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- Wirtschaftswissenschaften (319)
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The new keynesian approach to dynamic general equilibrium modeling: models, methods, and macroeconomic policy evaluation
(2012)
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Sebastian Schmidt
Volker Wieland
- This chapter aims to provide a hands-on approach to New Keynesian models and their
uses for macroeconomic policy analysis. It starts by reviewing the origins of the New Keynesian
approach, the key model ingredients and representative models. Building blocks of
current-generation dynamic stochastic general equilibrium (DSGE) models are discussed in
detail. These models address the famous Lucas critique by deriving behavioral equations
systematically from the optimizing and forward-looking decision-making of households and
firms subject to well-defined constraints. State-of-the-art methods for solving and estimating
such models are reviewed and presented in examples. The chapter goes beyond the mere
presentation of the most popular benchmark model by providing a framework for model
comparison along with a database that includes a wide variety of macroeconomic models.
Thus, it offers a convenient approach for comparing new models to available benchmarks
and for investigating whether particular policy recommendations are robust to model uncertainty.
Such robustness analysis is illustrated by evaluating the performance of simple
monetary policy rules across a range of recently-estimated models including some with financial
market imperfections and by reviewing recent comparative findings regarding the
magnitude of government spending multipliers. The chapter concludes with a discussion of
important objectives for on-going and future research using the New Keynesian framework.
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A dynamic programming approach to constrained portfolios
(2012)
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Holger Kraft
Mogens Steffensen
- This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies the martingale method. More precisely, we construct the non-separable value function by formalizing the optimal constrained terminal wealth to be a (conjectured) contingent claim on the optimal non-constrained terminal wealth. This is relevant by itself, but also opens up the opportunity to derive new solutions to constrained problems. As a second contribution, we thus derive new results for non-strict constraints on the shortfall of inter¬mediate wealth and/or consumption.
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Academic faculty governance and recruitment decisions
(2011)
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Jens Prüfer
Uwe Walz
- We analyze the implications of the governance structure in academic faculties for their recruitment decisions when competing for new researchers. The value to individual members through social interaction within the faculty depends on the average status of their fellow members. In recruitment decisions, incumbent members trade off the effect of entry on average faculty status against alternative uses of the recruitment budget if no entry takes place. We show that the best candidates join the best faculties but that they receive lower wages than some lesser ranking candidates. We also study the allocation of surplus created by the entry of a new faculty member and show that faculties with symmetric status distributions maximize their joint surplus under majority voting.
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Wiwi news : newsletter of the Faculty of Economics and Business Administration
(2010)
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SSIX-news : Faculty of Economics and Business Administration ; issue 1/2010
(2010)
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SSIX-news : Faculty of Economics and Business Administration ; issue 2/2010
(2010)
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Wiwi news : newsletter of the Faculty of Economics and Business Administration ; Nr. 2010, 3
(2010)
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Wiwi news : newsletter of the Faculty of Economics and Business Administration ; Nr. 2010, 4
(2010)
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Wiwi news : newsletter of the Faculty of Economics and Business Administration ; Nr. 2010, 5
(2010)
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Wiwi news : newsletter of the Faculty of Economics and Business Administration ; Nr. 2011, 1
(2011)
