Stock market wealth effects in an estimated DSGE model for Hong Kong

Michael Funke, Michael Paetz and Ernest Pytlarczyk ()

Economic Modelling, 2011, vol. 28, issue 1, 316-334

Abstract: This paper develops and estimates an open-economy dynamic stochastic general equilibrium (DSGE) model of the Hong Kong economy. The model features short-run price rigidities generated by monopolistic competition and staggered reoptimization. We devote special attention to asset prices and wealth effects, which we believe to be important. For this reason we adopt a perpetual-youth approach. Model parameters and unobserved components are estimated with a Bayesian maximum likelihood procedure, conditional on prior information concerning the values of parameters. The estimations identify substantial wealth effects and indicate that the nominal interest rate responds to unexpected movements in stock prices.

Keywords: DSGE models; Wealth effects; Open economy; Hong Kong (search for similar items in EconPapers)
JEL-codes: D91 E21 E44 F41 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999310001677
Full text for ScienceDirect subscribers only

Related works:
Journal Article: Stock market wealth effects in an estimated DSGE model for Hong Kong (2011)
Working Paper: Stock market wealth effects in an estimated DSGE model for Hong Kong (2010)
Working Paper: Stock market wealth effects in an estimated DSGE model for Hong Kong (2009)
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:eee:ecmode:v:28:y:2011:i:1:p:316-334

DOI: 10.1016/j.econmod.2010.08.016

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().