Comparing Shocks and Frictions in Us and Euro Area Business Cycles: A Bayesian DSGE Approach
By Frank Smets, Raf Wouters. Social Science Research Network, 2004
738 citations recorded by the source corpus.
This 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 those characteristics is remarkably similar across both currency areas.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/41a77ad0d4c19b61fad8ebf21ccb0e0ab14dc5c7
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Citations in the corpus
- Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through (2007, neutral): “In contrast, Smets and Wouters (2003, 2005) obtain a much higher degree of estimated price stickiness in a model without the working capital channel.”
- Financial Factors in Economic Fluctuations (2010, neutral): “[95] Smets, Frank and Raf Wouters, 2005, "Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach," Journal of Applied Econometrics, 20(1), January.”
- Monetary policy effects: new evidence from the Italian flow-of-funds (2008, neutral): “…financial variables displayed a lot of volatility and market mechanisms experienced a substantial deal of frictions (Justiniano and Primiceri, forthcoming; Smets and Wouters, 2005, 22One would expect an increase in government deficit due to higher interest payments on the public outstanding debt.”
- The External Finance Premium and the Macroeconomy: Us Post-Wwii Evidence (2008, neutral): “These variables constitute the set of observables in Smets and Wouters (2005).”