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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autores Corporativos: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2015.
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| Colección: | IMF working paper ;
WP/15/153. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Rabanal, Pau, |e author. | |
| 245 | 1 | 0 | |a Financial factors : |b implications for output gaps / |c prepared by Pau Rabanal and Marzie Taheri Sanjani. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2015. | ||
| 300 | |a 1 online resource (57 pages) : |b color illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 1018-5941 ; |v WP/15/153 | |
| 500 | |a "July 2015." | ||
| 500 | |a "European Department and Research Department." | ||
| 504 | |a Includes bibliographical references (pages 43-45). | ||
| 520 | |a 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' borrowing costs contributed to a credit, housing and real boom and bust cycle. We show that financial frictions amplified economic fluctuations and the measure of the output gap in those countries. On the contrary, in countries such as France and Germany, financial frictions played a minor role in output gap measures. We also present evidence of the trade-offs faced by the European Central Bank when trying to stabilize two regions in a currency union with unsynchronized economic cycles. --Abstract. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed July 15, 2015). | |
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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? | |
| 505 | 8 | |a 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. | |
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| 650 | 0 | |a Business cycles |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Monetary policy |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Gross domestic product |z European Union countries |x Econometric models. | |
| 650 | 6 | |a Cycles économiques |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 6 | |a Politique monétaire |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 6 | |a Produit intérieur brut |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 7 | |a Business cycles |x Econometric models |2 fast | |
| 650 | 7 | |a Gross domestic product |x Econometric models |2 fast | |
| 650 | 7 | |a Monetary policy |x Econometric models |2 fast | |
| 651 | 7 | |a European Union countries |2 fast | |
| 700 | 1 | |a Sanjani, Marzie Taheri, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b European Department. | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. | |
| 776 | 0 | 8 | |i Print version: |z 9781513512860 |
| 830 | 0 | |a IMF working paper ; |v WP/15/153. | |
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