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Cross-border banking and business cycles in asymmetric currency unions

Dräger, Lena; Proaño, Christian R. - 2015

this purpose, we incorporate in an otherwise standard two-region monetary union DSGE model a global banking sector along …

Persistent link: https://www.econbiz.de/10011405060

Solution-Driven Specification of DSGE Models

Blasques, Francisco - 2013

This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that … greatly improve model fit and provide alternative policy recommendations when compared to standard DSGE model designs. …

Persistent link: https://www.econbiz.de/10010326325

Learning about fiscal policy and the effects of policy uncertainty

Hollmayr, Josef; Matthes, Christian - 2013

The recent crisis in the United States has often been associated with substantial amounts of policy uncertainty. In this paper we ask how uncertainty about fiscal policy affects the impact of fiscal policy changes on the economy when the government tries to counteract a deep recession. The...

Persistent link: https://www.econbiz.de/10010327538

Liquidity policies and systemic risk

Adrian, Tobias; Boyarchenko, Nina - 2013

The growth of wholesale-funded credit intermediation has motivated liquidity regulations. We analyze a dynamic stochastic general equilibrium model in which liquidity and capital regulations interact with the supply of risk-free assets. In the model, the endogenously time-varying tightness of...

Persistent link: https://www.econbiz.de/10010333640

DSGE priors for BVAR models

Filippeli, Thomai; Theodoridis, Konstantinos - 2014

methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with … used to rank competing DSGE theories that aim to explain the same observed data (Geweke, 2005). Finally, motivated by the …

Persistent link: https://www.econbiz.de/10010368161

A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles

Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative Economics 6 (2015) 3, pp. 599-635

We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock that drives the movements of...

Persistent link: https://www.econbiz.de/10011599686

What accounts for the changes in U.S. fiscal policy transmission?

Bilbiie, Florin O.; Meier, André; Müller, Gernot J. - 2006

within a DSGE model featuring price rigidities and limited asset market participation. Specifically, we estimate the …

Persistent link: https://www.econbiz.de/10011604628

The elusive welfare economics of price stability as a monetary policy objective: why New Keynesian central bankers should validate core inflation

Buiter, Willem H. - 2006

established for the class of DSGE models with nominal rigidities for which they have been proposed by Woodford and others. …

Persistent link: https://www.econbiz.de/10011604655

International transmission and monetary policy cooperation

Coenen, Günter; Lombardo, Giovanni; Smets, Frank; … - 2008

We use a version of the New Area-Wide Model (NAWM) developed at the ECB in order to quantify the gains from monetary policy cooperation. The model is calibrated in order to match a set of empirical moments. We then derive the cooperative and (open-loop) Nash monetary policies, assuming that the...

Persistent link: https://www.econbiz.de/10011604904

Sequential bargaining in a new-Keynesian model with frictional unemployment and staggered wage negotiation

de Walque, Gregory; Pierrard, Olivier; Sneessens, Henri; … - 2009

We consider a model with frictional unemployment and staggered wage bargaining where hours worked are negotiated every period. The workers’ bargaining power in the hours negotiation affects both unemployment volatility and inflation persistence. The closer to zero this parameter, (i) the more...

Persistent link: https://www.econbiz.de/10011605053