Skip to Main content Skip to Navigation
New interface
Theses

Modèles DSGE Nouveaux Keynésiens, Monnaie et Aversion au Risque.

Abstract : This thesis presents three theoretical and empirical models of the Eurozone, highlighting the role of risk aversion and money on different macroeconomic variables. These intertemporal dynamic stochastic general equilibrium (DSGE) models respect the New Keynesian framework. In a first basic model, we show that risk aversion affects output, contributing to its decline, especially during crisis periods. During these crises (European Monetary System, 1992; Internet, 2000, Subprime, 2007), risk aversion significantly impacts real money holdings. In a second model, in which money is considered as a factor of production, the latter has no significant role in the dynamics of other variables. The assumption of constant returns to scale is also rejected. In a third model, using a non-separable utility function between consumption and real money balances, we show that the role of the latter on output depends on the degree of agents' risk aversion, becoming significant when this level is twice higher than the standard degree. Finally, we test and compare this model with the first basic model during the three periods mentioned above. Money explains a significant part of output's variance during crises. Moreover, our analysis shows that a non-separability assumption between consumption and real balances has better predictive power than a separable model, at least during crisis periods.
Document type :
Theses
Complete list of metadata

https://tel.archives-ouvertes.fr/tel-00672439
Contributor : Jonathan Benchimol Connect in order to contact the contributor
Submitted on : Thursday, February 23, 2012 - 12:24:49 PM
Last modification on : Friday, April 29, 2022 - 10:12:41 AM
Long-term archiving on: : Wednesday, December 14, 2016 - 8:14:16 AM

Identifiers

  • HAL Id : tel-00672439, version 1

Collections

Citation

Jonathan Benchimol. Modèles DSGE Nouveaux Keynésiens, Monnaie et Aversion au Risque.. Economics and Finance. Université Panthéon-Sorbonne - Paris I, 2011. English. ⟨NNT : ⟩. ⟨tel-00672439⟩

Share

Metrics

Record views

783

Files downloads

1366