Author Yao, Wen
Title Essays in Macroeconomic Dynamics and the Financial Market
book jacket
Descript 105 p
Note Source: Dissertation Abstracts International, Volume: 72-09, Section: A, page:
Adviser: Jesus Fernandez-Villaverde
Thesis (Ph.D.)--University of Pennsylvania, 2011
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
School code: 0175
Host Item Dissertation Abstracts International 72-09A
Subject Business Administration, Marketing
Economics, General
Economics, Finance
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Alt Author University of Pennsylvania