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DSGE models and their use at the ECB

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  • Frank Smets

    ()

  • Kai Christoffel
  • Günter Coenen
  • Roberto Motto
  • Massimo Rostagno

Abstract

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Bibliographic Info

Article provided by Spanish Economic Association in its journal SERIEs.

Volume (Year): 1 (2010)
Issue (Month): 1 (March)
Pages: 51-65

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Handle: RePEc:spr:series:v:1:y:2010:i:1:p:51-65

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Related research

Keywords: DSGE models; Central banks; Monetary policy; B4; C5; E32; E50;

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References

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  1. Lawrence J. Christiano & Roberto Motto & Massimo Rostagno, 2004. "The Great Depression and the Friedman-Schwartz Hypothesis," NBER Working Papers 10255, National Bureau of Economic Research, Inc.
  2. Frank Smets & Raf Wouters, 2002. "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research, National Bank of Belgium 35, National Bank of Belgium.
  3. Lombardo, Giovanni & McAdam, Peter, 2012. "Financial market frictions in a model of the euro area," Working Paper Series, European Central Bank 1423, European Central Bank.
  4. Fabio Milani, 2005. "Learning, Monetary Policy Rules, and Macroeconomic Stability," Macroeconomics, EconWPA 0508019, EconWPA.
  5. Fabio Canova & Luca Sala, 2005. "Back to square one: Identification issues in DSGE models," Economics Working Papers 927, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2006.
  6. Smets, Frank & Wouters, Rafael, 2004. "Forecasting with a Bayesian DSGE Model: An Application to the Euro Area," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4749, C.E.P.R. Discussion Papers.
  7. Christoffel, Kai & Coenen, Günter & Warne, Anders, 2008. "The New Area-Wide Model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series, European Central Bank 0944, European Central Bank.
  8. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2001. "Nominal rigidities and the dynamic effects of a shock to monetary policy," Working Paper Series, Federal Reserve Bank of Chicago WP-01-08, Federal Reserve Bank of Chicago.
  9. Ali Dib & Ian Christensen, 2005. "Monetary Policy in an Estimated DSGE Model with a Financial Accelerator," Computing in Economics and Finance 2005, Society for Computational Economics 314, Society for Computational Economics.
  10. Frank Smets & Raf Wouters, 2007. "Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach," Working Paper Research, National Bank of Belgium 109, National Bank of Belgium.
  11. Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and banking in a DSGE model of the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 740, Bank of Italy, Economic Research and International Relations Area.
  12. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2009. "New Keynesian Models: Not Yet Useful for Policy Analysis," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 242-66, January.
  13. Straub, Roland & Jacquinot, Pascal, 2008. "Globalisation and the euro area: simulation based analysis using the New Area Wide Model," Working Paper Series, European Central Bank 0907, European Central Bank.
  14. Collard, Fabrice & Dellas, Harris & Smets, Frank, 2010. "Imperfect information and the business cycle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7643, C.E.P.R. Discussion Papers.
  15. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, Elsevier, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393 Elsevier.
  16. Frank Smets & Rafael Wouters, 2005. "Bayesian New Neoclassical Synthesis (NNS) Models: Modern Tools for Central Banks," Journal of the European Economic Association, MIT Press, MIT Press, vol. 3(2-3), pages 422-433, 04/05.
  17. Matteo Iacoviello, 2005. "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle," American Economic Review, American Economic Association, American Economic Association, vol. 95(3), pages 739-764, June.
  18. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(1), pages 17-34, January.
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Citations

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Cited by:
  1. Jordi Galí & Frank Smets & Rafael Wouters, 2011. "Unemployment in an Estimated New Keynesian Model," Working Papers 541, Barcelona Graduate School of Economics.
  2. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," IMFS Working Paper Series 59, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  3. Jan Vlcek & Scott Roger, 2012. "Macrofinancial Modeling At Central Banks," IMF Working Papers 12/21, International Monetary Fund.
  4. Branimir Jovanovic, 2012. "How Policy Actions Affect Short-term Post-crisis Recovery?," CEIS Research Paper 253, Tor Vergata University, CEIS, revised 05 Oct 2012.
  5. Wolters, Maik H., 2011. "Forecasting under Model Uncertainty," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48723, Verein für Socialpolitik / German Economic Association.

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