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Persistency and Money Demand Distortions in a Stochastic Dge Model with Sticky Prices
Gail, Michael - 2003
Recently macroeconomists have intensified their efforts to develop models that are able to generate persistent reactions of real variables to monetary shocks in stochastic DGE models with nominal rigidities. This has proven to be quite difficult in models with price staggering only. Most papers...
Persistent link: https://www.econbiz.de/10014113680
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Persistency and Money Demand Distortions in a Stochastic Dge Model with Sticky Prices and Capital
Gail, Michael - 2003
This paper considers the implications of adding capital as a factor of production in a stochastic DGE model with sticky prices for the effects of money growth shocks. Particular attention is given to the role of money demand and to the form of the utility function. I consider cash-in-advance-...
Persistent link: https://www.econbiz.de/10014113681
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...
Persistent link: https://www.econbiz.de/10011306276
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The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …
Persistent link: https://www.econbiz.de/10010472799
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Oil price shocks and macroeconomic dynamics in an oil-exporting emerging economy : a New Keynesian DSGE approach
Oladunni, Sunday - In: CBN journal of applied statistics 11 (2020) 1, pp. 1-34
a new Keynesian dynamic stochastic general equilibrium (DSGE) model to study how an oil price shock impact macroeconomic … aggregates in an oil-rich emerging economy. We consider a positive oil price shock to uncover the extent to which oil price … oil price shock, reveal evidence of Dutch disease and the operation of the Harrod-Balassa-Samuelson effect. We find a …
Persistent link: https://www.econbiz.de/10012297450
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Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
Gonçalves, Caio César Soares; Portugal, Marcelo Savino; … - In: Economia : revista da ANPEC 17 (2016) 1, pp. 23-42
The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of certain parameters. Using the DSGE model...
Persistent link: https://www.econbiz.de/10011865618
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The effects of fiscal policy in an estimated DSGE model : the case of the German stimulus packages during the great recession
Drygalla, Andrej; Holtemöller, Oliver; Kiesel, Konstantin - 2018
In this paper, we analyse the effects of the stimulus packages adopted by the German government during the Great Recession. We employ a standard mediumscale dynamic stochastic general equilibrium (DSGE) model extended by nonoptimising households and a detailed fiscal sector. In particular, the...
Persistent link: https://www.econbiz.de/10011804350
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Untangling crises : GFC and COVID-19 through the lens of a DSGE model
Peña, Rogelio De la; García, Ignacio - In: Latin American journal of central banking : LAJCB 4 (2023) 2, pp. 1-29
had been severely affected by the demand shock (around 45.1%), the financial shocks (32.2%), and the productivity shock …
Persistent link: https://www.econbiz.de/10014382934
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Unusual shocks in our usual models
Ferroni, Filippo; Fisher, Jonas D. M.; Melosi, Leonardo - 2022
and apply it to study the macroeconomic effects of the Covid shock. The initial outbreak is represented as the onset of a … new shock process where the shock loads on wedges associated with the model's usual shocks. Realizations of the Covid … shock come with news about its propagation, allowing us to disentangle the role of beliefs about the future of the pandemic …
Persistent link: https://www.econbiz.de/10013375147
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The changing transmission of uncertainty shocks in the U.S.
Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 239-252
Persistent link: https://www.econbiz.de/10011894695