EconPapers    
Economics at your fingertips  
 

Money and risk aversion in a DSGE framework: a Bayesian application to the Euro zone

Jonathan Benchimol () and Andre Fourcans ()

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In this paper, we set up and test a model of the Euro zone, with a special emphasis on the role of money. The model follows the New Keynesian DSGE framework, money being introduced in the utility function with a non-separability assumption. By using Bayesian estimation techniques, we shed light on the determinants of output and inflation, but also of the interest rate, real money balances, flexible-price output and flexible-price real money balances variances. The role of money is investigated further. We find that its impact on output depends on the degree of agents' risk aversion, increases with this degree, and becomes significant when risk aversion is high enough. The direct impact of the money variable on inflation variability is essentially minor whatever the risk aversion level, the interest rate (monetary policy) being the overwhelming explanatory factor.

Keywords: DSGE; Euro area; Bayesian estimation; Money (search for similar items in EconPapers)
Date: 2010-04-16
Note: View the original document on HAL open archive server: https://hal-paris1.archives-ouvertes.fr/hal-00800082
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://hal-paris1.archives-ouvertes.fr/hal-00800082/document (application/pdf)

Related works:
Working Paper: Money and Risk Aversion in a DSGE Framework: A Bayesian Application to the Euro Zone (2010) Downloads
Working Paper: Money and risk aversion in a DSGE framework: a bayesian application to the euro zone (2010) Downloads
Working Paper: Money and risk aversion in a DSGE framework: a Bayesian application to the Euro zone (2010) Downloads
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:hal:cesptp:hal-00800082

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-05-29
Handle: RePEc:hal:cesptp:hal-00800082