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  • 1
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    Brussels: National Bank of Belgium
    Publication Date: 2018-09-21
    Description: Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to compete with Bayesian Vector Autoregression models in out-of-sample prediction. We investigate the relative empirical importance of the various frictions. Finally, using the estimated model we address a number of key issues in business cycle analysis: What are the sources of business cycle fluctuations? Can the model explain the cross-correlation between output and inflation? What are the effects of productivity on hours worked? What are the sources of the “Great Moderation”?
    Keywords: E4 ; E5 ; ddc:330 ; DSGE models ; monetary policy ; Konjunktur ; Geldpolitik ; Schock ; Allgemeines Gleichgewicht ; Zeitreihenanalyse ; USA
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
    Type: doc-type:workingPaper
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  • 2
    Publication Date: 2018-09-21
    Description: We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in terms of risk aversion. Aggregate productivity and distribution risk are shared among these agents via the bond market and via an efficient labor contract. The result is a combination of volatile returns to capital and a highly cyclical consumption process for the shareholders, which are two important ingredients for generating high and countercyclical risk premiums. These risk premiums are consistent with a strong propagation mechanism through an elastic supply of labor, rigid real wages and a countercyclical labor share. We discuss the implications for the real and nominal component of the risk premium on equity and bonds. We show how these premiums react to changes in the volatility of the shocks, as experienced during the great moderation. We also analyze the effects of changes in monetary policy behavior and the resulting inflation dynamics.
    Keywords: E32 ; E44 ; G12 ; ddc:330 ; Finanzmarkt ; Risikoaversion ; Produktivität ; Kapitaleinkommen ; Wirkungsanalyse ; Theorie
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 3
    Publication Date: 2018-09-21
    Description: This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in the type of shocks that affect the two economies, differences in the propagation mechanism of those shocks or differences in the way the central bank responds to those economic developments. Our main conclusion is that each of those characteristics is remarkably similar across both currency areas.
    Keywords: E1 ; E3 ; ddc:330 ; DSGE models ; business cycle fluctuations ; Konjunktur ; Geldpolitik ; Zentralbank ; Schock ; Statistischer Test ; EU-Staaten ; USA
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 4
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    Brussels: National Bank of Belgium
    Publication Date: 2018-09-21
    Description: In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian techniques, can become an additional useful tool in the forecasting kit of central banks. First, we show that the forecasting performance of such models compares well with a-theoretical vector autoregressions. Moreover, we illustrate how the posterior distribution of the model can be used to calculate the complete distribution of the forecast, as well as various inflation risk measures that have been proposed in the literature. Finally, the structural nature of the model allows computing forecasts conditional on a policy path. It also allows examining the structural sources of the forecast errors and their implications for monetary policy. Using those tools, we analyse macroeconomic developments in the euro area since the start of EMU.
    Keywords: E4 ; E5 ; ddc:330 ; forecasting ; DSGE models ; monetary policy ; euro area ; Allgemeines Gleichgewicht ; Wahrscheinlichkeitsrechnung ; Prognoseverfahren ; Geldpolitik ; Eurozone ; Inflationsrate ; Wirtschaftsprognose ; Theorie ; EU-Staaten
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 5
    Publication Date: 2018-09-21
    Description: In this paper, we propose a search and matching model with nominal stickiness à la Calvo in the wage bargaining. We analyze the properties of the model, first, in the context of a typical real business cycle model driven by stochastic productivity shocks and second, in a fully specified monetary DSGE model with various real and nominal rigidities and multiple shocks. The model generates realistic statistics for the important labor market variables
    Keywords: E31 ; E32 ; E52 ; J64 ; ddc:330 ; DSGE ; Search and Matching ; Nominal Wage Rigidity ; Monetary Policy ; Lohnrigidität ; Verhandlungstheorie des Lohnes ; Dynamisches Gleichgewicht ; Theorie ; USA
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 6
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    Brussels: National Bank of Belgium
    Publication Date: 2018-09-21
    Description: In this paper, the interaction between inflation and monetary policy rules is analysed within the framework of a dynamic general equilibrium model derived from optimising behaviour and rational expectations. Using model simulations, it is illustrated that the control of monetary policy over the inflation process is strongly dependent on the role of forward looking expectations in the price and wage setting process and on the credibility of monetary policy in the expectation formation process of the private sector. Furthermore, the central bank should take into account a wide variety of indicators in making monetary policy decisions in order to approach the optimal monetary policy rule as closely as possible.
