Monetary Policy in an Estimated DSGE Model with a Financial Accelerator
Author : Bank of Canada
Publisher :
Page : 38 pages
File Size : 43,62 MB
Release : 2006
Category : Business cycles
ISBN :
An Estimated DSGE Model with Financial Accelerator
Author : Hager Ben Romdhane
Publisher :
Page : pages
File Size : 31,69 MB
Release : 2020
Category :
ISBN :
Book Description
This paper estimates an open economy DSGE model with financial accelerator à la Bernanke et al. (1999)2, enriched with wage rigidities and imperfect exchange rate pass through. The objective of this paper is to assess the importance of financial frictions and their role in the transmission of transitory shocks in the Tunisian Economy. The model is estimated by Bayesian technics via Metropolis Hasting algorithm. Using Tunisian data, we obtain an estimate for the external risk premium, indicating the importance of the financial accelerator and the potential balance sheet vulnerabilities for macroeconomic fluctuations. Furthermore, results of the impulse responses functions model support that the inclusion of the financial accelerator magnifies the impact of shocks thereby increasing real fluctuations.
The Role of Financial Frictions During the Crisis
Author : Rossana Merola
Publisher :
Page : 40 pages
File Size : 49,36 MB
Release : 2013
Category :
ISBN :
Book Description
DSGE Models and Central Banks
Author : Camilo Ernesto Tovar Mora
Publisher :
Page : 36 pages
File Size : 29,40 MB
Release : 2008
Category : Banks and banking, Central
ISBN :
Book Description
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and forecasting. This paper reviews some issues and challenges surrounding the use of these models at central banks. It recognises that they offer coherent frameworks for structuring policy discussions. Nonetheless, they are not ready to accomplish all that is being asked of them. First, they still need to incorporate relevant transmission mechanisms or sectors of the economy; second, issues remain on how to empirically validate them; and finally, challenges remain on how to effectively communicate their features and implications to policy makers and to the public. Overall, at their current stage DSGE models have important limitations. How much of a problem this is will depend on their specific use at central banks.
An Estimated Small Open Economy Model of the Financial Accelerator
Author : Selim Elekdag
Publisher : International Monetary Fund
Page : 34 pages
File Size : 20,81 MB
Release : 2005-03
Category : Business & Economics
ISBN :
Book Description
This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to evaluate the importance of balance sheet vulnerabilities combined with the presence of the financial accelerator for emerging market countries. Using Korean data, we obtain an estimate for the external risk premium, indicating the importance of the financial accelerator and potential balance sheet vulnerabilities for macroeconomic fluctuations. Furthermore, our estimates of the Taylor rule imply a strong preference to smooth both exchange rate and interest rate fluctuations.
Farms, Fertiliser, and Financial Frictions
Author : Mr.Sébastien Walker
Publisher : International Monetary Fund
Page : 52 pages
File Size : 11,63 MB
Release : 2017-05-05
Category : Business & Economics
ISBN : 1475595778
Book Description
This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model with a financial accelerator which captures key features of low-income countries (LICs). The predominance of supply shocks in LICs poses distinct challenges for policymakers, given the negative correlation between inflation and the output gap in the case of supply shocks. Our results suggest that: (1) in the face of a supply-side shock, the most desirable interest rate rule involves simply targeting current inflation and smoothing the policy interest rate; and (2) ignoring financial frictions when evaluating policy rules can be particularly problematic in LICs, where financial frictions loom especially large.
Financial Crises in DSGE Models
Author : Mr.Jaromir Benes
Publisher : International Monetary Fund
Page : 59 pages
File Size : 15,14 MB
Release : 2014-04-04
Category : Business & Economics
ISBN : 1475524986
Book Description
This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of financial cycles. A companion paper studies the simulation properties of MAPMOD.
An Estimated Model with Macrofinancial Linkages for India
Author : Magnus Saxegaard
Publisher : International Monetary Fund
Page : 47 pages
File Size : 27,15 MB
Release : 2010-01-01
Category : Business & Economics
ISBN : 1451918690
Book Description
This paper develops a small open economy dynamic stochastic general-equilibrium model with macrofinancial linkages. The model includes a financial accelerator--entrepreneurs are assumed to partially finance investment using domestic and foreign currency debt--to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. We use Bayesian estimation techniques to estimate the model using India data. The model is used to assess the importance of the financial accelerator in India and the optimality of monetary policy.
The Implications of Financial Frictions and Imperfect Knowledge in the Estimated DSGE Model of the U.S. Economy
Author : Yuliya Rychalovská
Publisher :
Page : 43 pages
File Size : 28,81 MB
Release : 2013
Category :
ISBN : 9788073442781
Book Description
Financial Frictions in Data
Author : Marzie Taheri Sanjani
Publisher : International Monetary Fund
Page : 33 pages
File Size : 33,87 MB
Release : 2014-12-24
Category : Business & Economics
ISBN : 1484336550
Book Description
This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish countercyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default risk shocks.
