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Smets-Wouters '03 model revisited - an implementation in gEcon

Author

Listed:
  • Klima, Grzegorz
  • Podemski, Karol
  • Retkiewicz-Wijtiwiak, Kaja
  • Sowińska, Anna E.

Abstract

This paper presents an implementation of the well-known Smets-Wouters 2003 model for Euro Area using the gEcon package - what we call the ``third generation'' DSGE modelling toolbox. Our exercise serves three goals. First, we show how gEcon can be used to implement an important - from both applications and historical perspective - model. Second, through rigorous exposition enforced by the gEcon’s block-agent paradigm we analyse all the Smets-Wouters model’s building blocks. Last, but not least, the implementation presented here serves as a natural starting point for important from applications point of view extensions, like opening the economy, introducing non-lump-sum taxes, or adding sectors to the model economy. Full model implementation is attached.

Suggested Citation

  • Klima, Grzegorz & Podemski, Karol & Retkiewicz-Wijtiwiak, Kaja & Sowińska, Anna E., 2015. "Smets-Wouters '03 model revisited - an implementation in gEcon," MPRA Paper 64440, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:64440
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    References listed on IDEAS

    as
    1. Klima, Grzegorz & Retkiewicz-Wijtiwiak, Kaja, 2014. "On automatic derivation of first order conditions in dynamic stochastic optimisation problems," MPRA Paper 55612, University Library of Munich, Germany.
    2. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    DSGE; monetary policy; staggered prices; staggered wages;
    All these keywords.

    JEL classification:

    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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