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Incorporating Labour Market Frictions into an Optimising-Based Monetary Policy Model
Moyen, Stephane - 2010
This paper examines the effects of introducing a non Walrasian labour market into the "New Neoclassical Synthesis'' framework. A dynamic stochastic general equilibrium model is formulated, solved, and calibrated in order to evaluate its ability to replicate the main features of the Euro area...
Persistent link: https://www.econbiz.de/10013135025
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Inflation Target Shocks and Monetary Policy Inertia in the Euro Area
Fève, Patrick - 2010
The Euro area as a whole has experienced a marked downward trend in inflation over the past decades and, concomitantly … these dynamics? To answer this question, we embed serially correlated changes in the inflation target into a DSGE model with … real and nominal frictions. The formal Bayesian estimation of the model suggests that gradual changes in the inflation …
Persistent link: https://www.econbiz.de/10013141812
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Trends and Cycles : An Historical Review of the Euro Area
Barthelemy, Jean; Marx, Magali; Poissonnier, Aurelien - 2010
total factor productivity and one on the inflation target of the central bank. To justify our choice of integrated trends …
Persistent link: https://www.econbiz.de/10014193936
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In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area
Fève, Patrick; Sahuc, Jean-Guillaume - 2016
This paper applies the DSGE-VAR methodology to assess the size of fiscal multipliers in the data and the relative contributions of two transmission mechanisms of government spending shocks, namely hand-to-mouth consumers and Edgeworth complementarity. Econometric experiments show that a DSGE...
Persistent link: https://www.econbiz.de/10014128614
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Generalized Taylor and Generalized Calvo Price and Wage-Setting : Micro Evidence with Macro Implications
Dixon, Huw - 2011
found to help rationalizing the hump-shaped response of inflation, without resorting to the counterfactual assumption of …
Persistent link: https://www.econbiz.de/10013128261
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The Pricing Behaviour of Firms in the Euro Area : New Survey Evidence
Fabiani, Silvia - 2011
This study investigates the pricing behaviour of firms in the euro area on the basis of surveys conducted by nine Eurosystem national central banks, covering more than 11,000 firms. The results, robust across countries, show that firms operate in monopolistically competitive markets, where...
Persistent link: https://www.econbiz.de/10013132582
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature and can be seen as a first-order perturbation around the...
Persistent link: https://www.econbiz.de/10012906892
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DSGE Nash : Solving Nash Games in Macro Models with an application to optimal monetary policy under monopolistic commodity pricing
Ferrari, Massimo Minesso; Pagliari, Maria Sole - 2022
This paper presents DSGE Nash, a toolkit to solve for pure strategy Nash equilibria of global games in general equilibrium macroeconomic models. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad range of options including solutions up to the...
Persistent link: https://www.econbiz.de/10014076795
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Determinants of Long-Term Interest Rates in the United States and the Euro Area : A Multivariate Approach
Idier, Julien - 2010
This article looks at the factors explaining the level of US and European long-term interest rates between 1986 and 2005. We begin by selecting the structural determinants of long-term interest rates, dealing with the US and European cases separately. However, a univariate framework cannot...
Persistent link: https://www.econbiz.de/10013136872
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The Possible Shapes of Recoveries in Markov-Switching Models
Bec, Frédérique - 2011
This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the...
Persistent link: https://www.econbiz.de/10013128643