Which are the main frictions and driving forces of business cycle dynamics in a small open economy? To answer this question we extend what is becoming the standard new Keynesian model in three dimensions. First, we incorporate frictions in the financing of the capital stock. Second, we model...

This dissertation was written by Johannes Pfeiffer while he was working with the ifo Institute for Economic Research. It was completed in November 2016 and accepted as a doctoral thesis by the department of economics of the University Regensburg in December 2016. The thesis studies unintended...

The small open economy model with incomplete asset markets features a steady state that depends on initial conditions. In addition, equilibrium dynamics posses a random walk component. A number of modifications to the standard model have been proposed to induce stationarity. This paper presents...

Komplexe Aktien- und Wechselkurstrajektorien werden im Rahmen eines nichtlinearen dynamischen makroökonomischen Modells mit träger Outputanpassung am Gütermarkt und heterogener Erwartungsbildung auf den Assetmärkten abgeleitet. Die Implikationen des Aufeinandertreffens von Chartisten und...

Chapter 1: Introduction 9 Chapter 2: Price setting behaviour in an open economy and the determination of Finnish foreign trade prices 29 Chapter 3: Financial market disturbances as sources of business cycle fluctuations in Finland 79 Chapter 4: Financial factors in the boom-bust episode in...

Globale Finanzmärkte erfüllen unverzichtbare Aufgaben für eine effiziente Allokation der Ressourcen und für die Disziplinierung der Politik. Sie belohnen 'gute' Politiken durch Kapitalzuflüsse, und sie bestrafen eine 'schlechte' Politik durch Abwanderung. Trotz dieser Vorteile ist die...

The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial...

This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price...

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if the hypothesis holds, then market valuations must follow a random walk. This postulate has frequently been criticized on the basis of empirical evidence. Yet the assertion itself incurs what we...