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Limited Asset Market Participation And The Euro Area Crisis: An Empirical Dsge Model

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  • Alice Albonico
  • Alessia Paccagnini
  • Patrizio Tirelli

Abstract

We estimate a medium‐scale dynamic stochastic general equilibrium model for the Euro area with limited asset market participation (LAMP). Our results suggest that in the recent European Monetary Union years LAMP is particularly sizable (39% during 1993–2012) and important to understand business cycle features. The Bayes factor and the forecasting performance show that the LAMP model is preferred to its representative household counterpart. In the representative agent model the risk premium shock is the main driver of output volatility in order to match consumption correlation with output. In the LAMP model this role is played by the investment‐specific shock, because non‐Ricardian households introduce a Keynesian multiplier effect and raise the correlation between consumption and investments. We also detect the contractionary role of monetary policy shocks during the post‐2007 years. In this period consumption of non‐Ricardian households fell dramatically, but this outcome might have been avoided by a more aggressive policy stance. (JEL C11, C13, C32, E21, E32, E37)

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  • Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2019. "Limited Asset Market Participation And The Euro Area Crisis: An Empirical Dsge Model," Economic Inquiry, Western Economic Association International, vol. 57(3), pages 1302-1323, July.
  • Handle: RePEc:bla:ecinqu:v:57:y:2019:i:3:p:1302-1323
    DOI: 10.1111/ecin.12791
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    5. Alice Albonico & Guido Ascari & Qazi Haque, 2024. "The (Ir)Relevance of Rule‐of‐Thumb Consumers for U.S. Business Cycle Fluctuations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(4), pages 769-804, June.
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    9. Alice Albonico & Guido Ascari & Qazi Haque, 2024. "Monetary Policy in the Euro Area: Active or Passive?," School of Economics and Public Policy Working Papers 2024-02 Classification-E3, University of Adelaide, School of Economics and Public Policy.

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    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • 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
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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