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Macrofinancial Modeling At Central Banks; Recent Developments and Future Directions

  • Jan Vlcek
  • Scott Roger

This paper surveys dynamic stochastic general equilibrium models with financial frictions in use by central banks and discusses priorities for future development of such models for the purpose of monetary and financial stability analysis. It highlights the need to develop macrofinancial models which allow analysis of the macroeconomic effects of macroprudential policy tools and to evaluate elements of the Basel III reforms as a priority. The paper also reviews the main approaches to introducing financial frictions into general equilibrium models.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 12/21.

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Length: 39
Date of creation: 01 Jan 2012
Date of revision:
Handle: RePEc:imf:imfwpa:12/21
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  1. Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3, pages 1-31.
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  8. Fujiwara, Ippei & Hara, Naoko & Hirose, Yasuo & Teranishi, Yuki, 2005. "The Japanese Economic Model (JEM)," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 23(2), pages 61-142, May.
  9. Christopher J. Erceg & Luca Guerrieri & Christopher Gust, 2006. "SIGMA: a new open economy model for policy analysis," International Finance Discussion Papers 835, Board of Governors of the Federal Reserve System (U.S.).
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  17. Selim Elekdag & Ivan Tchakarov, 2004. "Balance Sheets, Exchange Rate Policy, and Welfare," IMF Working Papers 04/63, International Monetary Fund.
  18. Kirdan Lees, 2009. "Introducing KITT: The Reserve Bank of New Zealand new DSGE model for forecasting and policy design," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 5-20, June.
  19. Jaromir Benes & Inci Ötker & David Vávra, 2009. "Modeling with Macro-Financial Linkages; Credit and Policy Shocks in Emerging Markets," IMF Working Papers 09/123, International Monetary Fund.
  20. Frank Smets & Kai Christoffel & Günter Coenen & Roberto Motto & Massimo Rostagno, 2010. "DSGE models and their use at the ECB," SERIEs, Spanish Economic Association, vol. 1(1), pages 51-65, March.
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