Money and risk in a DSGE framework: A Bayesian application to the Eurozone
Jonathan Benchimol () and
Andre Fourcans ()
Journal of Macroeconomics, 2012, vol. 34, issue 1, 95-111
We present and test a model of the Eurozone, with a special emphasis on the role of risk aversion and money. The model follows the New Keynesian DSGE framework, money being introduced in the utility function with a non-separability assumption. Money is also introduced in the Taylor rule. By using Bayesian estimation techniques, we shed light on the determinants of output, inflation, money, interest rate, flexible-price output, and flexible-price real money balance dynamics. The role of money is investigated further. Its impact on output depends on the degree of risk aversion. Money plays a minor role in the estimated model. Yet, a higher level of risk aversion would imply that money had significant quantitative effects on business cycle fluctuations.
Keywords: Euro area; Money; Risk; Bayesian estimation; DSGE (search for similar items in EconPapers)
JEL-codes: E31 E51 E58 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Money and risk in a DSGE framework: A Bayesian application to the Eurozone (2012)
Working Paper: Money and Risk Aversion in a DSGE Framework: A Bayesian Application to the Euro Zone (2010)
Working Paper: Money and risk aversion in a DSGE framework: a bayesian application to the euro zone (2010)
Working Paper: Money in a DSGE framework with an application to the Euro Zone (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:34:y:2012:i:1:p:95-111
Access Statistics for this article
Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos
More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().