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Taking multi-sector dynamic general equilibrium models to the data
Dixon, Huw; Kara, Engin - 2012
We estimate and compare two models, the Generalized Taylor Economy (GTE) and the Multiple Calvo model (MC), that have … to those of the standard models such as the Calvo and its popular variant, using the ad hoc device of indexation. The …
Persistent link: https://www.econbiz.de/10009530141
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Credit risk, excess reserves and monetary policy : the deposits channel
Bratsiotis, George - 2017 - This Version: 25 January 2018
high levels of precautionary liquidity hoarding the optimal policy response of a Taylor rule is shown to indicate a zero … reserves can act as the main tool of monetary policy, that is shown to provide higher welfare gains in relation to a simple … Taylor rule. This result is shown to hold at the zero-bound and it is independent of the precautionary demand for liquidity …
Persistent link: https://www.econbiz.de/10011810801
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DSGE Models and Central Banks
Tovar, Camilo Ernesto - 2008
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...
Persistent link: https://www.econbiz.de/10010298566
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The role of labor markets for euro area monetary policy
Christoffel, Kai; Küster, Keith; Linzert, Tobias - 2009
In this paper, we explore the role of labor markets for monetary policy in the euro area in a New Keynesian model in which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible labor market would alter the business cycle behaviour...
Persistent link: https://www.econbiz.de/10003832582
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The NAICU and the Phillips curve : an approach based on micro data
Köberl, Eva; Lein-Rupprecht, Sarah M. - 2008
In this paper we propose a straightforward method to derive a non-accelerating inflation capacity utilisation rate (NAICU) based on micro data. We condition the current capacity utilisation of firms on their current and planned price adjustments. The non-accelerating inflation capacity...
Persistent link: https://www.econbiz.de/10003908386
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Testing for parameter stability in DSGE models : the case of France, Germany, Italy, and Spain
Jerger, Jürgen; Röhe, Oke - 2012
We estimate a New Keynesian DSGE model on French, German, Italian, and Spanish data. The main aim of this paper is to check for the respective sets of parameters that are stable over time, making use of the ESS procedure ("Estimate of Set of Stable parameters") developed by Inoue and Rossi...
Persistent link: https://www.econbiz.de/10009571531
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Political business cycles and monetary policy revisited : an application of a two-dimensional asymmetric Taylor reaction function
Klose, Jens - 2011
This paper uses two-dimensional asymmetric Taylor reaction functions for 16 OECD-countries to account for different … whether the central bank systematically deviates from the Taylor rule. Using a Panel-GMM we observe that in the OECD … policy ; Taylor rule ; asymmetries ; Panel- GMM …
Persistent link: https://www.econbiz.de/10009580239
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Inflation dynamics and the cost channel of monetary transmission
Chowdhury, Ibrahim; Hoffmann, Mathias; Schabert, Andreas - 2004 - Revised version: September 4, 2004
Evidence from vector autoregressions indicates that the impact of interest rate shocks on macroeconomic aggregates can substantially be affected by the so-called cost channel of monetary transmission. In this paper we apply a structural approach to examine the relevance of the cost channel for...
Persistent link: https://www.econbiz.de/10009524830
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Taking multi-sector dynamic general equilibrium models to the data
Dixon, Huw; Kara, Engin - 2011
We estimate and compare two models, the Generalized Taylor Economy (GTE) and the Multiple Calvo model (MC); that have … models ; Calvo ; Taylor ; price-setting … to those of the standard models such as the Calvo and its popular variant, using the ad hoc device of indexation. The …
Persistent link: https://www.econbiz.de/10009310938
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Monetary policy and the relative price of durable goods
Cantelmo, Alessandro; Melina, Giovanni - 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/10010515460