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Five Essays on International Spillovers of Monetary Policy, Fiscal Policy and Financial Markets
The recent financial and real economic crises have made it clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real economy seriously b...
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| Format: | Doctoral Thesis |
| Language: | English |
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Philipps-Universität Marburg
2015
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| Online Access: | PDF Full Text |
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| Summary: | The recent financial and real economic crises have made it clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real economy seriously by developing a fully dynamic theoretical model in continuous time. Starting from a standard New Keynesian framework, we reformulate and extend the model by means of stochastic differential equations so as to analyse spillover effects and steady-state properties. We solve the nonlinear model using stochastic differential equations rather than third-order perturbation. Applying Bayesian estimation methods, we estimate the model for the US economy and analyse the financial markets influence on business cycles and monetary policy. |
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| DOI: | 10.17192/z2015.0270 |