Money in an estimated business cycle model of the Euro area

被引：41

作者：

Andrés, J ^{[1
]}

López-Salido, JD ^{[1
]}

Vallés, J ^{[1
]}

机构：

[1] Univ Valencia, E-46003 Valencia, Spain

来源：

ECONOMIC JOURNAL | 2006年 / 116卷 / 511期

关键词：

D O I：

10.1111/j.1468-0297.2006.01088.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article examines the role of money in a small-scale dynamic general equilibrium model of the euro zone estimated by maximum likelihood. The model allows for both intertemporal and intratemporal non-separability in preferences. We find, first, that real balances do not affect the marginal utility of consumption. Second, money demand shocks mainly help to forecast real balances while real shocks explain the bulk of price, output and interest rates fluctuations. Third, the calculation of the natural rate of interest reveals that the evolution of the interest rate is mostly accounted for by the real sources of fluctuations.

引用

页码：457 / 477

页数：21

共 50 条

[31] A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis
Huber, Florian
Pfarrhofer, Michael
Piribauer, Philipp
[J]. JOURNAL OF FORECASTING, 2020, 39 (06) : 911 - 926
[32] Money and equity returns in the Euro area
Heimonen, Kari
[J]. GLOBAL FINANCE JOURNAL, 2010, 21 (02) : 152 - 169
[33] Money and credit overhang in the euro area
Liu, Jingyang
Kool, Clemens J. M.
[J]. ECONOMIC MODELLING, 2018, 68 : 622 - 633
[34] A small estimated euro area model with rational expectations and nominal rigidities
Coenen, G
Wieland, V
[J]. EUROPEAN ECONOMIC REVIEW, 2005, 49 (05) : 1081 - 1104
[35] An estimated two-country DSGE model of Austria and the Euro Area
Fritz Breuss
Katrin Rabitsch
[J]. Empirica, 2009, 36 (1) : 123 - 158
[36] Discussion of "Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area"
Loisel, Olivier
[J]. INTERNATIONAL JOURNAL OF CENTRAL BANKING, 2014, 10 (02): : 237 - 247
[37] Information variables for monetary policy in an estimated structural model of the euro area
Lippi, Francesco
Neri, Stefano
[J]. JOURNAL OF MONETARY ECONOMICS, 2007, 54 (04) : 1256 - 1270
[38] An Estimated DSGE Model for Business Cycle Analysis in China
Gu, Biao
Wang, Jianfeng
Wu, Jingfei
[J]. FRONTIERS OF ECONOMICS IN CHINA, 2013, 8 (03) : 390 - 429
[39] Entry and markup dynamics in an estimated business cycle model
Lewis, Vivien
Stevens, Arnoud
[J]. EUROPEAN ECONOMIC REVIEW, 2015, 74 : 14 - 35
[40] Precautionary money demand in a business-cycle model
Telyukova, Irina A.
Visschers, Ludo
[J]. JOURNAL OF MONETARY ECONOMICS, 2013, 60 (08) : 900 - 916

← 1 2 3 4 5 →