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This paper presents and estimates a dynamic stochastic general equilibrium (DSGE) small-open-economy model for the Hungarian economy. The model features different types of frictions, real and nominal rigidities which are necessary to replicate the empirical persistence of Hungarian data....
Persistent link: https://www.econbiz.de/10003790663
This paper presents and estimates a dynamic stochastic general equilibrium (DSGE) small-open-economy model for the Hungarian economy. The model features different types of frictions, real and nominal rigidities which are necessary to replicate the empirical persistence of Hungarian data....
Persistent link: https://www.econbiz.de/10005357944
We explore the properties of welfare-maximizing monetary policy in a medium-scale DSGE model for Hungary. In order to make our results operational from a policymaker’s perspective, we approximate the optimal policy rule with a set of simple rules reacting only to observable variables. Our...
Persistent link: https://www.econbiz.de/10008461980
Persistent link: https://www.econbiz.de/10003674391
Persistent link: https://www.econbiz.de/10003342290
Using Hungarian macroeconomic and financial data, we estimate a Bayesian structural VAR model suitable for macroprudential simulations. We identify standard macroeconomic and credit supply shocks by sign and zero restrictions. In contrast to the previous literature, different types of credit...
Persistent link: https://www.econbiz.de/10010322489
The majority of the New Keynesian DSGE literature assumes that the macroeconomic effects of monetary policy can be satisfactorily described by an interest rate rule without addressing the details of the money supply. We investigate whether this approach remains valid in the presence of inside...
Persistent link: https://www.econbiz.de/10014278182
The lessons of the financial and macroeconomic crisis of 2007-2008 made the development of a new macroeconomic forecasting model necessary in the MNB. The model represents a small open economy. It is based on the DSGE philosophy but it deviates from it at several points. The new features of the...
Persistent link: https://www.econbiz.de/10011784379
It is frequently claimed that the expected yield on emerging market bonds commands a premium. Here we investigate the sources of this phenomenon. A stochastic general equilibrium model of a small open economy is analyzed numerically to derive conditions for interest rate premia. The novelty of...
Persistent link: https://www.econbiz.de/10011560551
Using Hungarian macroeconomic and financial data, we estimate a Bayesian structural VAR model suitable for macroprudential simulations. We identify standard macroeconomic and credit supply shocks by sign and zero restrictions. In contrast to the previous literature, different types of credit...
Persistent link: https://www.econbiz.de/10009269523