Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach

Journal of Applied Econometrics - Tập 20 Số 2 - Trang 161-183 - 2005
Frank Smets1, Raf Wouters2
1European Central Bank, CEPR and University of Ghent, Belgium
2National Bank of Belgium, Belgium

Tóm tắt

AbstractThis paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974–2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in the type of shocks that affect the two economies, differences in the propagation mechanism of those shocks, or differences in the way the central bank responds to those economic developments. Our main conclusion is that each of these characteristics is remarkably similar across both currency areas. Copyright © 2005 John Wiley & Sons, Ltd.

Từ khóa


Tài liệu tham khảo

10.1017/CBO9780511492372.003

AltigD ChristianoLJ EichenbaumM LindeJ.2002.Technology shocks and aggregate fluctuations. Preliminary version.

BernankeB GertlerM GilchristS.1998.The financial accelerator in a quantitative business cycle framework. NBER Working Paper Series no. 6455.

BoivinJ GiannoniM.2003.Has monetary policy become more effective. NBER Working Paper 9459.

10.1086/426038

10.1016/S0014-2921(98)00016-6

10.1257/jel.37.4.1661

DuporW.2001.Nominal price versus asset price stabilisation. Mimeo.

10.1016/S0304-3932(03)00036-9

FaganG HenryJ MestreR.2001.An area‐wide model (AWM) for the euro area. ECB Working Paper Series no. 42.

FischerJDM.2002.Technology shocks matter. Federal Reserve Bank of Chicago Working Paper 14.

10.1016/j.jmoneco.2004.08.009

10.1257/aer.90.3.367

10.1257/aer.89.1.249

10.1016/S0304-3932(99)00023-9

Gali J, 2001, European inflation dynamics, European Economic Review, 45, 1121, 10.1016/S0014-2921(00)00105-7

GewekeJ.1998.Using simulation methods for Bayesian econometric models: inference development and communication. Mimeo University of Minnesota and Federal Reserve Bank of Minneapolis.

KingRG RebeloS.2000.Resuscitating real business cycles. NBER Working Paper Series 7534.

10.1016/j.euroecorev.2004.09.010

10.1257/aer.90.5.1464

10.1017/CBO9780511492372.004

10.1002/jae.582

Shapiro MD, 1989, NBER Macroeconomics Annual, 1988, 111

10.1162/154247603770383415

SmetsF WoutersR.2003b.Shocks and frictions in US business cycle fluctuations: a Bayesian DSGE approach. Mimeo.

Stock JH, 2000, Handbook of Macroeconomics

StockJ WatsonMW.2002.Has the business cycle changed and why?NBER Working Paper Series no. 9127.

10.1016/0167-2231(93)90009-L

Woodford M, 2003, Interest and Prices

Thông tin
Thông tin xuất bản

Journal of Applied Econometrics

Tập 20 Số 2

161-183

Thông tin tác giả