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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Sveriges Riksbank Working Paper Series ; No. 179

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Adolfson, Malin ; Laséen, Stefan ; Lindé, Jesper ; Villani, Mattias
• Event: Veröffentlichung
• (who): Sveriges Riksbank
• (where): Stockholm
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/82415
• Last update: 10.03.2025, 11:44 AM CET