Essays in Macroeconomic Dynamics and the Financial Market

Loading...
Thumbnail Image
Degree type
Doctor of Philosophy (PhD)
Graduate group
Economics
Discipline
Subject
Recursive Preferences
Financial Frictions
International Business Cycles
International Economics
Macroeconomics
Funder
Grant number
License
Copyright date
Distributor
Related resources
Author
Contributor
Abstract

This thesis explores the important link between macroeconomic dynamics and the financial sector. The first essay studies Epstein-Zin preferences, which are found to be able to account for both aggregate macroeconomic dynamics and asset prices. In the first essay, I compare different solution methods for computing dynamic stochastic general equilibrium (DSGE) models with Epstein-Zin preferences and stochastic volatility. I show that perturbation methods are an attractive approach for computing this class of problems. The second essay emphasizes the importance of frictions in the financial market on real economic activities. The model studies the international business cycle co-movements when financial frictions are present. The model can account for the positive and sizable cross-country correlations of output, investment and hours worked in the data.

Advisor
Jesus Fernandez-Villaverde
Urban Jermann
Harold Cole
Date of degree
2011-05-16
Date Range for Data Collection (Start Date)
Date Range for Data Collection (End Date)
Digital Object Identifier
Series name and number
Volume number
Issue number
Publisher
Publisher DOI
Journal Issue
Comments
Recommended citation