An Estimated DSGE Model for the German Economy within the Euro Area
By Ernest Pytlarczyk. Social Science Research Network, 2005
113 citations recorded by the source corpus.
This paper presents an estimated DSGE model for the European Monetary Union. Our approach, contrary to the previous studies, accounts for heterogeneity within the euro area. In the estimation we utilize disaggregated information, employing single country data, along with the aggregated EMU by Fagan et. al (2001). We also contribute to the literature by proposing a strategy for consistent estimation of the currency union model, using information available prior to the adoption of the single currency and afterwards. This approach requires the determination of two separate data generating processes - here these are theoretical DSGE models - corresponding to both current and historical monetary regimes. We emphasize the use of regime-switching models in the DSGE framework (in our case the threshold is known exactly and the switch is permanent). The approach is illustrated by developing a simple two-region DSGE model, with a particular focus on analyzing the German economy within EMU, and its Bayesian estimation on the sample 1980:q1- 2003:q4. Moreover, the paper offers: (i) a robustness check of the estimation results with respect to the alternative data approaches and various restrictions imposed on the model's structure (ii) assesments of the relative importance of various shocks and frictions for explaining the model dynamics (iii) an evaluation of the model's empirical properties
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/480b638a4c9682a2124e240cae1ae62a52760c09
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
Citations in the corpus
- Analysing DSGE Models with Global Sensitivity Analysis (2008, background): “2000; Smets and Wouters 2003; Ireland 2004; Adolfson et al. 2005; Coenen and Straub 2005; Lubik and Schorfheide 2007, 2005; Pytlarczyk 2005; Juillard et al. 2006).”