Bayesian estimation

Money in the production function: a new Keynesian DSGE perspective

JEL codes: 
E23, E31, E52
Version Date: 
Dec 2011
Author/s: 
Abstract: 

This paper proposes a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where real money balances enter the production function. By using a Bayesian analysis, our model shows that money is not an omitted input to the production process and rejects the decreasing returns to scale hypothesis.

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The role of money and monetary policy in crisis periods: the Euro area case

JEL codes: 
E00
Version Date: 
Feb 2012
Author/s: 
Abstract: 

In this paper, we test two models of the Eurozone, with a special emphasis on the role of money and monetary policy during crises. The role of separability between money and consumption is investigated further and we analyse the Euro area economy during three different crises: 1992, 2001 and 2007.

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Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

JEL codes: 
C11, C15, E31, E32, E52
Version Date: 
Jun 2007
Abstract: 

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model.

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Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not

JEL codes: 
C11, F41
Version Date: 
Oct 2006
Author/s: 
Abstract: 

Central puzzles in international macroeconomics are why fluctuations of the real exchange rate are so volatile with respect to other macroeconomic variables, and the contradiction of efficient risk-sharing. Several theoretical contributions have evaluated alternative forms of pricing under nominal rigidities along with different asset markets structures to explain real exchange dynamics.

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Has the Transmission Mechanism of European Monetary Policy Changed in the Run-Up to EMU?

JEL codes: 
C11, C33, E52
Version Date: 
Aug 2004
Abstract: 

This Paper studies empirically the transmission mechanism of European monetary policy by means of time-varying, heterogenous coefficient models estimated in a numerical Bayesian fashion.

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