MEDEA: A DSGE model for the Spanish economy

SERIEs

Volumn 1, Issue 1-2, 2010, Pages 175-243

  Burriel, Pablo ^a   Fernández Villaverde, Jesús ^b   Rubio Ramírez, Juan F ^c  

^a BANCO DE ESPAÑA   (Spain)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

^c DUKE UNIVERSITY   (United States)

Author keywords

Bayesian methods; DSGE models; Likelihood estimation

Indexed keywords

EID: 77955853178     PISSN: 18694187     EISSN: 18694195     Source Type: Journal    
DOI: 10.1007/s13209-009-0011-x     Document Type: Article

References (40)

1. Adolfson M, Laséen S, Lindé J, Villani M (2005) Bayesian estimation of an open economy DSGE model with incomplete pass-through. Sveriges Riksbank Working Paper Series, 179.
2. An S, Schorfheide F (2006) Bayesian analysis of DSGE models. Econ Rev 26: 113-172.
3. Andrés J, Arce O (2008) Banking competition, housing prices and macroeconomic stability. Documento de Trabajo del Banco de España 0830.
4. Andrés J, Burriel P, Estrada A (2006) BEMOD: a DSGE model for the Spanish economy and the rest of the Euro area. Documento de Trabajo del Banco de España 0631.
5. Boscá JE, Bustos A, Díaz A, Doménech R, Ferri J, Pérez E, Puch L (2007) A rational expectations model for simulation and policy evaluation of the Spanish economy. Documento de Trabajo de la Dirección General de Presupuestos D-2007-04.
6. Boscá JE, Díaz A, Doménech R, Pérez E, Puch L (2008) The REMSDB macroeconomic database of the Spanish economy. Documento de Trabajo de la Dirección General de Presupuestos D-2007-04.
7. Canova F, Sala L (2006) Back to square one: identification issues in DSGE models. ECB Working Paper No. 583.
8. Chari VV, Kehoe P, McGrattan ER (2007) Business cycle accounting. Econometrica 75: 781-836.
9. Christiano L, Eichenbaum M, Evans CL (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. J Polit Econ 113: 1-45.
10. Christoffel K, Coenen G, Warne A (2008) The new area-wide model of the Euro area: a micro-founded open-economy model for forecasting and policy analysis. ECB Working Paper No. 944.
11. Christoffel K, Coenen G, Warne A (2007) Conditional and unconditional forecasting with the new area-wide model of the Euro area. Mimeo, European Central Bank.
12. Edge R, Kiley MT, Laforte JP (2009) A comparison of forecast performance between Federal Reserve Staff Forecasts, simple reduced-form models, and a DSGE model. Finance and Economics Discussion Series 2009-10, Board of Governors of the Federal Reserve System.
13. Erceg C, Henderson D, Levin A (2000) Optimal monetary policy with staggered wage and price contracts. J Monet Econ 46: 281-313.
14. Erceg CJ, Guerrieri L, Gust C (2006) SIGMA: a new open economy model for policy analysis. Int J Central Banking 2: 1-50.
15. Fernández-Villaverde J (2009) The econometrics of DSGE models. SERIEs vol 1.
16. Fernández-Villaverde J, Rubio-Ramírez J (2004) Comparing dynamic equilibrium models to data: a Bayesian approach. J Econ 123: 153-187.
17. Fernández-Villaverde J, Rubio-Ramírez J (2005) Estimating dynamic equilibrium economies: linear versus nonlinear likelihood. J Appl Econ 20: 891-910.
18. Fernández-Villaverde J, Rubio-Ramírez J (2007) Estimating macroeconomic models: a likelihood approach. Rev Econ Stud 74: 1059-1087.
19. Fernández-Villaverde J, Rubio-Ramírez J (2008) How structural are structural parameters?. NBER Macroeconomics Annual 2007: 83-137.
20. Fernández-Villaverde J, Rubio-Ramírez J, Santos MS (2006) Convergence properties of the likelihood of computed dynamic models. Econometrica 74: 93-119.
21. Fisher J (2006) The dynamic effects of neutral and investment-specific technology shocks. J Polit Econ 114: 413-451.
22. Galí J (2008) Monetary policy, inflation and the business cycle: an introduction to the New Keynesian framework. Princeton University Press, Princeton.
23. Greenwood J, Herkowitz Z, Krusell P (1997) Long-run implications of investment-specific technological change. Am Econ Rev 87: 342-362.
24. Greenwood J, Herkowitz Z, Krusell P (2000) The role of investment-specific technological change in the business cycle. Eur Econ Rev 44: 91-115.
25. Hall R (1997) Macroeconomic fluctuations and the allocation of time. J Labor Econ 15(1): 223-250.
26. Harrison R, Nikolov K, Quinn M, Ramsey G, Scott A, Thomas R (2005) The Bank of England Quarterly Model. The Bank of England.
27. Iskrev N (2008) How much do we learn from the estimation of DSGE models? A case study of identification issues in a New Keynesian business cycle model. Mimeo, University of Michigan.
28. Kilponen J, Ripatti A (2006) Introduction to AINO. Mimeo, Bank of Finland.
29. King R, Plosser C, Rebelo S (1988) Production, growth and business cycles I: the basic neo-classical model. J Monet Econ 2: 195-232.
30. Kortelainen M (2002) EDGE: a model of the euro area with applications to monetary policy. Bank of Finland Studies E: 23.
31. Mengersen KL, Robert CP, Guihenneuc-Jouyaux C (1999) MCMC convergence diagnostics: a 'Reviewww'. In: Berger J et al (eds) Bayesian statistics, vol 6, pp 415-440. Oxford Sciences Publications, Oxford.
32. McConnell MM, Pérez-Quirós G (2000) Output fluctuations in the United States: what has changed since the early 1980's3 Am Econ Rev 90: 1464-1476.
33. Murchison S, Rennison A (2006) ToTEM: The Bank of Canada's New Quarterly Projection Model. Bank of Canada Technical Report, 97.
34. Primiceri GE, Schaumburg E, Tambalotti A (2006) Intertemporal disturbances. NBER Working Paper No. 12243.
35. Roberts G, Gelman A, Gilks W (1997) Weak convergence and optimal scaling of random walk metropolis algorithms. Ann Appl Probab 7: 110-120.
36. Schmitt-Grohé S, Uribe M (2003) Closing small open economy models. J Int Econ 61: 163-185.
37. Sims CA (2007) The Harold hotelling lecture: Bayesian methods in applied econometrics. North America Summer Meetings of the Econometric Society 2007.
38. Smets F, Wouters R (2003) An estimated stochastic dynamic general equilibrium model of the euro area. J Eur Econ Assoc 1: 1123-1175.
39. Stock JH, Watson MW (2003) Has the business cycle changed, and why?. NBER Macroeconomics Annual 2002: 159-218.
40. Woodford M (2003) Interest and prices: foundations of a theory of monetary policy. Princeton University Press, Princeton.