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We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
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inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium (DSGE) parameters …
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and larger in magnitude. We use an estimated DSGE model to show that this change is consistent with a switch from an …
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equilibrium model (DSGE). First, it estimates a panel vector autoregresive (VAR) model for output, investment, trade balance …
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Our paper addresses the issue on the interaction between monetary and macroprudential policies in small open economies for different exchange rate regimes. The need for macroprudential policy arises from exacerbated macroeconomic fluctuations due to frictions in the financial system as in...
Persistent link: https://www.econbiz.de/10011657290
methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with … used to rank competing DSGE theories that aim to explain the same observed data (Geweke, 2005). Finally, motivated by the …
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