Persistent stochastic shocks in a New Keynesian model with uncertainty
Author(s)
Bibliographic Information
Persistent stochastic shocks in a New Keynesian model with uncertainty
（BestMasters）
Springer Gabler, c2017
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Note
Includes bibliographical references (p. [51]-55)
"Master Thesis, University of Trier 2015"--T.p. verso
Description and Table of Contents
Description
The book introduces the New Keynesian framework, historically through a literature overview and through a step-by-step derivation of a New Keynesian Phillips curve, an intertemporal IS curve, and a targeting rule for the central bank. This basic version is then expanded by introducing cost and demand shocks and uncertainty. The latter enters the model via second order Taylor approximation instead of linearization. Bringing all equations together results in an equilibrium condition which is simulated with a wide range of parameter values, including possible crisis scenarios. The author finds that accounting for uncertainty - regarding growth and inflation expectations - can lead to lower nominal interest rates set by the central bank.
Table of Contents
Historical recapitulation of DSGE Modeling.- Derivation of a basic New Keynesian Model.- Augmentation with persistent shocks and uncertainty.- Comparative statics and a wide range of numerical simulations.- Mathematical concepts and background information in the appendix.
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