Business cycles, endogenous growth, and monetary cycles

Csabafi, Tamas Zoltan 2015. Business cycles, endogenous growth, and monetary cycles. PhD Thesis, Cardiff University. Item availability restricted.

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Abstract

Abstract This dissertation sets out to introduce a new calibration procedure building on Jermann (1998) and the iterative shock identification scheme of Benk et al. (2005) in Chapter 1. It incorporates the use of Simulated Annealing, a global optimization algorithm, into the Jermann (1998) calibration methodology that is applied to search for the combination of structural parameters within a bounded parameter space that yields the lowest distance between a vector of US data moments and its simulated moments counterpart in the frequency domain. It also extends the methodology of Jermann (1998) with the identification scheme of Benk et al. (2005) to obtain convergent estimates for shock parameters. After illustrating the workings of this new calibration methodology on the two sector business cycle model of Dang et al. (2011) with endogenous growth and human capital in Chapter 2 this dissertation sets out in Chapter 3 to introduce an extended version of the model of Dang et al. (2011) and to explain a number of real business cycle (RBC) problems that include the Gali (1999) labor response, the basic consumption-output and labor-output relationship, and the lack of an internal propagation mechanism as pointed out by Cogley and Nason (1995) and Rotemberg and Woodford (1996). This extension follows the suggestions of King and Rebelo (2000) to incorporate an external labor margin through a human capital investment sector and a physical capital utilization margin in the form of physical capital utilization rate to improve the performance of the standard RBC model. In the model introduced in Chapter 3 the physical capital utilization rate is further amended by the introduction of entrepreneurial capacity as in Friedman (1976) and Lucas (1988). The added margin of physical capital utilization is intra-temporal in nature, which enables the new calibration scheme to improve on the ability of the model significantly to explain the underlying real business cycle problems and US data moments in the frequency domain. Lastly, in Chapter 4 a simple monetary extension of the model in Chapter 3 is presented. In this chapter it is shown that the added physical capital utilization in a monetary model combined with the proposed calibration scheme is successful in explaining the empirical negative long term relationship between in ation and output.

Item Type:	Thesis (PhD)
Date Type:	Completion
Status:	Unpublished
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Funders:	Cardiff Business School Scholarship/Julian Hodge Bursary
Date of First Compliant Deposit:	11 April 2016
Last Modified:	10 Jun 2022 14:53
URI:	https://orca.cardiff.ac.uk/id/eprint/88965

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