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A small New Keynesian model to analyze business cycle dynamics in Poland and Romania

Nalban, Valeriu - In: Contemporary economics 9 (2015) 3, pp. 319-336

observed variables. Shock decompositions of the output and the inflation rate revealed the driving forces of the business …

Persistent link: https://www.econbiz.de/10011392289

Disciplining expectations and the forward guidance puzzle

Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020

Forward guidance operates via the expectations formation process of the agents in the economy. In standard quantitative macroeconomic models, the expectations are unobserved state variables and little scrutiny is devoted to analysing the dynamic behaviour of these expectations. We show that the...

Persistent link: https://www.econbiz.de/10012241110

How do adaptive learning expectations rationalize stronger monetary policy response in Brazil?

Dizioli, Allan; Wang, Hou - In: Latin American journal of central banking : LAJCB 5 (2024) 1, pp. 1-16

This paper estimates a standard Dynamic Stochastic General Equilibrium (DSGE) model that includes a wage and price Phillips curves with different expectation formation processes for Brazil and the USA. Other than the standard rational expectation process, we also use a limited rationality...

Persistent link: https://www.econbiz.de/10015055065

Euro area real-time density forecasting with financial or labor market frictions

McAdam, Peter; Warne, Anders - 2018

We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...

Persistent link: https://www.econbiz.de/10011813503

DSGE model forecasting : rational expectations vs. adaptive learning

Warne, Anders - 2023

This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...

Persistent link: https://www.econbiz.de/10013492913

The effects of structural shocks on macroeconomic fundamentals under aggressive monetary policy : the case of Turkey

Güngör, Mahmut Sami; Güloğlu, Bülent - In: International journal of business and economic sciences … 12 (2019) 2, pp. 7-21

prior distribution of structural parameters and shock processes are determined according to the literature. Then, we … consistent with theoretical framework of the new Keynesian synthesis. Besides, the historical shock decompositions of endogenous … monetary policy increases the effects of monetary policy shock on inflation while its impact on output gap and interest rate …

Persistent link: https://www.econbiz.de/10012239944

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

Persistent link: https://www.econbiz.de/10011389786

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10011928806

Modern forecasting models in action : improving macroeconomic analyses at central banks

Adolfson, Malin; Andersson, Michael K.; Lindé, Jesper; … - 2006 - Revised version

There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...

Persistent link: https://www.econbiz.de/10011585648

Are constant interest rate forecasts modest interventions? : evidence from an estimated open economy DSGE model of the Euro Area

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005

the future shock realizations. In 1998Q4-2002Q4, the two year constant interest rate projections turn out immodest when …

Persistent link: https://www.econbiz.de/10011583556

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