Δυναμικά υποδείγματα γενικής ισορροπίας, οικονομικές διακυμάνσεις και οικονομική πολιτική : δημιουργώντας ένα μακροοικονομικό πλαίσιο

Γκουβάκης, Μιχαήλ Γ.; Gkouvakis, Michael G.

Dynamic stochastic general equilibrium models, economic fluctuations and economic policy : building a macroeconomic framework

Doctoral Thesis

Author

Γκουβάκης, Μιχαήλ Γ.

Gkouvakis, Michael G.

Date

2025-09

Abstract

Economics is broadly divided into microeconomics, which examines the behavior of individual economic units, and macroeconomics, which studies the economy as a whole, with econometrics serving as a supporting tool for testing and validating theoretical propositions. Within the framework of investigating economic phenomena and identifying policies that maximize economic efficiency and social welfare, Dynamic Stochastic General Equilibrium models (DSGE) have emerged as some of the most widely used tools in modern macroeconomics as well as in applied economic policy and analysis. These models provide both theoretical and empirical insights into the dynamic relationships among key macroeconomic variables, while also capturing the effects of fluctuations and shocks on these variables throughout the course of business cycles. Their ability to do so stems from their inherent microeconomic foundations. On the other hand, climate change represents one of the most dynamic global challenges of the 21st century, with profound implications for both the environment and the economy. Advanced economies, recognizing the interdependence between physical health and economic stability, have sought to adopt a holistic approach to addressing this crisis. Environmental degradation, rising temperatures, and extreme weather conditions threaten not only ecosystems but also economic stability, undermining productivity and widening social inequalities. For this reason, the integration of environmental considerations into economic policymaking has become an essential component of contemporary economic analysis. One promising approach that bridges economic theory with environmental dimensions and policy applications is the development of Environmental Dynamic Stochastic General Equilibrium (E-DSGE) models. The aim of this research is to construct a robust macroeconomic framework that can be effectively employed for policymaking—either by Central banks in the design of monetary policy or by Governments in shaping environmental policies—thereby contributing to both sustainable economic growth and long-term economic stability. The first chapter presents the structure of a basic Dynamic Stochastic General Equilibrium (DSGE) model and its key components. It then provides an overview of the methodological approach of a medium-scale DSGE model, discussing the transmission mechanisms of shocks as well as the impact of economic policies on the economy. The chapter further analyzes the estimation methods of DSGE models and the approaches employed for assessing and evaluating various policy scenarios, with the aim of identifying the most effective policy. Moreover, it explains the functioning of a standard New Keynesian DSGE model, which serves as a benchmark for the development of more complex frameworks. The chapter concludes with a literature review of recent advancements in DSGE modeling. Second chapter investigates the effectiveness of economic policies using a DSGE model that incorporates the possibility of default as a key element for detecting financial crises in the Eurozone economies. Within this framework, the effectiveness of monetary policy, macroprudential policy, and their combination is examined. The chapter begins by describing the model, the agents that participate, the equilibrium condition, and the policy rules. It then presents the model dynamics and reports the results of simulation exercises for welfare analysis and the central bank loss function, based on calibrated values. The chapter closes with a discussion of the findings derived from this analysis. Chapter Three explores the relationship between the environment and the economy, and its implications for climate change, as discussed in the literature. It begins with a brief literature review on this relationship, including references to the Environmental Kuznets Curve (EKC), the interaction between energy consumption and economic growth and its impact on emissions, and the effects of economic development on environmentally related sectors such as agriculture. The chapter also reviews Environmental DSGE models that are employed to investigate environmental–economic interactions and to design policies that mitigate the impacts of climate change. Subsequently, it discusses the socio-economic consequences of climate change, including inflation, migration, daily life, and quality of life, followed by a commentary on environmental, monetary, and fiscal policies implemented to reduce environmental externalities. Chapter Four examines the interactions between environmental, agricultural, and macroeconomic variables across a wide range of countries worldwide, taking into account income levels and geographical regions. The objective is to determine whether a uniform pattern of environmental behavior exists across countries or whether such behavior varies depending on income or regional characteristics. Furthermore, the chapter considers the relevance of environmental and agricultural variables that have not been widely used in the literature, in order to provide a different perspective on how economic growth affects the environment. The findings highlight the significant role of environmental and agricultural factors in shaping overall economic activity across all countries studied, leading to the conclusion that environmental policy recommendations must consider the broader stage of economic development rather than focusing solely on geographical groupings. Finally, Chapter Five investigates the effects of environmental policies on the Eurozone economy, particularly on carbon-intensive industries and their associated assets. The analysis is based on an Environmental DSGE (E-DSGE) model that incorporates the transmission mechanism of stranded assets into the economy, along with a variety of shocks and monetary policy responses. The model also examines potential mitigation strategies for these effects. The chapter begins with a detailed review of the literature on similar technical approaches, followed by a presentation of the model, its participating agents, and the environmental and monetary policies under consideration. It then outlines the model dynamics and reports the results of simulation exercises and impulse response functions, based on calibrated values. The chapter concludes with a discussion of the results obtained from this analysis.

Department

Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής Επιστήμης

Number of pages

174

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/18569

Collections

Τμήμα Οικονομικής Επιστήμης

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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα