The Dynamic Stochastic General Equilibrium (DSGE) model, which is based on the New Consensus Macroeconomics (NCM) theoretical framework, has become the workhorse of macroeconomic analysis in academia, research institutes and monetary authorities since the 1980s. The dominating popularity of the DSGE type of models can be witnessed by their extensive use by central banks, such as the Bank of England (BoE), the European Central Bank (ECB), the Federal Reserve (FED) and other central banks. One of the most important and attractive advantages of the DSGE model is its compatibility with a variety of micro- and macro- economic foundations, including short-run nominal rigidities in the goods and services markets, heterogeneities in production, monetary policy and a rich set of exogenous shocks; not that there are no problems with these aspects of the DSGE model as discussed in this thesis. Although a lot of efforts have been made in DSGE modelling in industrialized economies, literature of DSGE modelling in emerging market economies is still at an early stage. The DSGE models especially designed for the economic and social features of these economies are hard to find. In this thesis, we develop a new DSGE model with special consideration of the economic and social features of emerging market economies, and account for some of the DSGE problems. The major development and innovation of this thesis is the heterogeneities not only on the supply side but also in terms of households. Additionally, the housing market and real estate assets are explicitly introduced into our model. Thirdly, we introduce a financial sector into our final model. In this sector, financial frictions are included and entrepreneurs are no longer riskless. Financial intermediates take deposits from households and then lend them to entrepreneurs at an interest rate, which is higherthanthedepositrate. Armed with these developments and improvements,the complete model in this thesis is expected to produce better empirical results and thereby more accurate explanation of economic movements in emerging market economies. Based on these models and data samples, we are able to make empirical analysis on the target economies, namely Brazil, China and India. In conclusion, the models developed in this thesis, based essentially on the DSGE type, can be the pioneer dynamic macroeconomic models for emerging market economies such as Brazil, India, and China. Based on these models, we conduct empirical analyses on data from China, Brazil, and India. We use the Bayesian estimation methodology to identify parameters in our model. The empirical results of these newly developed models show a good coherence with our theoretical hypotheses. Additionally, the performance of these models is consistent with the observed samples and the stylized facts in Brazil, China and India in terms of economic features, such as standard deviations of important economic variables including GDP and fixed asset investment. The results are promising, indicating that our DSGE type of model successfully captures the major economic features and dynamics in these countries with improved accuracy and explanatory power.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:744878 |
| Date | January 2018 |
| Creators | Jia, Lukui |
| Contributors | Arestis, Philip |
| Publisher | University of Cambridge |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | https://www.repository.cam.ac.uk/handle/1810/276199 |
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