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Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference

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  • Vo Le
  • David Meenagh
  • Patrick Minford

    ()

  • Michael Wickens

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File URL: http://hdl.handle.net/10.1007/s11079-009-9141-9
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Bibliographic Info

Article provided by Springer in its journal Open Economies Review.

Volume (Year): 21 (2010)
Issue (Month): 1 (February)
Pages: 23-44

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Handle: RePEc:kap:openec:v:21:y:2010:i:1:p:23-44

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Web page: http://www.springerlink.com/link.asp?id=100323

Related research

Keywords: Bootstrap; Open economy model; DSGE; VAR; New Keynesian; New Classical; Indirect inference ; Wald statistic; C12; C32; C52; E1;

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References

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  1. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2008. "How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference," Cardiff Economics Working Papers E2008/32, Cardiff University, Cardiff Business School, Economics Section, revised Jul 2011.
  2. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  3. Adjemian, Stéphane & Darracq Pariès, Matthieu & Smets, Frank, 2008. "A quantitative perspective on optimal monetary policy cooperation between the US and the euro area," Working Paper Series 0884, European Central Bank.
  4. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad T., 2007. "Euler equations and money market interest rates: A challenge for monetary policy models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(7), pages 1863-1881, October.
  5. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, MIT Press, vol. 1(5), pages 1123-1175, 09.
  6. Minford, Patrick, 2009. "The Banking Crisis - A Rational Interpretation," Cardiff Economics Working Papers E2009/10, Cardiff University, Cardiff Business School, Economics Section.
  7. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, Econometric Society, vol. 44(1), pages 43-52, January.
  8. Gregory, Allan W & Smith, Gregor W, 1991. "Calibration as Testing: Inference in Simulated Macroeconomic Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 9(3), pages 297-303, July.
  9. Wickens, Michael R, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 49(1), pages 55-67, January.
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Citations

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Cited by:
  1. Robert Kollmann, 2013. "Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 45(s2), pages 159-195, December.
  2. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Ou, Zhirong, 2013. "What causes banking crises? An empirical investigation for the world economy," Cardiff Economics Working Papers E2013/3, Cardiff University, Cardiff Business School, Economics Section, revised May 2013.
  3. Meenagh, David & Minford, Patrick & Nowell, Eric & Sofat, Prakriti, 2010. "Can a real business cycle model without price and wage stickiness explain UK real exchange rate behaviour?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(6), pages 1131-1150, October.

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