Analysis of a Behavioral New Keynesian Model
| Autor: | Mgr. Šárka Křížková |
|---|---|
| Rok: | 2018 - letní |
| Vedoucí: | PhDr. Jiří Kukačka Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 108 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/191788/ |
| Abstrakt: | The thesis focuses on the analysis of a Behavioral New Keynesian DSGE model. In particular, various specifications of the model are collected from the existing literature and their combinations are simulated. The specifications include heuristics for forecasting output gap, sets of estimated or calibrated parameters and model structures. The resulting simulated output and inflation gap series are compared with the macroeconomic stylized facts and real world data from the US and Euro area based on their distributional characteristics and autocorrelation structures. In addition, a comparison of various simulated model specifications is performed based on the level of correlation between fractions of agents following a specific heuristic and the resulting output and inflation gap values. The distributional characteristics of the US output gap seem to be matched the best by the specifications with unbiased and extrapolative output gap heuristics generating series with higher levels of variance and kurtosis. Contrarily, the Euro output gap is best matched by specifications with optimistic, pessimistic and unbiased heuristics producing series with lower levels of variance and kurtosis. Second, the autocorrelation structure of the simulated series tends to mirror the stylized facts as opposed to the real world data for both the US and Euro area. Next, significant positive autocorrelation is detected even in forward-looking model structures indicating the presence of the endogenous transmission process of shocks. Finally, the level of correlation between the fractions of agents using a given heuristic with the simulated series is mainly dependent on the definition of heuristics. Particularly, only models including optimistic and pessimistic heuristics exhibit high levels of such correlation and thus generate endogenous sources of business cycles |
