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Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through

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Author Info
Adolfson, Malin () (Research Department, Central Bank of Sweden)
Laséen, Stefan () (Monetary Policy Department, Central Bank of Sweden)
Lindé, Jesper () (Research Department, Central Bank of Sweden)
Villani, Mattias () (Research Department, Central Bank of Sweden)

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Abstract

In this paper we develop a dynamic stochastic general equilibrium (DSGE) model for an open economy, and estimate it on Euro area data using Bayesian estimation techniques. The model incorporates several open economy features, as well as a number of nominal and real frictions that have proven to be important for the empirical fit of closed economy models. The paper offers: i) a theoretical development of the standard DSGE model into an open economy setting, ii) Bayesian estimation of the model, including assesments of the relative importance of various shocks and frictions for explaining the dynamic development of an open economy, and iii) an evaluation of the model's empirical properties using standard validation methods.

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Publisher Info
Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 179.

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Length: 82 pages
Date of creation: 01 Mar 2005
Date of revision:
Handle: RePEc:hhs:rbnkwp:0179

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Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
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Related research
Keywords: DSGE model; Open economy; Monetary Policy; Bayesian Inference; Business cycle;

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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