Money in an estimated business cycle model of the Euro area

• 成果类型: Article
• 署名作者: Andrés, J; López-Salido, JD; Vallés, J
• 署名单位: University of Valencia
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2006.01088.x
• 发表日期: 2006
• 页码: 457-477
• 关键词: monetary-policy; inflation dynamics; habit formation; aggregate; demand; prices

摘要

This article examines the role of money in a small-scale dynamic general equilibrium model of the euro zone estimated by maximum likelihood. The model allows for both intertemporal and intratemporal non-separability in preferences. We find, first, that real balances do not affect the marginal utility of consumption. Second, money demand shocks mainly help to forecast real balances while real shocks explain the bulk of price, output and interest rates fluctuations. Third, the calculation of the natural rate of interest reveals that the evolution of the interest rate is mostly accounted for by the real sources of fluctuations.