    Keywords: ddc:330 ; Geldpolitik ; Glaubwürdigkeit ; Inflationsbekämpfung ; Erwartungsbildung ; Prognoseverfahren ; Theorie
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 7
    Publication Date: 2018-09-21
    Description: Given the importance of bank credit in Belgium as a financing source for both households and non-financial firms, it is important to know how Belgian banks react to a monetary policy shock. Since the direct influence of central banks is confined to the very short-term market interest rates, financial intermediaries play a very important role in the transmission of these shocks to the real economy. This paper therefore investigates the determinants of the rates charged by individual Belgian banks for a number of standardised forms of credit. The data used are mainly from a survey conducted by the National Bank of Belgium and relate to the period from January 1993 to September 2000. It is shown that Belgian banks set their credit rates as a stationary mark-up on top of the market interest rate with a maturity similar to the one of the credit contract. This mark-up seems to depend on a number of factors. First, it varies between the different forms of credit we studied in this paper. On average a higher rate is charged for those credit forms that are characterised by a longer maturity, a higher risk and/or a lower amount. Second, for a given form of credit the mark-up also varies across banks. Large and/or liquid banks tend to charge lower rates, whereas highly capitalised banks seem to charge higher rates. Third, the mark-up although stationary does change over time, decreasing with the business cycle and increasing with the cost of the bank's resources which are approximated in this paper by the rates paid by the bank on deposits and/or savings notes. This study indicates that especially the Belgian market for investment credits is characterised by a very tight competition. This conclusion follows from the fact that the mark-ups on these credits do not seem to be influenced by bank specific characteristics such as size, liquidity or capitalisation. Moreover, the mark-up does react strongly to monetary shocks and does have a significant impact on the demand, indicating that the demand for investment credits is very price elastic. On the Belgian markets for short-term credits, consumer credits and mortgage spread loans, however, the degree of competition seems to be lower. The mark-ups on these credit forms do depend on at least one of the bank characteristics used in this paper. Finally, especially the rates on short-term credits seem to react strongly to monetary shocks, a response which is positively related to the size of the bank.
    Keywords: ddc:330 ; Verbraucherkredit ; Zins ; Geldpolitik ; Schock ; Belgien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Dutch
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  • 8
    Publication Date: 2018-09-21
    Description: This paper proposes a perturbation-based approach to implement the idea of endogenous financial risk in a standard DSGE macro-model. Recent papers, such as Mendoza (2010), Brunnermeier and Sannikov (2012) and He and Krishnamurthy (2012), that have stimulated the research field on endogenous risk in a macroeconomic context, are based on sophisticated solution methods that are not easily applicable in larger models. We propose an approximation method that allows us to capture some of the basic insights of this literature in a standard macro-model. We are able to identify an important risk-channel that derives from the risk aversion of constrained intermediaries and that contributes significantly to the overall financial and macro volatility. With this procedure, we obtain a consistent and computationally-efficient modelling device that can be used for integrating financial stability concerns within the traditional monetary policy analysis.
    Keywords: ddc:330 ; Finanzintermediation ; Risikopräferenz ; Finanzkrise ; Dynamisches Gleichgewicht
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 9
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    Brussels: National Bank of Belgium
    Publication Date: 2018-09-21
    Description: This paper analyses the implications of imperfect exchange rate passthrough for optimal monetary policy in a linearised open-economy dynamic general equilibrium model calibrated to euro area data. Imperfect exchange rate pass through is modelled by assuming sticky import price behaviour. The degree of domestic and import price stickiness is estimated by reproducing the empirical identified impulse response of a monetary policy and exchange rate shock conditional on the response of output, net trade and the exchange rate. It is shown that a central bank that wants to minimise the resource costs of staggered price setting will aim at minimising a weighted average of domestic and import price inflation.
    Keywords: E58 ; F41 ; ddc:330 ; monetary policy ; open economies ; exchange rate pass-through ; Geldpolitik ; Zentralbank ; Offene Volkswirtschaft ; Wechselkurspolitik ; Exchange Rate Pass-Through ; Theorie
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 10
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    Brussels: National Bank of Belgium
    Publication Date: 2018-09-21
    Description: This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is estimated with Bayesian techniques using seven key macro-economic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labour supply, investment, preference, cost-push and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle fluctuations in the euro area. Using the estimated model, the paper also analyses the output (real interest rate) gap, defined as the difference between the actual and model-based potential output (real interest rate).
    Keywords: E4 ; E5 ; ddc:330 ; DSGE models ; monetary policy ; euro area ; Geldpolitik ; Eurozone ; Schock ; Stochastischer Prozess ; Dynamische Wirtschaftstheorie ; Allgemeines Gleichgewicht ; Theorie ; EU-Staaten
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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