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Putting the New Keynesian DSGE model to the real-time forecasting test
Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009
-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … BVARs and DSGE-VARs. Compared to the SPF, the DSGE model generates better output forecasts at longer horizons, but less …
Persistent link: https://www.econbiz.de/10011605156
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Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries
Manera, Matteo; Cologni, Alessandro - 2005
Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. While several...
Persistent link: https://www.econbiz.de/10010312365
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An Estimated (Closed Economy) Dynamic Stochastic General Equilibrium Model for the Philippines: Are There Credibility Gains from Committing to an Inflation Targeting Rule?
Majuca, Ruperto P. - 2011
We use Bayesian methods to estimate a medium-scale closed economy dynamic stochastic general equilibrium (DSGE) model … standard deviations of the technology shock, the risk-premium shock, and the investment-specific technology shock have …
Persistent link: https://www.econbiz.de/10011421201
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Welfare effects of financial integration
Hartmann, Philipp; Grüner, Hans Peter; Fecht, Falko - 2007
This paper compares four forms of inter-regional financial risk sharing: (i) segmentation, (ii) integration trough the secured interbank market, (iii) integration trough the unsecured interbank market, (iv) integration of retail markets. The secured interbank market is an optimal risk-sharing...
Persistent link: https://www.econbiz.de/10010295930
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European financial integration and corporate governance
Buch, Claudia M.; Heinrich, Ralph P. - 2002
The paper studies the link between the integration of European financial markets and corporate governance in Europe. The focus of the paper is on how integration affects the interplay of ownership structures, capital structures, and monitoring, all of which can be used to govern agency problems...
Persistent link: https://www.econbiz.de/10010301762
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …
Persistent link: https://www.econbiz.de/10011605285
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Global commodity cycles and linkages a FAVAR approach
Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...
Persistent link: https://www.econbiz.de/10011605216
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The impact of monetary policy shocks on commodity prices
Anzuini, Alessio; Lombardi, Marco J.; Pagano, Patrizio - 2010
overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. …
Persistent link: https://www.econbiz.de/10011605278
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Optimal monetary policy in a model of the credit channel
De Fiore, Fiorella; Tristani, Oreste - 2009
We consider a simple extension of the basic new-Keynesian setup in which we relax the assumption of frictionless financial markets. In our economy, asymmetric information and default risk lead banks to optimally charge a lending rate above the risk-free rate. Our contribution is threefold....
Persistent link: https://www.econbiz.de/10011605089
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Financial factors in economic fluctuations
Christiano, Lawrence; Rostagno, Massimo; Motto, Roberto - 2010
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro … intermediation turns an otherwise diversifiable source of idiosyncratic economic uncertainty, the ‘risk shock’, into a systemic force. …
Persistent link: https://www.econbiz.de/10011605238