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Financial intermediaries in an estimated DSGE model for the United Kingdom
Villa, Stefania; Yang, Jing - Bank of England - 2011
Gertler and Karadi combined financial intermediation and credit policy in a DSGE framework. We estimate their model …
Persistent link: https://www.econbiz.de/10009228597
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Do contractionary monetary policy shocks expand shadow banking?
Nelson, Benjamin; Pinter, Gabor; Theodoridis, Konstantinos - Bank of England - 2015
Using vector autoregressive models with either constant or time-varying parameters and stochastic volatility for the United States, we find that a contractionary monetary policy shock has a persistent negative impact on the asset growth of commercial banks, but increases the asset growth of...
Persistent link: https://www.econbiz.de/10011122771
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Evolving macroeconomic dynamics in a small open economy: an estimated Markov-switching DSGE model for the United Kingdom
Liu, Philip; Mumtaz, Haroon - Bank of England - 2010
Markov-switching dynamic stochastic general equilibrium (DSGE) model. We find strong evidence for shifts in the structural … parameters of several equations of the DSGE model. In addition, our results indicate that the volatility of structural shocks has … shock volatilities provides the best model fit. Estimates from the selected DSGE model suggest that the mid-1970s were …
Persistent link: https://www.econbiz.de/10004990659
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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - Bank of England - 2014
variation in implied dynamic stochastic general equilibrium (DSGE) parameters. We find that many parameters change substantially …
Persistent link: https://www.econbiz.de/10010890903