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Stochastic Dynamic Macroeconomics: Theory and Empirical Evidence

Author

Listed:
  • Gong, Gang

    (Tsinghua University, Beijing)

  • Semmler, Willi

    (New School University)

Abstract

This is a book on stochastic dynamic macroeconomics from a Keynesian perpective. It shows that including Keynesian features in intertemporal models considerably contributes to resolve major puzzles arising in the context of the Dynamic General Equilibrium (DGE) model. It also demonstrates that including microeconomic intertemporal behavior of economic agents in macroeconomics is not inconsistent with Keynesian economics. Whereas the first two parts of the book are technically and empirically oriented by elaborating on solution and estimation methods to bring dynamic macroeconomic theory closer to the time series data, the part three of the book uses those tools and addresses major issues in contemporary dynamic macroeconomics. In pursuing those issues the book stresses--as in the New Keynesian literature--nominal and real rigidities. Yet, beyond the latter type of literature--and in contrast to the DGE model --the here presented modeling approach admits open ended dynamics and multiple equilibria, more realistic asset market features, nonclearing labor market, and explores the role of both demand and technology shocks on employment. Central for those results is a new methodological idea pertaining to adaptive optimization where agents can reoptimize once they have perceived and learned about market constraints. Overall, the book is self-contained by including the appropriate solution and estimation methods which brings the theory closer to the time series data. It contains a modern treatment of dynamic macroeconomics for first and second year graduate students.

Suggested Citation

  • Gong, Gang & Semmler, Willi, 2006. "Stochastic Dynamic Macroeconomics: Theory and Empirical Evidence," OUP Catalogue, Oxford University Press, number 9780195301625.
  • Handle: RePEc:oxp:obooks:9780195301625
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    Cited by:

    1. Mittnik, Stefan & Semmler, Willi, 2012. "Regime dependence of the fiscal multiplier," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 502-522.
    2. Stephanie Becker & Lars Grüne & Willi Semmler, 2007. "Comparing accuracy of second-order approximation and dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 30(1), pages 65-91, August.
    3. Pu Chen, Armon Rezai, Willi Semmler, 2007. "WP 2007-8 Productivity and Unemployment in the Short and Long Run," SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization. 2007-8, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    4. Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2013. "Sovereign Risk and Asset and Liability Management—Conceptual Issues," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 330-355.
    5. Willi Semmler & Jeff Madrick & Tarron Khemraj, 2006. "Okun's Law and Jobless Growth," SCEPA policy note series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization. 2006-03, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    6. Ernst, Ekkehard & Gong, Gang & Semmler, Willi & Bukeviciute, Lina, 2006. "Quantifying the impact of structural reforms," Working Paper Series 666, European Central Bank.

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