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• W26059822 abstract "The core of the dissertation consists of three chapters. Chapter 2 provides a graphical and formal representation of a basic dynamic stochastic general equilibrium (DSGE) economy and discusses the prerequisites needed for an empirical implementation. The aim of this chapter is to present the core features of the models used in chapter 3 and 4 of this work and to introduce the estimation techniques employed in the remainder of the thesis.In chapter 3 we estimate a New Keynesian DSGE model on French, German, Italian, and Spanish data to check for the respective sets of parameters that are stable over time, implementing the ESS procedure (“Estimate of Set of Stable parameters”) developed by Inoue and Rossi (2011). This econometric technique allows to identify the respective parameters of a DSGE model that have changed at an unknown break date. In the case of France, Germany, and Italy our results point to structural breaks after the beginning of the second stage of EMU in the mid-1990s, while the estimates for Spain show a significant break just before the start of the third stage in 1998. Specifically, we find significant changes in monetary policy behavior for France, Italy, and Spain, while we detect monetary policy to be stable over time in Germany.The incorporation of convex adjustment costs of capital accumulation into dynamic stochastic general equilibrium models has become standard practice in the literature, since these frictions improve the ability of sticky-price models with endogenous investment to match the key features of the data considerably. In chapter 4, we use a Bayesian approach to investigate empirically how different ad-hoc specifications of adjustment costs affect the fit and the dynamics of a New Keynesian dynamic stochastic general equilibrium model with real and nominal frictions featuring several exogenous stochastic disturbances. We consider three different forms of quadratic adjustment costs: an investment adjustment cost specification and two versions of capital adjustment costs. Using both euro area and US data, we detect in part marked differences between the estimated structural parameters across the three model specifications. Further, the implementation of either investment or capital adjustment costs affects the empirical fit and the dynamics of the respective model specifications substantially. Concerning the overall empirical fit, the model specifications with capital adjustment costs outperform the model version featuring investment adjustment costs, although only the latter is able to produce data-consistent hump-shaped investment dynamics in response to exogenous shocks." @default.
• W26059822 created "2016-06-24" @default.
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• W26059822 date "2012-09-07" @default.
• W26059822 modified "2023-09-27" @default.
• W26059822 title "New Keynesian DSGE models: theory, empirical implementation, and specification" @default.
• W26059822 hasPublicationYear "2012" @default.
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