.de/storage2/2017/11/18/file_2/7467384.pdf Inhaltsverzeichnis Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029880685&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Werner, Maximilian Ulrich 1984- Three essays in computational methods and macro financial modeling Geldpolitik (DE-588)4019902-2 gnd Geldtheorie (DE-588)4121333-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Liquidität (DE-588)4035908-6 gnd |
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| title | Three essays in computational methods and macro financial modeling |
| title_auth | Three essays in computational methods and macro financial modeling |
| title_exact_search | Three essays in computational methods and macro financial modeling |
| title_full | Three essays in computational methods and macro financial modeling presented by Maximilian Ulrich Werner |
| title_fullStr | Three essays in computational methods and macro financial modeling presented by Maximilian Ulrich Werner |
| title_full_unstemmed | Three essays in computational methods and macro financial modeling presented by Maximilian Ulrich Werner |
| title_short | Three essays in computational methods and macro financial modeling |
| title_sort | three essays in computational methods and macro financial modeling |
| topic | Geldpolitik (DE-588)4019902-2 gnd Geldtheorie (DE-588)4121333-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Liquidität (DE-588)4035908-6 gnd |
| topic_facet | Geldpolitik Geldtheorie Kreditmarkt Kapitalmarkttheorie Liquidität Aufsatzsammlung Hochschulschrift |
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| work_keys_str_mv | AT wernermaximilianulrich threeessaysincomputationalmethodsandmacrofinancialmodeling |
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