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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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Has fiscal expansion inflated house prices in China? : evidence from an estimated DSGE model
Liu, Chunping; Ou, Zhirong - 2019
A canonical DSGE model for housing, extended to embrace government spending and governmentinvestment, is estimated on Chinese data to evaluate the impact of Öscal policy on house prices. Govern-ment spending substitutes for housing; a rise in government spending lowers house prices, but its...
Persistent link: https://www.econbiz.de/10012125691
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Do Long Term Interest Rates Drive GDP and Inflation in Small Open Economies? Evidence from Poland
Wesolowski, Grzegorz - 2016
inflation volatility has not been affected by the presence of the term premium. At the same time, the term premium shock had …
Persistent link: https://www.econbiz.de/10012987476
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Business cycles in emerging markets : the role of liability dollarization and valuation effects
Notz, Stefan; Rosenkranz, Peter - 2014
Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. The purpose of this paper is to investigate the importance of certain credit market imperfections...
Persistent link: https://www.econbiz.de/10010402774
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An Estimated DSGE Model to Analyze Housing Market Policies in Hong Kong Sar
Patnaik, Ila - 2018
During the last decade, Hong Kong SAR has experienced a large increase in house prices and credit, prompting the authorities to respond with several rounds of tightening macroprudential rules and increasing stamp duty taxes. This paper provides a Dynamic Stochastic General Equilibrium (DSGE)...
Persistent link: https://www.econbiz.de/10012938480
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The Term Structure of Interest Rates in a DSGE Model
Emiris, Marina - 2010
rate to any shock, reinforces the covariance between the marginal rate of substitution of consumption and bond prices …
Persistent link: https://www.econbiz.de/10013137279
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Explaining bond and equity premium puzzles jointly in a DSGE model
Kaszab, Lorant; Marsal, Ales - 2015
We introduce costly firm-entry a la Bilbiie et al. (2012) into a New Keynesian model with Epstein-Zin preferences and show that it can jointly account for a high mean value of bond and equity premium without compromising the fit of the model to first and second moments of key macroeconomic...
Persistent link: https://www.econbiz.de/10010490844
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Cross-country co-movement in long-term interest rates : a DSGE approach
Chin, Michael; Filippeli, Thomai; Theodoridis, Konstantinos - 2015
Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...
Persistent link: https://www.econbiz.de/10011337163
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Monetary asymmetries without (and with) price stickiness
Jaccard, Ivan - 2024
The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a model that jointly reproduces a set of asset...
Persistent link: https://www.econbiz.de/10014527042
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Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets
De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar - 2023
We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once interest rate expectations are added to the...
Persistent link: https://www.econbiz.de/10013549721