Persistent Stochastic Shocks in a New Keynesian Model with Uncertainty

  • Tobias Kranz

Part of the BestMasters book series (BEST)

Table of contents

  1. Front Matter
    Pages I-XIII
  2. Tobias Kranz
    Pages 1-2
  3. Tobias Kranz
    Pages 3-19
  4. Tobias Kranz
    Pages 20-31
  5. Tobias Kranz
    Pages 32-48
  6. Tobias Kranz
    Pages 49-49
  7. Back Matter
    Pages 51-72

About this book

Introduction

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.


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


Target Groups


· Researchers and graduate students in macroeconomics and monetary policy


· Managers and practitioners in the fields of monetary economics


The Author


Tobias Kranz obtained his Master of Science degree in Economics at the University of Trier in 2015. He has been working as postgraduate at the chair of Empirical Economics (University of Trier) since 2016.


 

Keywords

Dynamic Stochastic General Equilibrium DSGE Equilibrium Condition Monetary Policy Numerical Simulation Monetary Economics

Authors and affiliations

  • Tobias Kranz
    • 1
  1. 1.IV/VWLUniversität TrierTrierGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-15639-8
  • Copyright Information Springer Fachmedien Wiesbaden 2017
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-658-15638-1
  • Online ISBN 978-3-658-15639-8
  • About this book