An estimated new keynesian policy model for Australia

Economic Record

Volumn 84, Issue 264, 2008, Pages 1-16

  Buncic, Daniel ^a   Melecky, Martin ^b,c  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b DE NEDERLANDSCHE BANK   (Netherlands)

^c VSB TECHNICAL UNIVERSITY OF OSTRAVA   (Czech Republic)

Author keywords

[No Author keywords available]

Indexed keywords

BUSINESS CYCLE; DEMAND ANALYSIS; ESTIMATION METHOD; EXCHANGE RATE; INFLATION; KEYNESIAN THEORY; MACROECONOMICS; MODELING; MONETARY POLICY;

AUSTRALASIA; AUSTRALIA;

EID: 41049117596     PISSN: 00130249     EISSN: 14754932     Source Type: Journal    
DOI: 10.1111/j.1475-4932.2008.00443.x     Document Type: Article

References (45)

1. Adolfson, M., Laseen, S., Linde, J. and Villani, M. (2008), 'Empirical Properties of Closed and Open Economy DSGE Models of the Euro Area', Macroeconomic Dynamics (forthcoming).
2. An, S. and Schorfheide, R. (2005), 'Bayesian Analysis of DSGE Models', Discussion Paper No. 5207. Centre for Economic Policy Research, London.
3. Becker, C. and Sinclair, M. (2004), 'Profitability of Reserve Bank Foreign Exchange Operations: Twenty Years after the Float', Research Discussion Paper No. 04-06. Reserve Bank of Australia, Sydney, NSW.
4. Beechey, M., Bharucha, N., Cagliarini, A., Gruen, D. and Thompson, C. (2000), 'A Small Model of the Australian Macroeconomy', Research Discussion Paper No. 00-05. Reserve Bank of Australia, Sydney, NSW.
5. Bergin, P.R. (2003), 'Putting the "New Open Economy Macroeconomics" to a Test', Journal of International Economics, 60, 3-34.
6. Breunig, R.V., Najarian, S. and Pagan, A.R. (2003), 'Specification Testing of Markov Switching Models', Oxford Bulletin of Economics and Statistics, 65, 703-25.
7. Brooks, S.P. and Gelman, A. (1998), 'General Methods for Monitoring Convergence of Iterative Simulations', Journal of Computational and Graphical Statistics, 7, 434-55.
8. de Brouwer, G. and Gilbert, J. (2005), 'Monetary Policy Reaction Functions in Australia', Economic Record, 81, 124-34.
9. Calvo, G.A. (1983), 'Staggered Prices in a Utility-Maximizing Framework', Journal of Monetary Economics, 12, 383-98.
10. Cheung, Y.-W., Chinn, M.D. and Pascual, A.G. (2003), 'What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated', Working Paper No. 03-13. University of California, Santa Cruz, CA.
11. Chinn, M.D. and Meredith, G. (2004), 'Monetary Policy and Long-Horizon Uncovered Interest Parity', IMF Staff Papers, 51, 409-30.
12. Cho, S. and Moreno, A. (2006), 'A Small-Sample Study of the New-Keynesian Macro Model', Journal of Money Credit and Banking, 38, 1461-81.
13. Christiano, L.J., Eichenbaum, M. and Evans, C. (2001), 'Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy', Working Paper No. 01-07. Federal Reserve Bank of Cleveland, Cleveland, OH.
14. Clarida, R., Gali, J. and Gertler, M. (1999), 'The Science of Monetary Policy: A New Keynesian Perspective', Journal of Economic Literature, 37, 1661-707.
15. Clarida, R., Gali, J. and Gertler, M. (2001), 'Optimal Monetary Policy in Open versus Closed Economies: An Integrated Approach', American Economic Review, 91, 248-52.
16. Clarida, R., Gali, J. and Gertler, M. (2002), 'A Simple Framework for International Monetary Policy Analysis', Journal of Monetary Economics, 49, 879-904.
17. Del Negro, M., Schorfheide, F., Smets, F. and Wouters, R. (2005), 'On the Fit and Forecasting Performance of New-Keynesian Models', Working Paper No. 491. European Central Bank, Frankfurt, Germany.
18. Dennis, R. (2003), 'Exploring the Role of the Real Exchange Rate in Australian Monetary Policy', Economic Record, 79, 20-38.
19. Dungey, M.H. and Pagan, A.R. (2000), 'A Structural VAR Model of the Australian Economy', Economic Record, 76, 321-42.
20. Fukac, M., Pagan, A. and Pavlov, V. (2006), 'Econometric Issues Arising from DSGE Models', Working Paper, Queensland University of Technology.
