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...

The Swedish economy is strongly dependent on global economic developments, which is re ected in generally strong empirical relationships between Swedish and foreign macroeconomic variables. It is, however, diffi cult for standard open-economy dynamic stochastic general equilibrium (DSGE) models...

In this paper, we study identification and misspecification problems in standard closed and open-economy empirical New-Keynesian DSGE models used in monetary policy analysis. We find that problems with model misspecification still appear to be a first-order issue in monetary DSGE models, and...

This paper estimates a medium-scale open economy DSGE model for Germany and the rest of the Euro Area (REA). The parameter estimates indicate that there is a modest degree of structural heterogeneity between Germany and the rest of the Euro Area. In particular, (i) the private sector in Germany...

This paper presents a New Keynesian DSGE model with inventory holding firms. The model distinguishes between goods and materials, for both production as well as for inventories. The more detailed treatment of inventory holdings offers new insights into the determinants of business cycles before...

This paper presents a DSGE model in which agents׳ learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters. Their gain coefficient is endogenous and is adjusted...

This paper presents a DSGE model in which agents' learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters. Their gain coefficient is endogenous and is adjusted...

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

This paper provides a detailed description of an extended version of the ECB's New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008). The extended model - called NAWM II - incorporates a rich financial sector with the threefold aim of (i) accounting for a genuine...