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Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise … sheds new light on the choice of the weighting matrix and covers both weakly and strongly identified DSGE model parameters …

Persistent link: https://www.econbiz.de/10011418016

News shocks under financial frictions

Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020

. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un … for the propagation of news shocks. A DSGE model enriched with a financial sector generates very similar quantitative …

Persistent link: https://www.econbiz.de/10012373126

Human capital formation, income inequality and growth

Viaene, Jean-Marie; Zilcha, Itzhak - 2001

The paper studies the determinants of income distribution and growth in an overlapping generations economy with heterogenous households. Our framework has the following main features: (1) heterogeneity of consumers with respect to wealth and parental human capital; (2) intergenerational...

Persistent link: https://www.econbiz.de/10011399283

Rolling back the public sector : differential effects on employment, investment and growth

Ploeg, Frederick van der - 2003

The macroeconomic effects on growth, investment and private sector employment of different ways of rolling back the welfare state are analysed. Cutting public spending on private goods induces a lower interest rate, a higher wage, a lower capital stock and a fall in employment. Cutting public...

Persistent link: https://www.econbiz.de/10011506465

Entry dynamics, capacity utilisation and productivity in a dynamic open economy

Aloi, Marta; Dixon, Huw - 2002

This paper analyses an open economy Ramsey model with an endogenous labour supply without capital. The technology defines an optimal firm size. Changes to the number of firms is subject to adjustment costs, so that the entry dynamics is determined endogenously. We find that there is a short run...

Persistent link: https://www.econbiz.de/10011409812

Imperfect exchange rate passthrough : strategic pricing and menu costs

Ghosh, Atish R.; Wolf, Holger C. - 2001

A large body of literature finds that exporters do not pass nominal exchange rate movements fully through to destination market prices over short time horizons. This imperfect passthrough has been widely attributed to strategic pricing-to-market , whereby exporters deliberately accept changes in...

Persistent link: https://www.econbiz.de/10011398066

A sectoral analysis of price-setting behavior in US manufacturing industries

Leith, Campbell B.; Malley, James R. - 2003

In this paper we develop a multi-sector model of firms pricing behaviour under imperfect competition. We allow for the fact that some goods sold will be for final consumption, while others will be used as intermediate goods in further production. We assume that price setters are constrained by...

Persistent link: https://www.econbiz.de/10011508076

Is there a European business cycle?

Artis, Michael J. - 2003

The paper uses quarterly GDP data for some 30 years up to and including 2001, to examine the identity and development of the European business cycle. Cycles are identified by using a band-pass filter version of the Hodrick-Prescott filter and affiliations are examined using clustering techniques...

Persistent link: https://www.econbiz.de/10011509523

Measuring the social discount rate under uncertainty : a methodology and application

Ahsan, Syed; Tsigaris, Panagiotis Demetrios - 2002

It is well recognised that the issue of the social rate of discount applies only to the gains from public investment that accrues to the public sector. When it comes to measurement, however, there is a problem: public investment in infrastructure and the like do not usually yield direct...

Persistent link: https://www.econbiz.de/10011514079

Dynamics of endogenous business cycles and exchange rate volatility

Böhm, Volker; Kikuchi, Tomoo - 2002

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital markets...

Persistent link: https://www.econbiz.de/10011538984