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Identification versus misspecification in New Keynesian monetary policy models
Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2019 - Revised November 2018
In this paper, we study identification and misspecification problems in standard closed and open-economy empirical New-Keynesian DSGE models used in monetary policy analysis. We find that problems with model misspecification still appear to be a first-order issue in monetary DSGE models, and...
Persistent link: https://www.econbiz.de/10011961473
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
Persistent link: https://www.econbiz.de/10011389786
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BEMGIE : Belgian Economy in a Macro General and International Equilibrium model
De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar; … - 2023
This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...
Persistent link: https://www.econbiz.de/10014233574
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Parameter identification in a estimated New Keynesian open economy model
Adolfson, Malin; Lindé, Jesper - 2011
parameters if a suitable set of observable variables are included in the estimation. These findings suggest that we can learn a … a classical viewpoint, ML estimation leads to a significant improvement in fit relative to the log-likelihood computed … quantitative macromodels for policy analysis. -- Identification ; Bayesian estimation ; Monte-Carlo methods ; Maximum Likelihood …
Persistent link: https://www.econbiz.de/10009009125
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Sovereign risk and macroeconomic fluctuations in an emerging market economy
Kirchner, Markus; Rieth, Malte - 2010
This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on...
Persistent link: https://www.econbiz.de/10011382024
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The Effect of Central Bank Credibility on Forward Guidance in an Estimated New Keynesian Model
Martínez-García, Enrique - 2020
This paper examines the effectiveness of forward guidance in an estimated New Keynesian model with imperfect central bank credibility. Forward guidance and the credibility of the central bank are uniquely modeled by utilizing a game-theoretic evolutionary framework. We estimate credibility for...
Persistent link: https://www.econbiz.de/10012844416
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Quantitative easing and inequality
Lee, Donggyu - 2024
This paper studies how quantitative easing (QE) affects household welfare across the wealth distribution. I build a Heterogeneous Agent New Keynesian (HANK) model with household portfolio choice, wage and price rigidities, endogenous unemployment, frictional financial intermediation, an...
Persistent link: https://www.econbiz.de/10014577973
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The Effect of Central Bank Credibility on Forward Guidance in an Estimated New Keynesian Model
Cole, Stephen J. - 2020
This paper examines the effectiveness of forward guidance in an estimated New Keynesian model with imperfect central bank credibility. Forward guidance and the credibility of the central bank are uniquely modeled by utilizing a game-theoretic evolutionary framework. We estimate credibility for...
Persistent link: https://www.econbiz.de/10012846480
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When should central banks fear inflation expectations?
Gobbi, Lucio; Mazzocchi, Ronny; Tamborini, Roberto - 2024
When inflation picks up, central banks are most concerned that the de-anchoring of inflation expectations and the ignition of wage-price spirals will trigger inflation dynamic instability. However, such scenarios do not materialize in the standard New Keynesian theoretical framework for monetary...
Persistent link: https://www.econbiz.de/10014478734
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The Term Structure of Interest Rates in an Estimated New Keynesian Policy Model
Buncic, Daniel - 2016
We jointly estimate a New Keynesian Policy Model with a Gaussian affine no-arbitrage specification of the term structure of interest rates, and assess how important inflation, output and monetary policy shocks are as sources of fluctuations in interest rates and the term premium. To mitigate...
Persistent link: https://www.econbiz.de/10012989942