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Essays on the New Keynesian Model

Seung Moon Lee

出版	Rutgers University, 2011
URL	http://books.google.com.hk/books?id=mhpCAQAACAAJ&hl=&source=gbs_api

註釋

This dissertation discusses the application, estimation and extension of the New Keynesian macroeconomic model. Chapter 2 estimates the exchange rate pass-through using Bayesian estimation techniques for Korea and the US. The degree of exchange rate pass-through for Korea is found to increase after the Asian crisis. The nominal rigidity parameter for Korean goods in the foreign countries increased from before the Asian crisis to after the Asian crisis. This suggests that although the important two assumptions on price setting, PCP and LCP, do not hold in this paper, importers in Korea have a stronger tendency to follow the PCP assumption and importers in U.S. have a stronger tendency to follow the LCP for Korean goods after the Asia Crisis. This is consistent with the notion that tradable prices are set in the currency that is most stable. Chapter 3 introduces the asset market segmentation into an otherwise standard New Keynesian model, and shows that the Taylor principle continues to be essential for macroeconomic stability. In particular, central banks should change nominal interest rates more than one-for-one in response to sustained increases in the inflation rate to guarantee a unique equilibrium. This nding reverses the results of previous studies that argued the Taylor principle, under asset market segmentation, no longer provides an important criterion for the stability properties of interest rate rules. Chapter 4 estimates and compares three models, the New Keynesian model with market segmentation, the New Keynesian model with market segmentation and without money, and the standard New Keynesian model with capital, using Bayesian approaches. The posterior mean of parameter fraction of traders for the New Keynesian model with market segmentation is more similar with Landon-Lane and Occhino (2008) than one for the other models. The value of log marginal likelihood, used in evaluating the three models, for the New Keynesian model with market segmentation is the most high of three models.