Showing 1 - 10 of 63
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...
Persistent link: https://www.econbiz.de/10005706278
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...
Persistent link: https://www.econbiz.de/10005706330
In his monograph The Conquest of American Inflation, Sargent (1999) points out the perils of econometric policy evaluation of the Theil-Tinbergen tradition wherein one estimates a reduced form econometric model of the economy and subjects it to control. If the model is misspecified, as is...
Persistent link: https://www.econbiz.de/10005706737
This paper presents an estimated DSGE model for the European Monetary Union. Our approach, contrary to the previous studies, accounts for heterogeneity within the euro area. In the estimation we utilize disaggregated information, employing single country data, along with the aggregated EMU by...
Persistent link: https://www.econbiz.de/10005132670
We investigate whether monetary policy defined as an interest rate rule should respond to stock prices fluctuations under the following two criteria: 1) the rule must guarantee a unique equilibrium and 2) the MSV representation of this unique equilibrium must be learnable in the E-stability...
Persistent link: https://www.econbiz.de/10005342926
This paper embeds the financial accelerator into a medium-scale DSGE model and estimates it using Bayesian methods. Incorporation of financial frictions enhances the model's description of the main macroeconomic aggregates. The financial accelerator accounts for approximately ten percent of...
Persistent link: https://www.econbiz.de/10005342961
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...
Persistent link: https://www.econbiz.de/10005342973
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...
Persistent link: https://www.econbiz.de/10005345078
Using a sticky price-wage model with capital accumulation and adjustment costs, this paper analyses the welfare effects of non-fundamental asset price and investment fluctuations for the representative household. The welfare effect depends strongly on the steady state level around which the...
Persistent link: https://www.econbiz.de/10005345281
We extend a standard monetary quantitative model to provide a richer role for financial intermediaries and to generate greater persistence in the effects of monetary policy shocks. We first assume that existing clients of banks operate a diminishing returns to scale technology. Second, we assume...
Persistent link: https://www.econbiz.de/10005345326