Asset Prices in a DSGE Model with Financial Frictions
|Author:||Mgr. Ing. Adam Kučera|
|Year:||2015 - summer|
|Leaders:|| Ing. Aleš Maršál M.A.
|Work type:|| Economic Theory
|Awards and prizes:|
|Abstract:||The thesis examines the ability of DSGE models with financial elements to
explain financial asset prices. A neoclassical macroeconomic model is used, including
a financial constraint in the form of a restriction on external financing.
Moreover, the strictness of the restriction is affected by an external financial
shock. It is shown, that the combination of the financial constraint and the fi-
nancial shock contributes to understanding of the macroeconomic fluctuations,
asset price dynamics and their mutual impact. The calibration for the United
States demonstrates that the financial shock is an important source of the asset
price volatility. Contrary, when calibrated to the Czech data, the financial
shock generates only moderate asset price volatility, as a consequence of a positive
correlation with the productivity shock. To address the issue, the model is
further extended by a sector of financial intermediaries and a preference shock
related to the risk-aversion of economic subjects, and the extension is shown
to improve the result.