Bayesian estimation of an open economy DSGE model with incomplete pass-through

• 成果类型: Article
• 署名作者: Adolfson, Malin; Laseen, Stefan; Linde, Jesper; Villani, Mattias
• 署名单位: Sveriges Riksbank; Stockholm University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2007.01.003
• 发表日期: 2007
• 页码: 481-511
• 关键词: DSGE model; open economy; monetary policy; nominal rigidities; Bayesian inference; business cycle

摘要

In this paper, we develop a dynamic stochastic general equilibrium (DSGE) model for an open economy, and estimate it on Euro area data using Bayesian estimation techniques. The model incorporates several open economy features, as well as a number of nominal and real frictions that have proven to be important for the empirical fit of closed economy models. The paper offers: i) a theoretical development of the standard DSGE model into an open economy setting, ii) Bayesian estimation of the model, including assessments of the relative importance of various shocks and frictions for explaining the dynamic development of an open economy, and iii) an evaluation of the model's empirical properties using standard validation methods. (c) 2007 Elsevier B.V All rights reserved.