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Introducing Financial Frictions and Unemployment into a Small Open Economy Model

Christiano, Lawrence J.; Trabandt, Mathias; Walentin, Karl - Sveriges Riksbank - 2007

the model using Bayesian techniques on Swedish data. Our main results are: i) A financial shock to entrepreneurial wealth … and GDP. ii) The marginal efficiency of investment shock has very limited importance when we match financial market data …. iii) Our model does not need any high frequency wage markup shocks to match the data. Furthermore, the labor supply shock …

Persistent link: https://www.econbiz.de/10005034154

Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy

Holmberg, Karolina - Sveriges Riksbank - 2006

In recent years, it has become increasingly common to estimate New Keynesian Phillips curves with a measure of firms' real marginal cost as the real driving variable. It has been argued that this measure is both theoretically and empirically superior to the traditional output gap. In this paper,...

Persistent link: https://www.econbiz.de/10005649071

Implications of Exchange Rate Objectives under Incomplete Exchange Rate Pass-Through

Adolfson, Malin - Sveriges Riksbank - 2002

This paper analyzes the central bank’s optimal objective function in a small open economy model allowing for incomplete exchange rate pass-through. The results indicate that there are welfare gains from different types of monetary policy inertia. The welfare improvements of exchange rate...

Persistent link: https://www.econbiz.de/10005423761

Monetary Policy with Incomplete Exchange Rate Pass-Through

Adolfson, Malin - Sveriges Riksbank - 2001

The central bank's optimal reaction to foreign and domestic shocks is analyzed in an inflation targeting model allowing for incomplete exchange rate pass-through. Limited pass-through is incorporated through nominal rigidities in an aggregate supply-aggregate demand model derived from some...

Persistent link: https://www.econbiz.de/10005423764

Incomplete Exchange Rate Pass-Through and Simple Monetary Policy Rules

Adolfson, Malin - Sveriges Riksbank - 2002

This paper investigates the performance of various monetary rules in an open economy with incomplete exchange rate pass-through. Implementing monetary policy through an exchange rate augmented policy rule does not improve social welfare compared to using an optimized Taylor rule, irrespective of...

Persistent link: https://www.econbiz.de/10005649048

The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis

Villani, Mattias; Larsson, Rolf - Sveriges Riksbank - 2004

likelihood estimation is discussed and a complete Bayesian analysis of the multivariate split normal distribution is developed. …

Persistent link: https://www.econbiz.de/10005190794

Bayes Estimators of the Cointegration Space

Villani, Mattias - Sveriges Riksbank - 2003

A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is the point estimation of …

Persistent link: https://www.econbiz.de/10005190812

Involuntary Unemployment and the Business Cycle

Christiano, Lawrence J.; Trabrandt, Mathias; Walentin, Karl - Sveriges Riksbank - 2010

Can a model with limited labor market insurance explain standard macro- and labor market data jointly? We seek to construct a monetary model in which: i) the unemployed are worse off than the employed, i.e. unemployment is involuntary and ii) the labor force participation rate varies with the...

Persistent link: https://www.econbiz.de/10008516098

Housing collateral and the monetary transmission mechanism

Walentin, Karl; Sellin, Peter - Sveriges Riksbank - 2010

equal, implies that the effect of a monetary policy shock is increased by 4% for inflation, 8% for GDP and 24% for …

Persistent link: https://www.econbiz.de/10008516099

Block Kalman filtering for large-scale DSGE models

Strid, Ingvar; Walentin, Karl - Sveriges Riksbank - 2008

In this paper block Kalman filters for Dynamic Stochastic General Equilibrium models are presented and evaluated. Our approach is based on the simple idea of writing down the Kalman filter recursions on block form and appropriately sequencing the operations of the prediction step of the...

Persistent link: https://www.econbiz.de/10005423749