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Macroeconometric Modelling with a Global Perspective
Pesaran, M. Hashem; Smith, Ron - Institute of Economic Policy Research (IEPR), … - 2006
, Schuermann andWeiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of … shown that the VARX* models can be derived as the solution to a dynamic stochastic general equilibrium (DSGE) model where …
Persistent link: https://www.econbiz.de/10005342845
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Macroeconometric Modelling with a Global Perspective
Pesaran, M.H.; Smith, R. - Faculty of Economics, University of Cambridge - 2006
, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of … VARX* models can be derived as the solution to a dynamic stochastic general equilibrium (DSGE) model where over …
Persistent link: https://www.econbiz.de/10005489307
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Supply, demand and monetary policy shocks in a multi-country New Keynesian model
Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...
Persistent link: https://www.econbiz.de/10010276272
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Identification of new Keynesian Phillips Curves from a global perspective.
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2008
New Keynesian Phillips Curves (NKPC) have been exten-sively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macro-economic theory. The first is whether such equations are identified. To check...
Persistent link: https://www.econbiz.de/10011604938
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Macroeconometric Modelling with a Global Perspective
Pesaran, M. Hashem - 2007
, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of … shown that the VARX* models can be derived as the solution to a dynamic stochastic general equilibrium (DSGE) model where …
Persistent link: https://www.econbiz.de/10012778617
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...
Persistent link: https://www.econbiz.de/10011605285
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Identification of new Keynesian Phillips Curves from a global perspective
Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2008
New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...
Persistent link: https://www.econbiz.de/10010276218
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Monetary Policy Transmission and the Phillips Curve in a Global Context
Smith, Ron P.; Pesaran, Mohammad Hashem - 2007
The standard derivation of a Phillips curve from a DSGE model requires that all variables are measured as deviations from their steady states. But in practice this is not done. The steady state for output is estimated by some statistical procedure, such as the HP filter, and the steady state for...
Persistent link: https://www.econbiz.de/10010276737
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Identification of New Keynesian Phillips Curves from a Global Perspective
Dees, Stephane; Pesaran, Hashem; Smith, L. Vanessa; … - Institute for the Study of Labor (IZA) - 2008
New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...
Persistent link: https://www.econbiz.de/10005763475
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Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - CESifo - 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...
Persistent link: https://www.econbiz.de/10008534040