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Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test

Kolasa, Marcin - 2009

Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from...

Persistent link: https://www.econbiz.de/10013155104

The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR

Arratibel, Olga - 2014

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10013060040

Transmission of Government Spending Shocks in the Euro Area : Time Variation and Driving Forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2021

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10013316199

Monetary Policy Shocks in a Two-Sector Open Economy : An Empirical Study

Llaudes, Ricardo - 2007

This paper studies the effects and the transmission mechanism of unexpected monetary policy shocks in an open economy setting within the context of a VAR frame-work. It considers an economy with two sectors, a tradable sector and a non-tradable sector. For a given country, economic sectors are...

Persistent link: https://www.econbiz.de/10012776366

Bayesian Analysis of Recursive SVAR Models with Overidentifying Restrictions

Kociecki, Andrzej - 2012

The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to elicit the prior on the non-zero...

Persistent link: https://www.econbiz.de/10013097952

A Mixed Frequency BVAR for the Euro Area Labour Market

Consolo, Agostino; Foroni, Claudia; Martínez … - 2021

We introduce a Bayesian Mixed-Frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts of key labour market variables and (ii)...

Persistent link: https://www.econbiz.de/10013323905

Demographics and Inflation in the Euro Area : A Two-Sector New Keynesian Perspective

Lis, Eliza Magdalena - 2020

Can the aging process affect inflation? The prolonged decline of fertility and mortality rates induces a persistent downward pressure on the natural interest rate. If this development is not internalized by the monetary policy rule, inflation can be on a downward trend. Using the structure of a...

Persistent link: https://www.econbiz.de/10012838759

The Role of Real Wage Rigidity and Labor Market Frictions for Unemployment and Inflation Dynamics

Christoffel, Kai - 2006

cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions … persistent movements of aggregate inflation. Moreover, the impact of a monetary policy shock on unemployment and inflation …

Persistent link: https://www.econbiz.de/10012783591

Firm-Specific Production Factors in a DSGE Model with Taylor Price Setting

De Walque, Gregory; Smets, Frank; Wouters, Rafael - 2021

This paper compares the Calvo model with a Taylor contracting model in the context of the Smets-Wouters (2003) Dynamic Stochastic General Equilibrium (DSGE) model. In the Taylor price setting model, we introduce firm-specific production factors and discuss how this assumption can help to reduce...

Persistent link: https://www.econbiz.de/10013317568

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021

. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …

Persistent link: https://www.econbiz.de/10013316169