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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…mehr

Produktbeschreibung
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.
Autorenporträt
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.