LEADER 00000nam  2200349   4500 
001    AAI3463104 
005    20111205110055.5 
008    111205s2011    ||||||||||||||||| ||eng d 
020    9781124732787 
035    (UMI)AAI3463104 
040    UMI|cUMI 
100 1  Yao, Wen 
245 10 Essays in Macroeconomic Dynamics and the Financial Market 
300    105 p 
500    Source: Dissertation Abstracts International, Volume: 72-
       09, Section: A, page:  
500    Adviser: Jesus Fernandez-Villaverde 
502    Thesis (Ph.D.)--University of Pennsylvania, 2011 
520    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 
590    School code: 0175 
650  4 Business Administration, Marketing 
650  4 Economics, General 
650  4 Economics, Finance 
690    0338 
690    0501 
690    0508 
710 2  University of Pennsylvania 
773 0  |tDissertation Abstracts International|g72-09A 
856 40 |uhttp://pqdd.sinica.edu.tw/twdaoapp/servlet/
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