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

Malin Adolfson (), Stefan Laséen (), Jesper Lindé and Mattias Villani

No 179, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: 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.

Keywords: DSGE model; Open economy; Monetary Policy; Bayesian Inference; Business cycle (search for similar items in EconPapers)
JEL-codes: C11 E40 E47 E52 (search for similar items in EconPapers)
Pages: 82 pages
Date: 2005-03-01
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (60)

Downloads: (external link)
https://archive.riksbank.se/Upload/WorkingPapers/WP_179.pdf Full text (application/pdf)

Related works:
Journal Article: Bayesian estimation of an open economy DSGE model with incomplete pass-through (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0179

Access Statistics for this paper

More papers in Working Paper Series from Sveriges Riksbank (Central Bank of Sweden) Sveriges Riksbank, SE-103 37 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Lena Löfgren ().