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Financial frictions and shocks in an estimated small open economy DSGE model

Doojav, Gan-Ochir; Kalirajan, Kaliappa - In: Journal of quantitative economics 18 (2020) 2, pp. 253-291

Persistent link: https://www.econbiz.de/10012418824

Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks

Georgiadis, Georgios; Jančoková, Martina - 2017

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …

Persistent link: https://www.econbiz.de/10011664579

Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks

Georgiadis, Georgios; Jančoková, Martina - In: Journal of economic dynamics & control 121 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012504163

Analysis of monetary policy responses after financial market crises in a continuous time New Keynesian Model

Hayo, Bernd; Niehof, Britta - 2014 - This version: 24 March 2014

We develop a dynamic stochastic full equilibrium New Keynesian model of two open economies based on stochastic differential equations to analyse the interdependence between monetary policy and financial markets in the context of the recent financial crisis. The effect of bubbles on stock and...

Persistent link: https://www.econbiz.de/10010336205

Analysis of Monetary Policy Responses after Financial Market Crises in a Continuous Time New Keynesian Model

Hayo, Bernd - 2016

To analyse the interdependence between monetary policy and financial markets in the context of the recent financial crisis, we use stochastic differential equations to develop a dynamic, stochastic general equilibrium New Keynesian model of two open economies. Our focus is on how stock and...

Persistent link: https://www.econbiz.de/10013000540