High-Frequency Analysis and Moment-Matching Estimation of the Baseline New-Keynesian Model
In this thesis we contribute to the existing literature on DSGE by introducing two (theoretical and empirical) frameworks for the modelling and estimation of NKMs. First, we break with the convention on the timing of agents' decisions over the business cycle. This gives new insights in the analysis of (optimal) monetary policy using DSGE models in general and the use of high-frequency relative to low-frequency data for a better consulting of decision makers. Second, by presenting a new estimation method based on specific characteristics of macroeconomic time series, we show a way that makes the estimation criterion transparent and, hence, simplifies communicating the estimation results to policy makers and the general public. Both investigations are entirely new in the literature and strengthen the understanding of the baseline NKM along the theoretical and empirical dimension.