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Stock market wealth effects in an estimated DSGE model for Hong Kong

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Author Info
Funke, Michael () (BOFIT)
Paetz , Michael (BOFIT)
Pytlarczyk, Ernest (BOFIT)

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Abstract

This paper develops and estimates an open economy dynamic stochastic general equilibrium (DSGE) model of the Hong Kong economy. The model features short-run price rigidities generated by monopolistic competition and staggered reoptimisation. The model is enhanced with wealth effects due to stock price dynamics, which we believe to be important. For this reason we adopt a perpetual youth approach. Model parameters and unobserved components are estimated with a Bayesian maximum likelihood procedure, conditional on prior information concerning the values of parameters.

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File URL: http://www.suomenpankki.fi/NR/rdonlyres/EEC44BAB-56A3-413B-A9A6-B778EA9421F8/0/DP1409.pdf
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Publisher Info
Paper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 14/2009.

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Length: 43 pages
Date of creation: 21 Oct 2009
Date of revision:
Handle: RePEc:hhs:bofitp:2009_014

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Related research
Keywords: DSGE models; wealth effects; open economy; Hong Kong;

Find related papers by JEL classification:
D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving
E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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This page was last updated on 2009-11-27.

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