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Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - Sveriges Riksbank - 2005

This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...

Persistent link: https://www.econbiz.de/10005649081

Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model

Adolfson, Malin; Lindé, Jesper; Villani, Mattias - Sveriges Riksbank - 2005

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …

Persistent link: https://www.econbiz.de/10005649034

Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - Sveriges Riksbank - 2005

In this paper we develop a dynamic stochastic general equilibrium (DSGE) model for an open economy, and estimate it on Euro area data using Bayesian estimation techniques. The model incorporates several open economy features, as well as a number of nominal and real frictions that have proven to...

Persistent link: https://www.econbiz.de/10005649043

Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks

Adolfson, Malin; Andersson, Michael K.; Lindé, Jesper; … - Sveriges Riksbank - 2005

There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...

Persistent link: https://www.econbiz.de/10005649027

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - Sveriges Riksbank - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10005649059

Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities

Li, Feng; Villani, Mattias; Kohn, Robert - Sveriges Riksbank - 2009

A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the...

Persistent link: https://www.econbiz.de/10008469620

Evaluating An Estimated New Keynesian Small Open Economy Model

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - Sveriges Riksbank - 2007

This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for...

Persistent link: https://www.econbiz.de/10005423767

Indicator Accuracy and Monetary Policy: Is Ignorance Bliss?

Nimark, Kristoffer P. - Sveriges Riksbank - 2003

This paper argues that assuming a common information set shared by the public and the central bank may be inappropriate when one is concerned with the value of information itself. Specifically, we argue that it may lead one to draw the conclusion that monetary policy do not benefit from accurate...

Persistent link: https://www.econbiz.de/10005190807

Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs

Villani, Mattias; Warne, Anders - Sveriges Riksbank - 2003

Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends...

Persistent link: https://www.econbiz.de/10005190800

A VAR Model for Monetary Policy Analysis in a Small Open Economy

Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - Sveriges Riksbank - 1999

The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a...

Persistent link: https://www.econbiz.de/10005207175

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