An Estimated DSGE Model for The German Economy

Ernest Pytlarczyk ()

No 318, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: This paper presents an estimated DSGE model for the European Monetary Union. Our approach, contrary to the previous studies, accounts for heterogeneity within the euro area. In the estimation we utilize disaggregated information, employing single country data, along with the aggregated EMU by Fagan et. al (2001). We also contribute to the literature by proposing a strategy for consistent estimation of the currency union model, using information available prior to the adoption of the single currency and afterwards. This approach requires the determination of two separate data generating processes - here these are theoretical DSGE models - corresponding to both current and historical monetary regimes. We emphasize the use of regime-switching models in the DSGE framework (in our case the threshold is known exactly and the switch is permanent). The approach is illustrated by developing a simple two-region DSGE model, with a particular focus on analyzing the German economy within EMU, and its Bayesian estimation on the sample 1980:q1- 2003:q4. Moreover, the paper offers: (i) a robustness check of the estimation results with respect to the alternative data approaches and various restrictions imposed on the model's structure (ii) assesments of the relative importance of various shocks and frictions for explaining the model dynamics (iii) an evaluation of the model's empirical properties

Keywords: Bayesian econometrics; DSGE models; Euro area (search for similar items in EconPapers)
JEL-codes: E4 E5 F5 (search for similar items in EconPapers)
Date: 2005-11-11
New Economics Papers: this item is included in nep-dge, nep-eec and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (55)

Downloads: (external link)
http://gemini.econ.umd.edu/cgi-bin/conference/down ... SCE2005&paper_id=318 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to gemini.econ.umd.edu:80 (No such host is known. )

Related works:
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:sce:scecf5:318

Access Statistics for this paper

More papers in Computing in Economics and Finance 2005 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().