Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through

Arbeitspapier

In this paper we develop a dynamic stochastic general equilibrium (DSGE) model for an open economy, and estimate it on Euro area data using Bayesian estimation techniques. The model incorporates several open economy features, as well as a number of nominal and real frictions that have proven to be important for the empirical fit of closed economy models. The paper offers: i) a theoretical development of the standard DSGE model into an open economy setting, ii) Bayesian estimation of the model, including assesments of the relative importance of various shocks and frictions for explaining the dynamic development of an open economy, and iii) an evaluation of the model's empirical properties using standard validation methods.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Sveriges Riksbank Working Paper Series ; No. 179

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Money and Interest Rates: General ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Monetary Policy
• Thema: DSGE model ; Open economy ; Monetary Policy ; Bayesian Inference ; Business cycle

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Adolfson, Malin ; Laséen, Stefan ; Lindé, Jesper ; Villani, Mattias
• Ereignis: Veröffentlichung
• (wer): Sveriges Riksbank
• (wo): Stockholm
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/82415
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