Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs' business cycle model where...

Empirical work on the impacts of labour market institutions has produced mixed results. Much of this literature is based on reduced form regressions that are subject to severe econometric and measurement issues. This paper develops a framework to study the impact of labour market institutions in...

This paper seeks to evaluate quantitatively how interbank and corporate crossborder flows shape business cycles in a monetary union. Using Bayesian techniques, we estimate a two-country DSGE model that distinguishes between Eurozone core and peripheral countries and accounts for national...

This note develops simple conditions from which to determine the most concise VARMA representation of a given DSGE model. It is proven analytically that the Smets and Wouters (2007) model has exact VARMA (3,2) representation. In this model, the largest possible subset of structural parameters...

How and to what extent are small open economies affected by international shocks? I develop and estimate a medium scale DSGE model that addresses both questions. The model incorporates i) international markets for firm-to-firm trade in production inputs, and ii) producer heterogeneity where...

This paper shows that a medium-scale DSGE model is able to explain a contemporaneous reduction of output and consumption during a disinflation policy, as it is in the empirical evidence. To this aim, we introduce Rotemberg (1982) adjustment costs and the limited asset market participation assumption

We build a small structural open economy model, augmented to depict the credit market and interest rate spreads (distinguishing by credit to firms and families); monetary policy with sterilized intervention in the foreign exchange market; and macroprudential policy as capital requirements. We...