21. Galí, J. and Gertler, M. (1999), 'Inflation Dynamics: A Structural Econometric Analysis', Journal of Monetary Economics, 44, 195-222.
22. Giordani, P. (2004), 'Evaluating New-Keynesan Models of a Small Open Economy', Oxford Bulletin of Economics and Statistics, 66, 713-33.
23. Gruen, D., Romalis, J. and Chandra, N. (1997), 'The Lags of Monetary Policy', Research Discussion Paper no. 97-02. Reserve Bank of Australia, Sydney, NSW.
24. Johansen, S. (2004), 'What is the Price of Maximum Likelihood', Working Paper, University of Copenhagen.
25. Justiniano, A. and Preston, B. (2004), 'Small Open Economy DSGE Models: Specification, Estimation and Model Fit', Working Paper, Columbia University.
26. Justiniano, A. and Preston, B. (2005), 'Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances', Working Paper, Columbia University.
27. Leichter, J. and Walsh, C. (1999), 'Different Economies, Common policies: Policy Trade-offs Under the ECB', Working Paper, University of California at San Diego.
28. Leu, S.C.-Y. (2004), 'A New Keynesian Perspective of Monetary Policy Implementation in Australia', Working Paper No. ECON2004-1. University of Sydney, Sydney, NSW.
29. Lindé, J. (2005), 'Estimating New-Keynesian Phillips Curves: A Full Information Maximum Likelihood Approach', Journal of Monetary Economics, 52, 1135-49.
30. Lubik, T.A. (2005), 'A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism', Discussion Paper No. 2005/06, Reserve Bank of New Zealand.
31. Lubik, T.A. and Schorfheide, F. (2007), 'Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation', Journal of Monetary Economics, 54, 1069-87.
32. Lubik, T.A. and Teo, W.L. (2005), 'Do World Shocks Drive Domestic Business Cycles? Some Evidence from Structural Estimation', Working Paper, Johns Hopkins University.
33. Mark, N.C. and Moh, Y.-K. (2001), 'What Do Interest-Rate Differentials Tell Us About the Exchange Rate?', Working Paper, Ohio State University.
34. McCallum, B.T. and Nelson, E. (2001), 'Monetary Policy for an Open Economy: An Alternative Framework with Optimizing Agents and Sticky Prices', Discussion Paper No. 2756. Centre for Economic Policy Research, London.
35. Monacelli, T. (2005), 'Monetary Policy in a Low Pass-Through Environment', Journal of Money Credit and Banking, 37, 1047-66.
36. Nimark, K. (2006), 'Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market', Research Discussion Paper No. 06-05. Reserve Bank of Australia, Sydney, NSW.
37. Obstfeld, M. and Rogoff, K.S. (2000), 'New Directions for Stochastic Open Economy Models', Journal of International Economics, 50, 117-53.
38. Pagan, A.R. (2003), 'Report and Modelling and Forecasting at the Bank of England', Bank of England Quarterly Bulletin, Spring, 1-29.
39. Rotemberg, J.J. and Woodford (1997), 'An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy', in NBER Macroeconomics Annual 1997 (eds B.S. Bernanke and J.J. Rotemberg), Cambridge, MIT Press; 297-346.
40. Rudd, J. and Whelan, K. (2005), 'New Tests of the New-Keynesian Phillips Curve', Journal of Monetary Economics 52, 1167-81.
41. Rudebusch, G.D. and Svensson (1999), 'Policy Rules for Inflation Targeting', in Taylor J.B. (ed.), Monetary Policy Rules. University of Chicago Press, Chicago; 203-62.
42. Sims, C.A. (2002), 'Solving Linear Rational Expectations Models', Computational Economics, 20, 1-20.
43. Smets, F. and Wouters, R. (2003), 'An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area', Journal of the European Economic Association, 1, 1123-75.
44. Stone, A., Wheatley, T. and Wilkinson, L. (2005), 'A Small Model of the Australian Macro-economy: An Update', Research Discussion Paper No. 05-11. Reserve Bank of Australia, Sydney, NSW.
45. Svensson, L.E.O. (2000), 'Open-Economy Inflation Targeting', Journal of International Economics, 50, 155-83.