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An Econometric Analysis of a Calibrated Macroeconomic Model for the Dominican Republic: A Closer Look into Monetary Policy

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  • Paola Mariell Brens Ortega

Abstract

The aim of this paper is to quantify the effects of an unanticipated monetary policy shock in key macroeconomic variables for the Dominican Republic. The modelling framework in the paper is based on Del Negro and Schorfheide (2004) DSGE-VAR procedure. The procedure allows the addition of theory to empirical models, characterized by a high degree of data fit. Given that the Dominican Republic’s key economic variables time series have a relative short span; this procedure represents a more suitable framework for monetary policy macroeconomic modelling as it incorporates policymaker's initial belief to the observed data. The results are aligned with macroeconomic theory and with previous empirical papers for the Dominican Republic that measure the impact of a monetary policy shock in output growth and in inflation.

Suggested Citation

  • Paola Mariell Brens Ortega, 2020. "An Econometric Analysis of a Calibrated Macroeconomic Model for the Dominican Republic: A Closer Look into Monetary Policy," Documentos de Trabajo 18253, The Latin American and Caribbean Economic Association (LACEA).
    • Handle: RePEc:col:000518:018253
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    File URL: http://vox.lacea.org/files/Working_Papers/lacea_wps_0049_brens.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    DSGE-VAR; Monetary Policy; New Keynesian Models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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