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An Estimated New Keynesian Model for Romania

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  • Caraiani, Petre

    (Institute for Economic Forecasting, Romanian Academy)

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    Abstract

    In this paper I estimate a New Keynesian Model with sticky prices for the Romanian economy for the period 1991-2002, using quarterly data. The estimation was made in Dynare using the Bayesian approach. The degree of the price stickiness is moderate. The model makes good predictions in terms of correlations and standard deviations. The impulse response functions with respect to the monetary shock show moderate and persistent responses.

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    Bibliographic Info

    Article provided by Institute for Economic Forecasting in its journal Romanian Journal of Economic Forecasting.

    Volume (Year): 4 (2007)
    Issue (Month): 4 (December)
    Pages: 114-123

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    Handle: RePEc:rjr:romjef:v:4:y:2007:i:4:p:114-123

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    Related research

    Keywords: business cycle; New Keynesians; monetary policy; DSGE models; Bayesian Econometrics.;

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    References

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    1. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2000. "Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem?," Econometrica, Econometric Society, vol. 68(5), pages 1151-1180, September.
    2. Fuhrer, Jeff & Moore, George, 1995. "Inflation Persistence," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 127-59, February.
    3. Woodford, Michael, 1999. "Optimal monetary policy inertia," CFS Working Paper Series 1999/09, Center for Financial Studies (CFS).
    4. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
    5. Richard Clarida & Jordi Galí & Mark Gertler, 1997. "The science of monetary policy: A new Keynesian perspective," Economics Working Papers 356, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 1999.
    6. Galí, Jordi, 2002. "New Perspectives on Monetary Policy, Inflation and the Business Cycle," CEPR Discussion Papers 3210, C.E.P.R. Discussion Papers.
    7. Woodford, Michael, 2000. "Optimal Monetary Policy Inertia," Seminar Papers 666, Stockholm University, Institute for International Economic Studies.
    8. Jeff Fuhrer, 2000. "Optimal Monetary Policy In A Model With Habit Formation," Computing in Economics and Finance 2000 306, Society for Computational Economics.
    9. John Y. Campbell, 1992. "Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model," NBER Working Papers 4188, National Bureau of Economic Research, Inc.
    10. Bennett T. McCallum & Edward Nelson, . "An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis," GSIA Working Papers 1997-71, Carnegie Mellon University, Tepper School of Business.
    11. Juillard, Michel, 1996. "Dynare : a program for the resolution and simulation of dynamic models with forward variables through the use of a relaxation algorithm," CEPREMAP Working Papers (Couverture Orange) 9602, CEPREMAP.
    12. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
    13. Uhlig, H., 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper 1995-97, Tilburg University, Center for Economic Research.
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    Cited by:
    1. Caraiani, Petre, 2008. "An Analysis Of Domestic And External Shocks On Romanian Economy Using A Dsge Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 100-114, September.

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