QUEST III: an estimated DSGE model of the euro area with fiscal and monetary policy
AbstractThis paper develops a DSGE model for an open economy and estimates it on euro area data using Bayesian estimation techniques. The model features nominal and real frictions, as well as financial frictions in the form of liquidity constrained households. The model incorporates active monetary and fiscal policy rules (for government consumption, investment, transfers and wage taxes) and can be used to analyse the effectiveness of stabilisation policies. To capture the unit root character of macroeconomic time-series we allow for stochastic trend in TFP, but instead of filtering data prior to estimation, we estimate the model in growth rates and stationary nominal ratios.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission in its series European Economy - Economic Papers with number 335.
Length: 58 pages
Date of creation: Jul 2008
Date of revision:
Contact details of provider:
Postal: Coomunivcations Unit, B-1049 Bruxelles / Brussels
Fax: +32 2 298.08.23
Web page: http://ec.europa.eu/economy_finance/index_en.htm
More information through EDIRC
QUEST; QUEST model; DGSE; DSGE modelling; fiscal policy; stabilisation policies; euro area; Ratto ; Roeger ; Jan in 't Veld;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michel Juillard & Ondrej Kamenik & Michael Kumhof & Douglas Laxton, 2006. "Measures of Potential Output from an Estimated DSGE Model of the United States," Working Papers 2006/11, Czech National Bank, Research Department.
- Fatás, Antonio & Mihov, Ilian, 2002.
"The Case for Restricting Fiscal Policy Discretion,"
CEPR Discussion Papers
3277, C.E.P.R. Discussion Papers.
- Coenen, Günter & Straub, Roland, 2005.
"Does government spending crowd in private consumption? Theory and empirical evidence for the euro area,"
Working Paper Series
0513, European Central Bank.
- Günter Coenen & Roland Straub, 2005. "Does Government Spending Crowd in Private Consumption? Theory and Empirical Evidence for the Euro Area," International Finance, Wiley Blackwell, vol. 8(3), pages 435-470, December.
- GÃ¼nter Coenen & Roland Straub, 2005. "Does Government Spending Crowd in Private Consumption? Theory and Empirical Evidence for the Euro Area," IMF Working Papers 05/159, International Monetary Fund.
- Olivier Blanchard & Roberto Perotti, 1999.
"An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output,"
NBER Working Papers
7269, National Bureau of Economic Research, Inc.
- Olivier Blanchard & Roberto Perotti, 2002. "An Empirical Characterization Of The Dynamic Effects Of Changes In Government Spending And Taxes On Output," The Quarterly Journal of Economics, MIT Press, vol. 117(4), pages 1329-1368, November.
- Artis, Michael J & Onorante, Luca, 2006.
"The Economic Importance of Fiscal Rules,"
CEPR Discussion Papers
5684, C.E.P.R. Discussion Papers.
- Julia Darby & Jacques Melitz, 2008. "Social spending and automatic stabilizers in the OECD," Economic Policy, CEPR & CES & MSH, vol. 23, pages 715-756, October.
- Lorenzo Forni & Libero Monteforte, 2006. "The estimated general equilibrium effects of fiscal policy: the case of the euro area," Computing in Economics and Finance 2006 142, Society for Computational Economics.
- Janos Varga & Jan in 't Veld, 2009. "A model-based assessment of the macroeconomic impact of EU structural funds on the new Member States," European Economy - Economic Papers 371, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
- Werner Roeger & Janos Varga & Jan in 't Veld, 2010. "How to close the productivity gap between the US and Europe: A quantitative assessment using a semi-endogenous growth model," European Economy - Economic Papers 399, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
- Péter Halmai & Viktória Vásáry, 2012. "Convergence crisis: economic crisis and convergence in the European Union," International Economics and Economic Policy, Springer, vol. 9(3), pages 297-322, September.
- Francesca D'Auria & Andrea Pagano & Marco Ratto & Janos Varga, 2009. "A comparison of structural reform scenarios across the EU member states - Simulation-based analysis using the QUEST model with endogenous growth," European Economy - Economic Papers 392, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ECFIN INFO).
If references are entirely missing, you can add them using this form.