In this paper, we develop and estimate a dynamic stochastic, general-equilibrium New Keynesian model with partial dollarization. Bayesian techniques and Peruvian data are used to evaluate two forms of dollarization: currency substitution (CS) and price dollarization (PD). The empirical results...

We study the drivers of fluctuations in the Irish housing market by developing and estimating a dynamic stochastic general equilibrium (DSGE) model of Ireland as a member of the European Economic Monetary Union (EMU). We estimate the model with Bayesian methods using time series for both Ireland...

Financial factors influencing the business cycle have received considerable attention in recent years in the aftermath of the global financial crisis in 2008. This paper examines the role of financial factors in the business cycle by considering Korea, a small open economy, that experienced a...

Although several activity-based models made the transition to practice in recent years, modeling dynamic activity generation and especially, the mechanisms underlying activity generation are not well incorporated in the current activity-based models. For instance, current models assume that...

Extending the traditional discrete choice model by incorporating latent psychological factors can help to better understand the individual’s decision-making process and therefore to yield more reliable part-worth estimates and market share predictions. Several integrated choice and latent...

This paper studies the forecasting performance of a general equilibrium model of bond yields where government bonds provide liquidity services and are, as such, an integral part of the monetary transmission mechanism. The model is estimated with Bayesian methods on Euro area data. I compare the...

This paper examines two fiscal policy puzzles related to the effects of government spending shocks. Contrary to theoretical predictions, recent empirical evidence suggests a crowding-in of consumption and a depreciation of the real exchange rate after a government spending increase. While...

This paper proposes a method to structurally estimate a model with a regime shift and evaluates the importance of acknowledging the break in the estimation. We estimate a DSGE model on Swedish data taking into account the regime change in 1993, from exchange rate targeting to inflation...

We propose a wavelet-based denoising methodology based on total energy of a neighboring pair of coefficients plus their “parental” coefficient. The model is based on a Bayesian hierarchical model using a contaminated exponential prior on the total mean energy in a neighborhood of wavelet...

An important disconnect in the news driven view of the business cycle formalized by Beaudry and Portier (2004), is the lack of agreement between different—VAR and DSGE—methodologies over the empirical plausibility of this view. We argue that this disconnect can be largely resolved once we...