This paper presents a two-country model linking Poland and the euro area and applies it for assessment of heterogeneity across these two regions. Overall, our results can be seen as rather inconclusive about the differences in parameters describing agents' decision-making in Poland and in the...

This paper examines the behaviour of disaggregated output over the economic cycle in South Africa. Aggregate output and output of the economic sectors and industries were decomposed into their transitory and potential components. These components were then examined for comovement. The results of...

This paper examines the behaviour of disaggregated output over the economic cycle in South Africa. Aggregate output and output of the economic sectors and industries were decomposed into their transitory and potential components. These components were then examined for comovement. The results of...

This paper examines the behaviour of disaggregated output over the economic cycle in South Africa. Aggregate output and output of the economic sectors and industries were decomposed into their transitory and potential components. These components were then examined for comovement. The results of...

This study analyses the reaction of the minerals industry to monetary policy developments in South Africa. This is achieved using a Taylor rule type central bank monetary policy reaction function, where the total, or economy wide, output is substituted with output of the minerals industry. The...

Through an estimated and calibrated DSGE model with imperfect competition and nominal rigidities, this work aims to assess the dynamic effects of exogenous perturbations in a small open economy to provide a prescription of a simple monetary policy rule associated with the minimal welfare losses...

I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference about...

DSGE models are currently estimated with a two step approach: data is first filtered and then DSGE structural parameters are estimated. Two step procedures have problems, ranging from trend misspecification to wrong assumption about the correlation between trend and cycles. In this paper, I...

I generate priors for a VAR from four competing models of economic fluctuations: a standard RBC model, Fisher’s (2006) investment-specific technology shocks model, an RBC model with capital adjustment costs and habit formation, and a sticky price model with an unaccommodating monetary...

This paper develops a macroeconomic model of the interaction between consumer debt and firm debt over the business cycle. I incorporate interest rate spreads generated by firm and household loan default risk into a real business cycle model. I estimate the model on US aggregate data. This allows...