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

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Author Info
Le, Vo Phuong Mai () (Cardiff Business School)
Meenagh, David () (Cardiff Business School)
Minford, Patrick () (Cardiff Business School)
Wickens, Michael

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Abstract

We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price ridigity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole rejected. Howerver it is accepted for particular features of the data, such as output and (marginally) inflation behaviour. The model highlights a lack of spillovers between the US and the EU.

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File URL: http://www.cardiff.ac.uk/carbs/econ/workingpapers/papers/E2009_3.pdf
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Publisher Info
Paper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2009/3.

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Length: 50 pages
Date of creation: Mar 2009
Date of revision: Jun 2009
Handle: RePEc:cdf:wpaper:2009/3

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Related research
Keywords: Bootstrap; Open economy model; DGSE; VAR; New Keynesian; New Classical; indirect inference; Wald statistic;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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This page was last updated on 2009-11-24.

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