This paper compares responses to monetary shocks in the EMU countries (in the pre-EMU sample) and in the New Member States (NMS) from Central Europe. The small-sample problem, especially acute for the NMS, is mitigated by using a Bayesian estimation procedure which combines information across...

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...

This paper uses Bayesian techniques and Maltese data over the period 2001-2019 to estimate the parameters of MEDSEA-FIN, one of the Central Bank of Malta's DSGE models. The model captures linkages between the housing sector, banks and the rest of the economy via a borrowing collateral...

Multimodal empirical distributions arise in many fields like Astrophysics, Bioinformatics, Climatology and Economics due to the heterogeneity of the underlying populations. Mixture processes are a popular tool for accurate approximation of such distributions and implied mode detection. Using...

The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit providing a phenomenological description only. In...

This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...

This paper aims to evaluate if frictions in credit markets are important for business cycles in the U.S. and the Euro area. For this purpose, I modify the DSGE financial accelerator model developed by Bernanke, Gertler and Gilchrist (1999) by adding frictions such as price indexation to past...

We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro- and yield-data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks," are a crucial driver of bond...

We estimate a model in which fiscal and monetary policy obey the targeting rules of distinct policy authorities, with potentially different objective functions. We find: (1) Time-consistent policy fits U.S. time series at least as well as instrument-rules-based behavior; (2) American policies...

This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...