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Financial (In)stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach
de Walque, Gregory; Pierrard, Olivier; Rouabah, Abdelaziz - C.E.P.R. Discussion Papers - 2009
We develop a dynamic stochastic general equilibrium model with an heterogeneous banking sector. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbank market. Our aim is to understand the interactions...
Persistent link: https://www.econbiz.de/10005067613
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Market Imperfections, Wealth Inequality, and the Distribution of Trade Gains
Foellmi, Reto; Oechslin, Manuel - C.E.P.R. Discussion Papers - 2009
Globalization increasingly involves less-developed countries (LDCs), i.e., economies which usually suffer from severe imperfections in their financial systems. Taking these imperfections seriously, we analyze how credit frictions affect the distributive impact of trade liberalizations. We find...
Persistent link: https://www.econbiz.de/10008577810
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Trade and the Skill Premium Puzzle with Capital Market Imperfections
Bonfatti, Roberto; Ghatak, Maitreesh - C.E.P.R. Discussion Papers - 2011
An interesting puzzle is that trade liberalization in the 1980s and 1990s has been associated with a sharp increase in the skill premium in both developed and developing countries. This is in contrast with neoclassical theory, according to which trade should increase the relative return of the...
Persistent link: https://www.econbiz.de/10008865971
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Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2009
We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...
Persistent link: https://www.econbiz.de/10004973965
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Small sample performance of indirect inference on DSGE models
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2015
Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples …
Persistent link: https://www.econbiz.de/10011165662
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Testing macroeconomic models by indirect inference on unfiltered data
Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012
We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.
Persistent link: https://www.econbiz.de/10011083255
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Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
Bianchi, Francesco - C.E.P.R. Discussion Papers - 2013
I develop a toolbox to analyze the properties of multivariate Markov-switching models. I first derive analytical formulas for the evolution of first and second moments, taking into account the possibility of regime changes. The formulas are then used to characterize the evolution of expectations...
Persistent link: https://www.econbiz.de/10011083330
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Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?
Gürkaynak, Refet S.; Kisacikoglu, Burçin; Rossi, Barbara - C.E.P.R. Discussion Papers - 2013
Recently, it has been suggested that macroeconomic forecasts from estimated DSGE models tend to be more accurate out …-of-sample than random walk forecasts or Bayesian VAR forecasts. Del Negro and Schorfheide(2013) in particular suggest that the DSGE … Smets and Wouters DSGE model with that of several reduced form time series models. We first demonstrate that none of the …
Persistent link: https://www.econbiz.de/10011083411
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A DSGE Model of China
Dai, Li; Minford, Patrick; Zhou, Peng - C.E.P.R. Discussion Papers - 2014
We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping's reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested...
Persistent link: https://www.econbiz.de/10011083573
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Perturbation Methods for Markov-Switching DSGE Models
Foerster, Andrew; Rubio-Ramírez, Juan Francisco; … - C.E.P.R. Discussion Papers - 2013
Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter …
Persistent link: https://www.econbiz.de/10011083963