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

Listed author(s):
  • 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)

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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File URL: http://www.riksbank.com/upload/WorkingPapers/WP_179.pdf
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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
Handle: RePEc:hhs:rbnkwp:0179
Contact details of provider: Postal:
Sveriges Riksbank, SE-103 37 Stockholm, Sweden

Phone: 08 - 787 00 00
Fax: 08-21 05 31
Web page: http://www.riksbank.com/
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