An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area

By Frank Smets, Raf Wouters. Social Science Research Network, 2002

788 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ed7afce63304dfd09cc23df92275a0d19b5504dc

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

Citations in the corpus

The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009, positive): “…model closely follows the standard speci cation of these models in the literature (e.g., Woodford, 2003, Christiano, Eichenbaum, and Evans, 2005, Smets and Wouters, 2003) and, notably, contains an important role for nominal rigidities in order to endogenously describe the behavior of in ation,…”
Inflation Dynamics with Search Frictions: A Structural Econometric Analysis (2008, neutral): “π̂t = γπ̂t−1 + κ 1− βρmc c mct + πt, (27)”
Money and the natural rate of interest: structural estimates for the United States and the Euro area (2007, neutral): “Smets and Wouters (2003), in estimating a DSGE model of the euro area by Bayesian maximum likelihood, exclude money from the list of variables modeled.”
The New Area-Wide Model of the Euro Area: A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis (2008, positive): “The precise parametrisation of the prior distributions follows Smets and Wouters (2003), except for the prior regarding the response coefficients on the level of the output gap.”
Business Cycle Transmission from the US to Germany: A Structural Factor Approach (2007, neutral): “…aggregate supply-aggregate demand framework, but also with more complex models like the dynamic stochastic general equilibrium model developed by Smets and Wouters (2002) which accounts for nominal rigidities.21 In such a model, a productivity shock raises production, lowers marginal cost and…”
The Phillips curve under state-dependent pricing (2007, neutral): “Smets, F and Wouters, R (2003), ‘An estimated stochastic dynamic general equilibrium model of the euro area’,Journal of the European Economic Association, Vol. 1, pages 1,123–75.”
DSGE Models and Central Banks (2009, positive): “The most common is to consider seriously the full implications of the model (plus add sufficient number of shocks) and fit the data (ie the Smets and Wouters 2003, 2007).”
Optimal Sticky Prices Under Rational Inattention (2009, neutral): “The equilibrium aggregate price level is the fixed point of the mapping between the guess (26) and the actual law of motion (37).”
A Bayesian Look at New Open Economy Macroeconomics (2005, positive): “Structural empirical modelling is subject to the following tension: small, stylized models can lead to misspecification, whereas large-scale models with many exogenous shocks, e.g. Smets and Wouters (2003), may introduce identification problems and computational difficulties.”
Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2010, neutral): “…on SVARs have been widely used for policy analysis and to provide stylized facts for dynamic stochastic general equilibrium (DSGE) models (see, for example, Gal´ı, 1999; Smets and Wouters, 2003; Fern´andez-Villaverde and Rubio-Ram ´ irez, 2004; Christiano et al. , 2005; Sims and Zha, 2006 a ).”
Investigating inflation persistence across monetary regimes (2008, neutral): “3See in particular Smets and Wouters (2003) and Smets and Wouters (2007).”
Tax Reform and Labour-Market Performance in the Euro Area: A Simulation-Based Analysis Using the New Area-Wide Model (2008, neutral): “…in developing micro-founded DSGE models suitable for quantitative policy analysis, as exemplified by the closed-economy model of the euro area by Smets and Wouters (2003), the International Monetary Fund’s Global Economy Model (GEM; cf. Bayoumi, Laxton and Pesenti, 2004) or the Federal Reserve…”
Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area (2013, neutral): “Overall, these probabilities are lower than other studies of the euro area like Smets and Wouters (2003).”
On the Fit and Forecasting Performance of New Keynesian Models (2005, neutral): “The final goods producers are perfectly competitive firms that buy intermediate goods, combine them to the final product Yt, and resell the final good to consumers.”