Results 71 to 80 of about 7,201 (228)

Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches

International Journal of Financial Studies, 2020
This article aims to examine the monetary policy rule under an inflation targeting in Mongolia with a focus on its conformity to the Taylor principle, through two kinds of approaches: a monetary policy reaction function by the generalized-method-of ...
Hiroyuki Taguchi, Ganbayar Gunbileg
doaj   +1 more source

Exchange rate forecasting with DSGE models [PDF]

Journal of International Economics, 2016
Abstract We run an exchange rate forecasting “horse race”, which highlights that three principles hold. First, forecasts should not replicate the high volatility of exchange rates observed in sample. Second, models should exploit the mean reversion of the real exchange rate over long horizons. Third, they should account for the international price co-
Ca' Zorzi, Michele, Kolasa, Marcin, Rubaszek, Michał   +2 more
openaire   +2 more sources

Banking with Inside Money: An Efficiency Analysis

Journal of Money, Credit and Banking, EarlyView.
Abstract We show that banks do not decentralize the first best in a nominal Diamond–Dybvig economy with inside money. Furthermore, state‐contingent deposit contracts do not expand the consumption possibility set to include the first best either. Central banks can improve welfare but only for savers and only with unconventional monetary policy. Finally,
DAVID RIVERO, HUGO RODRÍGUEZ MENDIZÁBAL   +1 more
wiley   +1 more source

Central Bank Digital Currency with Collateral‐Constrained Banks

Journal of Money, Credit and Banking, EarlyView.
Abstract We analyze risks to bank intermediation following the introduction of a central bank digital currency (CBDC) competing with commercial bank deposits as households' source of liquidity. We revisit the equivalence of payment systems result, introducing a collateral constraint on banks' borrowing from the central bank.
HANFENG CHEN, MARIA ELENA FILIPPIN
wiley   +1 more source

DSGE Model-Based Forecasting of Non-modelled Variables [PDF]

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables).
Maxym Kryshko, Keith Sill, Frank Schorfheide   +2 more
core  

Effect of Financial Frictions on Monetary Policy Conduct: A Comparative Analysis of DSGE Models with and without Financial Frictions

Economies
In this study, we explored the impact of bank leverage and financial frictions on the transmission of real and financial shocks. Two new Keynesian dynamic stochastic general equilibrium (DSGE) models, with and without financial frictions, were employed ...
Salha Ben Salem, Sonia Sayari, Moez Labidi   +2 more
doaj   +1 more source

Demographic Dynamics and International Trade: Stylized Facts and Theoretical Insights

Journal of Economic Surveys, EarlyView.
ABSTRACT Demographic change within a country has economic repercussions for other countries through international transactions. Ongoing shifts in population size and age structure across countries have important implications for international trade, operating through changes in market size, consumption preferences, and labor supply.
Kumuthini Sivathas
wiley   +1 more source

Bayesian Estimation of a DSGE Model with Inventories [PDF]

This paper introduces inventories in an otherwise standard Dynamic Stochastic General Equilibrium Model (DSGE) of the business cycle. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate
Marcel Foerster
core  

Some Notes on Historical, Theoretical, and Empirical Background of DSGE Models

Review of Economic Perspectives, 2014
In this paper I present the historical, theoretical and empirical background of DSGE models. I show that the fundament of these models lies in optimizing agents framework and argue which impulses fueled the development of DSGE models.
Slanicay Martin
doaj   +1 more source

Output Gap Uncertainty, Sovereign Risk Premia and the Contingent Importance of the Bond Vigilantes

Metroeconomica, EarlyView.
ABSTRACT This paper investigates the implications of output gap uncertainty for the conduct of fiscal policy using a small‐scale macroeconomic model with boundedly rational agents. Specifically, agents use an adaptive updating mechanism to approximate the unobservable potential output that suffers, similarly to the Hodrick and Prescott (1997) filter ...
Christian R. Proaño, Jonas Dix
wiley   +1 more source