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Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics
Bianchi, Francesco - Volkswirtschaftliche Fakultät, … - 2008
severe. These "beliefs counterfactuals" are new in the literature. Finally, the paper provides a Bayesian algorithm to handle …
Persistent link: https://www.econbiz.de/10008490097
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Bayesian Analysis of DSGE Models—Some Comments
Adolfson, Malin; Linde, Jesper; Villani, Mattias - In: Econometric Reviews 26 (2007) 2-4, pp. 173-185
Dynamic Stochastic General Equilibrium (DSGE) models. Bayesian methods have, for reasons clearly outlined in the paper, a very … natural role to play in DSGE analysis, and the appeal of the Bayesian paradigm is indeed strongly evidenced by the flood of … applied economists interested in learning about Bayesian techniques for analyzing DSGE models, and as such the paper is likely …
Persistent link: https://www.econbiz.de/10005511955
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On the Evolution of Monetary Policy
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Rimini Centre for Economic Analysis (RCEA) - 2008
This paper investigates the evolution of monetary policy in the U.S. using a standard set of macroeconomic variables. Many recent papers have addressed the issue of whether the monetary transmission mechanism has changed (e.g. due to the Fed taking a more aggressive stance against ination) or...
Persistent link: https://www.econbiz.de/10005091085
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Measuring the Policymaker’s Credibility: The Bank of England in ‘nice’ and ‘not-so-nice’ times
Biefang-Frisancho Mariscal, Iris; Wong, Woon; Howells, Peter - Department of Accounting, Economics and Finance, … - 2011
’s hard-won credibility. Using the Bayesian as well as time-varying coefficient Kalman-Filter techniques, and four different …
Persistent link: https://www.econbiz.de/10010737398
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Testing for parameter stability in DSGE models. The cases of France, Germany, Italy, and Spain
Jerger, Jürgen; Röhe, Oke - In: International Economics and Economic Policy 11 (2014) 3, pp. 329-351
We estimate a New Keynesian DSGE model on French, German, Italian, and Spanish data. The main aim of this paper is to …">2011</CitationRef>). This new econometric technique allows to address the stability properties of each single parameter in a DSGE model …
Persistent link: https://www.econbiz.de/10010988298
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Should monetary policy lean against the wind? - an analysis based on a DSGE model with banking
Gambacorta, Leonardo; Signoretti, Federico M - Bank for International Settlements (BIS) - 2013
improve upon a standard rule in terms of macroeconomic stabilization in a DSGE with both a firms' balance-sheet channel and a …
Persistent link: https://www.econbiz.de/10010849802
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Introducing Financial Assets Into Structural Models
Fornero, Jorge - In: Revista de Analisis Economico – Economic Analysis Review 27 (2012) 2, pp. 3-51
This paper reviews extensively the literature on asset pricing and builds a structural dynamic general equilibrium model with financial assets. We obtain the policy function of the calibrated model and approximate it up to third order. We derive asset pricing and various premiums conditions up...
Persistent link: https://www.econbiz.de/10010877146
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Monetary Policy in Oil Exporting Economies
Bergholt, Drago - Centre for Applied Macro- and Petroleum economics … - 2014
How should monetary policy be constructed when national income depends on oil exports? I set up a general equilibrium model for an oil exporting small open economy to analyze this question. Fundamentals include an oil sector and domestic non-oil firms – some of which are linked to oil markets...
Persistent link: https://www.econbiz.de/10010937987
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Preferences of the Central Bank of Brazil under the inflation targeting regime: Estimation using a DSGE model for a small open economy
Palma, Andreza Aparecida; Portugal, Marcelo Savino - In: Journal of Policy Modeling 36 (2014) 5, pp. 824-839
targeting regime (January 2000 to December 2013), using a DSGE model with microeconomic foundations for a small open economy …
Persistent link: https://www.econbiz.de/10010939737
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Monetary Policy and the Relative Price of Durable Goods
Cantelmo, Alessandro; Melina, Giovanni - CESifo - 2015
In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...
Persistent link: https://www.econbiz.de/10011272622