This paper aims to evaluate the importance of frictions in credit markets for business cycles in the U.S. and the Euro area. For this purpose, I modify the DSGE financial accelerator model developed by Bernanke, Gertler and Gilchrist (1999) and estimate it using Bayesian methods. The model is...

Inflation equals the product of two terms: the fraction of items with price changes (whose volatility figures prominently in state-dependent pricing models), and the average size of those price changes (the only source of fluctuations in time-dependent pricing models). The variance of inflation...

The method of maximum likelihood is used to estimate a Dynamic Stochastic General Equilibrium business cycle model that combines elements of existing sticky-price and limited-participation specifications. Sticky prices are incorporated, following Rotemberg (1982), by assuming that...

This paper examines the role of housing decisions on business cycles fluctuations. We use an overlapping generation model where to acquire a house whose services are an argument in the utility function households have to save for a down payment and make a long term financial committment. Because...

A long-standing area of research and policy interest is the construction of a measure of monetary policy stance. One measure that has been proposed-as an alternative to indices that employ monetary aggregates or exchange rates-is the spread between the actual real interest rate and its...

Recent evidence on bond markets suggests that there are risk factors underlying changes in interest rate derivatives prices that are independent of those underlying shifts in the yield curve. The presence of unspanned factors seems puzzling because derivatives are based on the underlying...

In recent years the relationship between ÎmoneyÌ and the macroeconomy has assumed prominence in the academic literature and in Central Banks circles. Although some Central Bankers have stated that they have formally abandoned the notion of using monetary aggregates as indicators of the impact...

In this paper we estimate a Bayesian SDGE model using the computer program "Dynare" by Michel Juillard. We present an estimated open economy version of a model for the Euro area. This is an extension of the SDGE model by Smets and Wouters (2003). Based on input/output tables we present a number...