Hazard functions and macroeconomic dynamics [Elektronische Ressource] / Fang Yao. Gutachter: Michael C. Burda ; Lutz Weinke

HazardFunctionsandMacroeconomicDynamicsD I S S E R T A T I O Nzur Erlangung des akademischen Gradesdoctor rerum politicarumim Fach Wirtschaftswissenschafteingereicht an derWirtschaftswissenschaftlichen FakultätHumboldt-Universität zu BerlinvonMr.FangYaoM.Sc.Präsident der Humboldt-Universität zu Berlin:Prof. Dr. Dr. h.c. Christoph MarkschiesDekan der Wirtschaftswissenschaftlichen Fakultät:Prof. Oliver Günther, Ph.D.Gutachter:1. Prof. Michael C. Burda, Ph.D.2. Prof. Lutz Weinke, Ph.D.Tag der mündlichen Prüfung: 13. Dezember, 2010I dedicate this workto my family in China and my friends in GermanyAbstractThe Calvo assumption (Calvo, 1983) is widely used in the macroeconomic lit-erature to model market frictions that limit the ability of economic agents to re-optimize their control variables. In spite of its virtues, the Calvo assumption alsoimplies singular adjustment behavior at the firm level as well as a restrictive aggre-gation mechanism for the whole economy. In this study, I examine implications ofthe Calvo assumption for macroeconomic dynamics. To do so, I extend the Calvoassumption to a more general case based on the concept of the statistical hazardfunction. Two applications of this approach are studied in the DSGE framework.In the first essay, I apply this approach to a New Keynesian model, and demon-strate that tractability gained from the Calvo pricing assumption is costly in termsof inflation dynamics.