Financial factors : implications for output gaps /

We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level, between 2000-2013. After joining the monetary union, a decline in some countries...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Rabanal, Pau (Autor), Sanjani, Marzie Taheri (Autor)
Autores Corporativos: International Monetary Fund. European Department, International Monetary Fund. Research Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2015.
Colección:IMF working paper ; WP/15/153.
Temas:
Economic and Monetary Union.
Economic and Monetary Union
Business cycles > European Union countries > Econometric models.
Monetary policy > European Union countries > Econometric models.
Gross domestic product > European Union countries > Econometric models.
Cycles économiques > Pays de l'Union européenne > Modèles économétriques.
Politique monétaire > Pays de l'Union européenne > Modèles économétriques.
Produit intérieur brut > Pays de l'Union européenne > Modèles économétriques.
Business cycles > Econometric models
Gross domestic product > Econometric models
Monetary policy > Econometric models
European Union countries
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Contents; I. INTRODUCTION; List of Figures; 1 Ten Year Government Bond Rates in Selected Euro Area Countries; 2 Excess Credit and Unemployment Rates; II. THE MODEL; A. Credit Markets; A.1. Domestic Intermediaries; A.2. International Intermediaries; B. Households; B.1. Savers; B.2. Labor Unions and Wage Setting; B.3. Borrowers; C. Firms, Technology, and Sticky Prices; C.1. Final Goods Producers; C.2. Intermediate Goods Producers; D. Closing the Model; D.1. Market Clearing Conditions; D.2. Monetary Policy and Interest Rates; III. PARAMETER ESTIMATES; A. Data; B. Calibrated Parameters.
  • List of Tables1 Calibrated Parameters; C. Prior and Posterior Distributions; 2 Prior and Posterior Distributions, Economic Parameters; 3 Prior and Posterior Distributions, AR(1) Shock Processes; D. Variance Decomposition: The Role of Demand and Financial Shocks; IV. DECOMPOSING THE BUSINESS CYCLE IN THE EURO AREA; 4 Variance Decomposition; A. HBS Countries; 3 Shock Decomposition, Output and Output Gaps; 4 Shock Decomposition, Credit and House Prices; B. Core; C. The Role of Financial Frictions; 5 Output Gaps and Financial Wedges; V. DOES ONE MONETARY POLICY FIT ALL?
  • 6 Natural Rates of Interest and Deviations from Taylor RuleVI. IMPULSE RESPONSE ANALYSIS; 7 IRF
  • Financial Shocks; 8 IRF
  • Housing Demand Shocks; 9 IRF
  • Monetary Policy Shocks; VII. CONCLUSIONS; A APPENDIX: DATA AND SOURCES; B APPENDIX: LINEARIZED CONDITIONS.

Ejemplares similares