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Simulation, estimation and welfare implications of monetary policies in a 3-country NOEM model

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Author Info
Joseph Plasmans () (Department of Economics, University of Antwerp)
Tomasz Michalak () (Department of Economics, University of Antwerp)
Jorge Fornero () (Department of Economics, University of Antwerp)

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Abstract

In this paper we derive a microfounded macro New Keynesian model for open economies, be them large or small. We consider habit formation in consumption, sectoral linkages, domestic and foreign governments, tradable and non-tradable final and intermediate goods and imperfect pass-through in these sectors. Sticky nominal prices and wages are modeled in a Calvo way. The model economy is composed of a continuum of infinitely-lived consumers and producers for three regions (countries). Numerical simulations and econometric estimations are presented with a focus on a small open economy member of the EMU. Welfare implications of the involved price and wage rigidities are discussed

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Paper provided by National Bank of Belgium in its series Research series with number 200610-6.

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Length: 74 pages
Date of creation: Oct 2006
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Handle: RePEc:nbb:reswpp:200610-6

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Related research
Keywords: New Keynesian open economy model; tradable and non-tradable sectors; final and intermediate goods; monetary policy rules; numerical simulations; Bayesian estimation; welfare implications;

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Find related papers by JEL classification:
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
D21 - Microeconomics - - Production and Organizations - - - Firm Behavior
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
P24 - Economic Systems - - Socialist Systems and Transition Economies - - - National Income, Product, and Expenditure; Money; Inflation

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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.:
  1. Himmelberg, Charles P. & Hubbard, R. Glenn & Love, Inessa, 2002. "Investor protection, ownership, and the cost of capital," Policy Research Working Paper Series 2834, The World Bank. [Downloadable!]
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    Other versions:
  4. Grégory de Walque, 2004. "Voting on pensions: a survey," Research series 200410-2, National Bank of Belgium. [Downloadable!]
    Other versions:
  5. Catherine Fuss & Philip Vermeulen, 2006. "The response of firms\u2019 investment and financing to adverse cash flow shocks : the role of bank relationships," Research series 200607-1, National Bank of Belgium. [Downloadable!]
  6. Johan Devriese & Janet Mitchell, 2005. "Liquidity risk in securities settlement," Research series 200507-2, National Bank of Belgium. [Downloadable!]
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  7. Stephen J. Turnovsky, 2000. "Growth in an open economy: some recent developments," Research series 200005-1, National Bank of Belgium. [Downloadable!]
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  8. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004. "Does Financial Liberalization Spur Growth?," Research series 200405-9, National Bank of Belgium. [Downloadable!]
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  9. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Research series 200509-1, National Bank of Belgium. [Downloadable!]
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  10. M. Dossche & G. Everaert, 2005. "Measuring inflation persistence: a structural time series approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/340, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
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  11. Silvia Fabiani & Martine Druant & Ignacio Hernando & Claudia Kwapil & Bettina Landau & Claire Loupias & Fernando Martins & Thomas Mathä & Roberto Sabbatini & Harald Stahl & Ad Stokman, 2005. "The pricing behaviour of firms in the Euro area: new survey evidence," Banco de España Working Papers 0536, Banco de España. [Downloadable!]
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  12. Robert Plasman & François Rycx & Ilan Tojerow, 2006. "Industry wage differentials, unobserved ability, and rent-sharing : Evidence from matched worker-firm data, 1995-2002," Research series 200610-2, National Bank of Belgium. [Downloadable!]
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  13. Danny Cassimon & Peter-Jan Engelen & Hilde Meersman & Martine Van Wouwe, 2002. "Investment, uncertainty and irreversibility: evidence from belgian accounting data," Research series 200205-4, National Bank of Belgium. [Downloadable!]
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  15. Patrick Van Cayseele, 2004. "Financial consolidation and liquidity: prudential regulation and/or competition policy?," Research series 200405-6, National Bank of Belgium. [Downloadable!]
  16. Jean-Bernard Chatelain, 2002. "Structural modelling of investment and financial constraints: Where do we stand?," Research series 200205-9, National Bank of Belgium. [Downloadable!]
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  20. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Research series 200605-2, National Bank of Belgium. [Downloadable!]
  21. Janet Mitchell, 2005. "Financial intermediation theory and implications for the sources of value in structured finance markets," Documents series 200507-1, National Bank of Belgium. [Downloadable!]
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Cited by:
(explanations, 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.)

  1. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Documents series 200711-22, National Bank of Belgium. [Downloadable!]
  2. Annick Bruggeman, 2007. "Can Excess Liquidity Signal an Asset Price Boom?," Research series 200708-08, National Bank of Belgium. [Downloadable!]
  3. Frédéric Lagneaux, 2008. "Economic Importance of Belgian Transport Logistics," Documents series 200801-01, National Bank of Belgium. [Downloadable!]
  4. Joachim Keller, 2008. "Agency problems in structured finance – a case study of European CLOs," Documents series 200808-22, National Bank of Belgium. [Downloadable!]
  5. Carine Swartenbroekx, 2007. "The gas chain : influence of its specificities on the liberalisation process," Documents series 200711-24, National Bank of Belgium. [Downloadable!]
  6. Tomasz Michalak & Jacob Engwerda & Joseph Plasmans, 2009. "Strategic Interactions between Fiscal and Monetary Authorities in a Multi-Country New-Keynesian Model of a Monetary Union," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  7. Philippe Moës, 2008. "Multivariate structural time series models with dual cycles : implications for measurement of output gap and potential growth," Research series 200808-20, National Bank of Belgium. [Downloadable!]
  8. François Coppens & Fernando Gonzáles & Gerhard Winkler, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Research series 200710-12, National Bank of Belgium. [Downloadable!]
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