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Survey of Research on Financial Sector Modeling within DSGE Models : What Central Banks Can Learn from It
Brázdik, František - 2013
This survey gives insight into the ongoing research in financial frictions modeling. The recent financial turmoil has fueled interest in operationalizing financial frictions concepts. The rapid growth of the literature on financial frictions motivates this review. The empirical facts that...
Persistent link: https://www.econbiz.de/10013075479
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Financial conditions and monetary policy in Uruguay : an MS-VAR approach
Bucacos Iguini, Elizabeth - 2017
investment long-run average growth rate but also directly modify the behavior of monetary policy. …
Persistent link: https://www.econbiz.de/10011661144
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A New-Keynesian DSGE Model for Forecasting the South African Economy
Gupta, Rangan - 2010
This paper develops a New-Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model for forecasting the growth rate of output, inflation, and the nominal short-term interest rate (91 days Treasury Bill rate) for the South African economy. The model is estimated via maximum likelihood...
Persistent link: https://www.econbiz.de/10013138053
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Choosing the European fiscal rule
Buss, Ginters; Grüning, Patrick; Tkačevs, Oļegs - In: Baltic journal of economics 24 (2024) 1, pp. 116-144
In order to quantitatively assess the potential effects from the ongoing transformation of the fiscal framework of the European Union, we evaluate the economic and public finance stabilization properties of two benchmark fiscal rules using a New Keynesian small open economy model. If these...
Persistent link: https://www.econbiz.de/10015065544
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Micro jumps, macro humps : monetary policy and business cycles in an estimated HANK model
Auclert, Adrien; Rognlie, Matthew; Straub, Ludwig - 2020
shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high … MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to … investment shocks, leading our model to infer a central role for these shocks as a source of business cycles. …
Persistent link: https://www.econbiz.de/10012154622
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Central Bank Communication Choices : Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders
Benamar, Hedi; Chaboud, Alain; Vega, Clara - 2021
We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...
Persistent link: https://www.econbiz.de/10013247078
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Chapter 15. New Methods for Macro-Financial Model Comparison and Policy Analysis
Wieland, V.; Afanasyeva, E.; Kuete, M.; Yoo, J. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1241-1319). 2016
effects in investment financing, credit and house price booms and a role for bank capital. A final exercise illustrates how …
Persistent link: https://www.econbiz.de/10014024276
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Micro Jumps, Macro Humps : Monetary Policy and Business Cycles in an Estimated Hank Model
Auclert, Adrien - 2020
shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high … MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to … investment shocks, leading our model to infer a central role for these shocks as a source of business cycles …
Persistent link: https://www.econbiz.de/10012842965
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Structural Changes in Investment and the Waning Power of Monetary Policy
Bloesch, Justin; Weber, Jacob P. - 2021
We argue that secular change in both the production and composition of investment goods has weakened private investment … the production of investment goods amplify the response of consumption to monetary policy shocks by varying labor income … investment goods production has declined, (ii) the import share of investment goods has risen, and (iii) the composition of …
Persistent link: https://www.econbiz.de/10013235658
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Why So Low for So Long? A Long-Term View of Real Interest Rates
Borio, Claudio E. V. - 2017
real interest rates are driven by variations in desired saving and investment. But based on data stretching back to 1870 … for 19 countries, our systematic analysis casts doubt on this view. The link between real interest rates and saving-investment … countries that dominate global monetary and financial conditions rather than common movements in global saving and investment …
Persistent link: https://www.econbiz.de/10012941033