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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
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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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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
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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
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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
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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
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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
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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
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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
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Declining Output Volatility in Germany : Impulses, Propagation, and the Role of Monetary Policy
Fritsche, Ulrich; Kuzin, Vladimir N. - 2004
We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output … error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of … sudden break. The evolution of Germany's short-term real interest rate volatility coincides with the change of the …
Persistent link: https://www.econbiz.de/10010274489