Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach
Frank Smets and
Raf Wouters ()
No 61, Working Paper Research from National Bank of Belgium
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: DSGE models; business cycle fluctuations (search for similar items in EconPapers)
JEL-codes: E1 E3 (search for similar items in EconPapers)
Pages: 36 pages
New Economics Papers: this item is included in nep-dge, nep-ifn and nep-mac
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Journal Article: Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach (2005)
Working Paper: Comparing Shocks and Frictions in US and Euro Area Business Cycles: A Bayesian DSGE Approach (2004)
Working Paper: Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:200410-1
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