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Equilibrium unemployment, job flows and inflation dynamics

Trigari, Antonella - 2004

general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price … worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the … helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …

Persistent link: https://www.econbiz.de/10009636527

The ECB's New Multi-Country Model for the euro area

Dieppe, Alistair; González Pandiella, Alberto; Hall, … - 2011

Rational expectations has been the dominant way to model expectations, but the literature has quickly moved to a more realistic assumption of boundedly rational learning where agents are assumed to use only a limited set of information to form their expectations. A standard assumption is that...

Persistent link: https://www.econbiz.de/10009640692

Business cycle dynamics under rational inattention

Maćkowiak, Bartosz; Wiederholt, Mirko - 2011

We develop a dynamic stochastic general equilibrium model with rational inattention by households and firms. Consumption responds slowly to interest rate changes because households decide to pay little attention to the real interest rate. Prices respond quickly to some shocks and slowly to other...

Persistent link: https://www.econbiz.de/10009640770

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10009636520

Inflation and relative price asymmetry

Ratfai, Attila - 2004

. Robustly to alternative definitions of the relative price, identification schemes dictated by two-sided (S,s) pricing theory …

Persistent link: https://www.econbiz.de/10009636524

Monetary policy shocks in the euro area and global liquidity spillovers

Sousa, João; Zaghini, Andrea - 2004

including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity …

Persistent link: https://www.econbiz.de/10009636532

What are the spill-overs from fiscal shocks in Europe?

Giuliodori, Massimo; Beetsma, Roel - 2004

We use a Vector Auto Regression (VAR) analysis to explore the (spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski...

Persistent link: https://www.econbiz.de/10009636548

On the indeterminacy of determinacy and indeterminacy

Beyer, Andreas; Farmer, Roger E. A. - 2003

determinate equilibrium driven by fundamentals. Given assumptions about the shock distribution of model 2, it is possible to find …

Persistent link: https://www.econbiz.de/10009635896

The Great Depression and the Friedman-Schwartz hypothesis

Christiano, Lawrence; Motto, Roberto; Rostagno, Massimo - 2004

simple and familiar one. The contraction phase was primarily a consequence of a shock that induced a shift away from … slowness of the recovery from the Depression was due to a shock that increased the market power of workers. We identify a …

Persistent link: https://www.econbiz.de/10009636549