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Financial (In)stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach

de Walque, Gregory; Pierrard, Olivier; Rouabah, Abdelaziz - C.E.P.R. Discussion Papers - 2009

We develop a dynamic stochastic general equilibrium model with an heterogeneous banking sector. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbank market. Our aim is to understand the interactions...

Persistent link: https://www.econbiz.de/10005067613

Trade and the Skill Premium Puzzle with Capital Market Imperfections

Bonfatti, Roberto; Ghatak, Maitreesh - C.E.P.R. Discussion Papers - 2011

An interesting puzzle is that trade liberalization in the 1980s and 1990s has been associated with a sharp increase in the skill premium in both developed and developing countries. This is in contrast with neoclassical theory, according to which trade should increase the relative return of the...

Persistent link: https://www.econbiz.de/10008865971

Market Imperfections, Wealth Inequality, and the Distribution of Trade Gains

Foellmi, Reto; Oechslin, Manuel - C.E.P.R. Discussion Papers - 2009

Globalization increasingly involves less-developed countries (LDCs), i.e., economies which usually suffer from severe imperfections in their financial systems. Taking these imperfections seriously, we analyze how credit frictions affect the distributive impact of trade liberalizations. We find...

Persistent link: https://www.econbiz.de/10008577810

Impulse Response Matching Estimators for DSGE Models

Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … both weakly and strongly identified DSGE model parameters. We also show that under our assumptions special care is needed …

Persistent link: https://www.econbiz.de/10011145457

Small sample performance of indirect inference on DSGE models

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2015

Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples …

Persistent link: https://www.econbiz.de/10011165662

A DSGE Model of China

Dai, Li; Minford, Patrick; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping's reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested...

Persistent link: https://www.econbiz.de/10011083573

Perturbation Methods for Markov-Switching DSGE Models

Foerster, Andrew; Rubio-Ramírez, Juan Francisco; … - C.E.P.R. Discussion Papers - 2013

Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter …

Persistent link: https://www.econbiz.de/10011083963

Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2012

Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions … (using the Likelihood Ratio), and on the Del Negro-Schorfheide DSGE-VAR weight. We find that the power of all three tests is …

Persistent link: https://www.econbiz.de/10011084212

Monetary/Fiscal Policy Mix and Agents' Beliefs

Bianchi, Francesco; Ilut, Cosmin - C.E.P.R. Discussion Papers - 2013

We reinterpret post World War II US economic history using an estimated microfounded model that allows for changes in the monetary/fiscal policy mix. We find that the fiscal authority was the leading authority in the '60s and the '70s. The appointment of Volcker marked a change in the conduct of...

Persistent link: https://www.econbiz.de/10011084218

How good are out of sample forecasting Tests on DSGE models?

Minford, Patrick; Xu, Yongdeng; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … on a widely-used DSGE model to investigate the power of these tests. We find that in specification testing they have weak … power relative to an in-sample indirect inference test; this implies that a DSGE model may be badly mis-specified and still …

Persistent link: https://www.econbiz.de/10011084547