Showing 1 - 10 of 216
This paper develops a dynamic general equilibrium model to assess the importance of the credit channel relative to the interest and exchange rate channels. It is motivated by increasing theoretical and empirical evidence that credit market conditions affect the propagation of cyclical...
Persistent link: https://www.econbiz.de/10010573273
This paper develops and estimates an open-economy dynamic stochastic general equilibrium (DSGE) model of the Hong Kong economy. The model features short-run price rigidities generated by monopolistic competition and staggered reoptimization. We devote special attention to asset prices and wealth...
Persistent link: https://www.econbiz.de/10010573319
This paper investigates the role of the RBC (Real Business Cycle) model with investment-specific technology shocks in explaining business cycle fluctuations in Brazil. I consider the role of transitory and permanent components of neutral and investment-specific technology shocks. I fit the model...
Persistent link: https://www.econbiz.de/10011048830
We explore bifurcation phenomena in the open-economy New Keynesian CGG Model based on Clarida et al. (2001, 2002). We find that the open economy framework can bring about more complex dynamics, along with a wider variety of qualitative behaviors and policy responses. Introducing parameters...
Persistent link: https://www.econbiz.de/10010636282
We show that the preferences suggested by Greenwood, Hercowitz and Huffman (GHH), which are quite common in real business cycle (RBC) models of small open economies, are not suited for reproducing both the business cycle and the equity premium facts of a small open economy. We show that by...
Persistent link: https://www.econbiz.de/10010939672
This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil price–exchange rate relationship for different timescales in an attempt to disentangle the possible existence of contagion and interdependence...
Persistent link: https://www.econbiz.de/10010664397
We investigate price level convergence with Germany in eleven countries belonging to the Eurozone between January 1970 and July 2011. Relying on smooth transition regression models, we show that the price convergence process is nonlinear, depending on the size of the price differential: for most...
Persistent link: https://www.econbiz.de/10010709346
Using the methodology developed in Stock and Watson (2002a), this paper proposes to exploit the information that contains the factor loading to identify the countries sharing common factors. The proposal is illustrated by analyzing the relation with the international reference-cycle of a large...
Persistent link: https://www.econbiz.de/10011048707
The S-shaped cross-correlation function between the trade balance and the terms of trade has been documented for several countries and time frames. The ability of two-country, two-good business cycle models to reproduce this regularity hinges on the dynamics of capital formation. We consider the...
Persistent link: https://www.econbiz.de/10011048821
This paper uses a multi-country dynamic general equilibrium model to illustrate real convergence processes in a small open catching-up economy. Our results indicate that even if the convergence is driven by smoothly evolving processes, the dynamic adjustments of key macrovariables can be far...
Persistent link: https://www.econbiz.de/10010744029