Search Results - subject:"bayesian estimation"

Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation

Lubik, Thomas A.; Matthes, Christian - Crawford School of Public Policy, Australian National … - 2014

We argue in this paper that the Great Inflation of the 1970s can be understood as the result of equilibrium indeterminacy in which loose monetary policy engendered excess volatility in macroeconomic aggregates and prices. We show, however, that the Federal Reserve inadvertently pursued policies...

Persistent link: https://www.econbiz.de/10010904252

An Estimated DSGE Model with a Deflation Steady State

Hirose, Yasuo - Crawford School of Public Policy, Australian National … - 2014

Benhabib, Schmitt-Grohé, and Uribe (2001) argue for the existence of a deflation steady state when the zero lower bound on the nominal interest rate is considered in a Taylor-type monetary policy rule. This paper estimates a medium-scale DSGE model with a deflation steady state for the Japanese...

Persistent link: https://www.econbiz.de/10010904320

An Estimated Small Open Economy Model with Labour Market Frictions

Sheen, Jeffrey; Wang, Ben Z. - Centre pour la Recherche Économique et ses … - 2014

We estimate small open economy models with involuntary unemployment using Australian data from 1993 to 2007, focusing on hiring costs and real wage rigidity. We find a strong preference for models with hiring costs, which account for 0.97% of GDP. The data favour models with real over nominal...

Persistent link: https://www.econbiz.de/10010904610

A multi-country DSGE model with incomplete Exchange Rate Pass-through: application for the Euro area

Razafindrabe, Tovonony - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

This paper develops an estimated multi-country open economy dynamic stochastic general equilibrium (DSGE) model with incomplete Exchange Rate Pass-Through (ERPT) for the Euro-area. It is designed to model global international linkages and to assess international transmission of shocks under an...

Persistent link: https://www.econbiz.de/10010992392

Financial Frictions in a DSGE Model for Latvia

Buss, Ginters - Latvijas Banka - 2014

This paper builds a dynamic stochastic general equilibrium (DSGE) model for Latvia that would be suitable for policy analysis and forecasting purposes at Latvijas Banka. For that purpose, the DSGE model with financial frictions of Christiano, Trabandt and Walentin (2011) is adapted to Latvia's...

Persistent link: https://www.econbiz.de/10010944593

Identification of prior information via moment-matching

Sacht, Stephen - Institut für Volkswirtschaftslehre, … - 2014

estimates evaluated via MM and consider them as prior mean values of the parameters within Bayesian estimation. We show that …In this paper we apply a sensitivity analysis regarding two types of prior information considered within the Bayesian … estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on …

Persistent link: https://www.econbiz.de/10010954809

Endogenous firm entry in an estimated model of the US business cycle

Offick, Sven; Winkler, Roland C. - Institut für Volkswirtschaftslehre, … - 2014

A recent theoretical literature highlights the role of endogenous firm entry as an internal amplification mechanism of business cycle fluctuations. The amplification mechanism works through the competition and the variety effect. This paper tests the significance of this amplification mechanism,...

Persistent link: https://www.econbiz.de/10010954823

Financial Frictions and Sources of Business Cycle

Sanjani, Marzie Taheri - International Monetary Fund (IMF) - 2014

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model...

Persistent link: https://www.econbiz.de/10010959466

Fiscal Consolidation and Sovereign Risk in the Euro-zone Periphery

Beqiraj, Elton; Tancioni, Massimiliano - Dipartimento di Economia e Diritto, Facoltà di Economia - 2014

Sovereign and private sector default probabilities are introduced in a monetary model to evaluate whether the consideration of a sovereign risk channel can affect the size and sign of fiÂ…scal multipliers, an hypothesis recently appeared in the literature. The model is estimated using data of...

Persistent link: https://www.econbiz.de/10011075115

Financial Frictions and Macroeconomic Fluctuations in Emerging Economies

Akinci, Ozge - Federal Reserve Board (Board of Governors of the … - 2014

Estimated dynamic models of business cycles in emerging markets deliver counterfactual predictions for the country risk premium. In particular, the country interest rate predicted by these models is acyclical or procyclical, whereas it is countercyclical in the data. This paper proposes and...

Persistent link: https://www.econbiz.de/10011075149