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Choosing the variables to estimate singular DSGE models.

Canova, F.; Ferroni, F.; Matthes, C. - Banque de France - 2013

We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular … discussed and the estimation properties of different setups compared. Practical suggestions for applied researchers are provided. …

Persistent link: https://www.econbiz.de/10010815999

DSGE Models in a Data-Rich Environment.

Boivin, J.; Giannoni, M. - Banque de France - 2007

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …

Persistent link: https://www.econbiz.de/10004998848

Macroprudential framework:key questions applied to the French case.

Bennani, T.; Després, M.; Dujardin, M.; Duprey, T.; … - Banque de France - 2014

ultimate objective of this policy, which is to prevent and to mitigate systemic risk, i.e. the risk of “widespread disruptions … and detect systemic risk. To this end, several indicators and their reliability are analysed. …

Persistent link: https://www.econbiz.de/10010815921

Assessing the macroeconomic effects of LTROS.

Cahn, C.; Matheron, J.; Sahuc, J-G. - Banque de France - 2014

In response to the 2008-2009 crisis, faced with distressed financial intermediaries, the ECB embarked in long-term refinancing operations (LTROs). Using an estimated DSGE model with a frictional banking sector, we find that such liquidity injections can have large macroeconomic effects, with...

Persistent link: https://www.econbiz.de/10011098470

Technology Shocks and Monetary Policy in an Estimated Sticky Price Model of the US Economy

Avouyi-Dovi, S.; Matheron, J. - Banque de France - 2005

In this paper, we, seek to characterize the dynamic effects of permanent technology shocks and the way in which US monetary authorities reacted to these shocks over the sample 1955(1)--2002(4). To do so, we develop an augmented sticky price-sticky wage model of the business cycle, which is...

Persistent link: https://www.econbiz.de/10005056524

Technology Shocks and Monetary Policy in an Estimated Sticky Price Model of the Euro Area.

Avouyi-Dovi, S.; Matheron, J. - Banque de France - 2005

In this paper, we seek to characterize the dynamic effects of permanent technology shocks and the way in which European monetary authorities reacted to these shocks over the past two decades. To do so, we develop an augmented sticky price-sticky wage model of the business cycle, which is...

Persistent link: https://www.econbiz.de/10005056527

On the Welfare Costs of Misspecified Monetary Policy Objectives

Avouyi-Dovi, S.; Sahuc, J-G. - Banque de France - 2011

This paper quantifies the effects on welfare of misspecified monetary policy objectives in a stylized DSGE model. We show that using inappropriate objectives generates relatively large welfare costs. When expressed in terms of ‘consumption equivalent’ units, these costs correspond to...

Persistent link: https://www.econbiz.de/10008854100

Inflation Target Shocks and Monetary Policy Inertia in the Euro Area

Fève, P.; Matheron, J.; Sahuc, J-G. - Banque de France - 2009

real and nominal frictions. The formal Bayesian estimation of the model suggests that gradual changes in the inflation …

Persistent link: https://www.econbiz.de/10008556976

For a Few Dollars More: Reserves and Growth in Times of Crises

Bussière, M.; Cheng, G.; Chinn, M.; Lisack, N. - Banque de France - 2015

Based on a dataset of 112 emerging economies and developing countries, this paper addresses the question whether the accumulation of international reserves has effectively protected countries during the 2008-09 financial crisis. More specifically, the paper investigates the relation between...

Persistent link: https://www.econbiz.de/10011272194

The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models

Lemoine, M.; Mougin, C. - Banque de France - 2010

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

Persistent link: https://www.econbiz.de/10008511689