Hostname: page-component-586b7cd67f-r5fsc Total loading time: 0 Render date: 2024-11-22T21:24:00.433Z Has data issue: false hasContentIssue false
  • English
  • Français

EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA

Published online by Cambridge University Press:  01 April 2008

MALIN ADOLFSON ,
STEFAN LASÉEN ,
JESPER LINDÉ  and
MATTIAS VILLANI
MALIN ADOLFSON*
Affiliation:
Sveriges Riksbank
STEFAN LASÉEN
Affiliation:
Sveriges Riksbank
JESPER LINDÉ
Affiliation:
Sveriges Riksbank and CEPR
MATTIAS VILLANI
Affiliation:
Sveriges Riksbank and Stockholm University
*
Address correspondence to: Malin Adolfson, Research Department, Sveriges Riksbank, SE-103 37 Stockholm, Sweden; e-mail: [email protected].
Get access Rights & Permissions [Opens in a new window]

Abstract

In this paper, we compare the empirical properties of closed- and open-economy DSGE models estimated on Euro area data. The comparison is made along several dimensions; we examine the models in terms of their marginal likelihoods, forecasting performance, variance decompositions, and their transmission mechanisms of monetary policy.

Keywords

Open EconomyClosed EconomyDSGE ModelBayesian Inference
Type
ARTICLES
Information
Macroeconomic Dynamics , Volume 12 , Supplement S1: Dynamic Macroeconomic Theory , April 2008 , pp. 2 - 19
Copyright
Copyright © Cambridge University Press 2008

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Adolfson, Malin, Laséen, Stefan, Lindé, Jesper, and Villani, Mattias (2007) Bayesian estimation of and open economy DSGE model with incomplete pass-through. Journal of International Economics 72, 481–511.CrossRefGoogle Scholar
Altig, David, Christiano, Lawrence, Eichenbaum, Martin, and Jesper, Lindé (2003) The Role of Monetary Policy in the Propagation of Technology Shocks. Manuscript, Northwestern University.Google Scholar
Altig, David, Christiano, Lawrence, Eichenbaum, Martin, and Lindé, Jesper (2004) Firm-Specific Capital, Nominal Rigidities and the Business Cycle. Working paper 176, Sveriges Riksbank.Google Scholar
Calvo, Guillermo (1983) Staggered prices in a utility maximizing framework. Journal of Monetary Economics 12, 383–398.CrossRefGoogle Scholar
Christiano, Lawrence, Eichenbaum, Martin, and Evans, Charles (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113 (1), 1–45.CrossRefGoogle Scholar
Erceg, Christopher, Henderson, Dale, and Levin, Andrew (2000) Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46 (2), 281–313.CrossRefGoogle Scholar
Fagan, Gabriel, Henry, Jerome, and Mestre, Ricardo (2005) An area-wide model (AWM) for the euro area. Economic Modelling 22 (1), 39–59.CrossRefGoogle Scholar
Galì, Jordi and Rabanal, Pau (2004) Technology shocks and aggregate fluctuations: How well does the RBC model fit postwar U.S. data? In Gertler, Mark and Rogoff, Kenneth (eds.), NBER Macroeconomics Annual 2004, pp. 225–288. Cambridge, MA: MIT Press.Google Scholar
Lindé, Jesper (2003) Comment on “The output composition puzzle: A difference in the monetary transmission mechanism in the Euro area and U.S.” by Angeloni, I., Kasyap, A.K., Mojon, B., and Terlizzese, D.. Journal of Money, Credit and Banking 35 (6), 1309–1318.CrossRefGoogle Scholar
Lundvik, Petter (1992) Foreign demand and domestic business cycles: Sweden 1891–1987. In Business Cycles and Growth, pp. 61–96. Monograph Series No. 22, Institute for International Economic Studies, Stockholm University.Google Scholar
Schmitt-Grohé, Stephanie and Uribe, Martìn (2001) Stabilization policy and the cost of dollarization. Journal of Money, Credit, and Banking 33 (2), 482–509.CrossRefGoogle Scholar
Smets, Frank and Wouters, Raf (2002) Openness, imperfect exchange rate pass-through and monetary policy. Journal of Monetary Economics 49 (5), 913–940.CrossRefGoogle Scholar
Smets, Frank and Wouters, Raf (2003) An estimated stochastic dynamic general equilibrium model of the Euro area. Journal of the European Economic Association 1 (5), 1123–1175.CrossRefGoogle Scholar
Smets, Frank and Wouters, Raf (2004) Forecasting with a Bayesian DSGE model: An Application to the Euro area. Journal of Common Market Studies 42 (4), 841–867.CrossRefGoogle Scholar