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Remittances and macroeconomic volatility in African countries

Jidoud, Ahmat - 2015

This paper investigates the channels through which remittances affect macroeconomic volatility in African countries … that remittances-as a share of GDP-have a significant smoothing impact on output volatility but their impact on consumption … volatility is somewhat small. Furthermore, remittances are found to absorb a substantial amount of GDP shocks in these countries …

Persistent link: https://www.econbiz.de/10011281924

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

Financial Frictions in Data : Evidence and Impact

Taheri Sanjani, Marzie - 2015

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Auto regression and New Keynesian models demonstrating how financial shocks can...

Persistent link: https://www.econbiz.de/10013028667

MEDSEA-FIN : an estimated DSGE model with housing and financial frictions for Malta

Gatt, William - 2022

This paper uses Bayesian techniques and Maltese data over the period 2001-2019 to estimate the parameters of MEDSEA-FIN, one of the Central Bank of Malta's DSGE models. The model captures linkages between the housing sector, banks and the rest of the economy via a borrowing collateral...

Persistent link: https://www.econbiz.de/10013382147

Sources of macroeconomic fluctuations : a regime-switching DSGE approach

Liu, Zheng; Waggoner, Daniel F.; Zha, Tao - In: Quantitative economics : QE ; journal of the … 2 (2011) 2, pp. 251-301

We examine the sources of macroeconomic fluctuations by estimating a variety of richly parameterized DSGE models within a unified framework that incorpo- rates regime switching both in shock variances and in the inflation target. We propose an efficient methodology for estimating...

Persistent link: https://www.econbiz.de/10011756316

The Sources of Macroeconomic Fluctuations in Subsaharan African Economies: An application to Côte d'Ivoire

Jidoud, Ahmat - Toulouse School of Economics (TSE) - 2012

the dominant sources of macroeconomic volatility as they explain more than half of aggregate uctuations. Second, world …

Persistent link: https://www.econbiz.de/10010587852

DSGE Models in the Frequency Domain

Sala, Luca - 2012

We exploit well-known features of the frequency domain to estimate a medium-scale DSGE model on different frequency bands. We study whether fit, parameter estimates and forecasting performance depend on the frequency band over which the model is estimated. The results also give guidance on how...

Persistent link: https://www.econbiz.de/10013098842

Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility

Rapach, David - 2020

equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that … premium in a DSGE model that includes time-preference, technology, investment, and volatility shocks. Time-preference and … historical stochastic volatility and equity risk premium series display pronounced countercyclical fluctuations …

Persistent link: https://www.econbiz.de/10012847324

Financial frictions : micro vs macro volatility

Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021

We introduce frictional ﬁnancial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...

Persistent link: https://www.econbiz.de/10012705511

Financial frictions : micro vs. macro volatility

Faccini, Renato; Lee, Seungcheol; Luetticke, Ralph; … - 2024

consistent with the data. Banking regulation, while stabilizing at the aggregate level, may induce volatility at the household …

Persistent link: https://www.econbiz.de/10014480275