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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
Persistent link: https://www.econbiz.de/10011389786
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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
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Money in a New-Keynesian model estimated with German data
Kremer, Jana; Lombardo, Giovanni; Werner, Thomas - 2003
In this paper we estimate a simple New-Keynesian DSGE model with German data for the sample period 1970:q1 to 1998:q4 …
Persistent link: https://www.econbiz.de/10011432232
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Trend dominance in macroeconomic fluctuations
Shibayama, Katsuyuki - 2015
concern about the convention that the non-stationary data is detrended in standard DSGE-type structural estimation, in the …
Persistent link: https://www.econbiz.de/10011342928
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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015
inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium (DSGE) parameters …
Persistent link: https://www.econbiz.de/10011405253
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Monetary policy regimes and inflation persistence in the United Kingdom
Zakipour-Saber, Shayan - 2019
This paper conducts a structural analysis of inflation persistence in the United Kingdom between 1965-2009. I allow for the possibility of shifts in the U.K. economy by estimating open-economy dynamic stochastic general equilibrium models in which parameters of a Taylor-type monetary policy...
Persistent link: https://www.econbiz.de/10012121979
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Is monetary policy always effective? : incomplete interest rate pass-through in a DSGE model
Binning, Andrew; Bjørnland, Hilde Christiane; Maih, Junior - 2019
We estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass …
Persistent link: https://www.econbiz.de/10012214427
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Asymmetric macro-financial spillovers
Bluwstein, Kristina - 2017
estimate a non-linear DSGE model with a heterogeneous banking sector and an occasionally binding borrowing constraint. The …
Persistent link: https://www.econbiz.de/10011617592
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A Markov-Switching DSGE model for measuring the output gap in Brazil
Oliveira, Eleonora de; Palma, Andreza Aparecida; … - In: Latin American journal of central banking : LAJCB 5 (2024) 1, pp. 1-15
. Conversely, estimates derived from Dynamic Stochastic General Equilibrium (DSGE) models encounter challenges stemming from the … specified DSGE model that incorporates Markov-Switching elements (MS-DSGE) to account for potential regime shifts. We introduce …-Prescott) filter estimate performs better in the short and mid-term, but the MS-DSGE estimate presented better results in the long run …
Persistent link: https://www.econbiz.de/10015055077
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DSGE Models and Central Banks
Tovar, Camilo Ernesto - 2008
general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly …, at their current stage DSGE models have important limitations. How much of a problem this is will depend on their …
Persistent link: https://www.econbiz.de/10010298566