An estimated dynamic stochastic general equilibrium model of the euro area

Journal of the European Economic Association

Volumn 1, Issue 5, 2003, Pages 1123-1175

  Smets, Frank ^a   Wouters, Raf ^b  

^a European Central Bank and CEPR ^*  (United Kingdom)

^b NATIONAL BANK OF BELGIUM   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77957241272     PISSN: 15424766     EISSN: 15424774     Source Type: Journal    
DOI: 10.1162/154247603770383415     Document Type: Article

References (60)

1. Abel, Andrew (1990). Asset Prices under Habit Formation and Catching Up with the Joneses. American Economic Review, 80(2), pp. 38-42.
2. Bergin, Paul (2003). Putting the 'New Open Economy Macroeconomics' to a Test. Journal of International Economics, 60(1), pp. 3-34.
3. Bernanke, Ben, Mark Gertler, and Simon Gilchrist (1998). The Financial Accelerator in a Quantitative Business Cycle Framework. NBER Working Paper 6455.
4. Blanchard, Olivier and Roberto Perotti (2002). An Empirical Characterisation of the Dynamic Effects of Changes in Government Spending and Taxes on Output. Forthcoming in Quarterly Journal of Economics, 117(4), pp. 1329-1368.
5. Blanchard, Olivier and Danny Quah (1989). The Dynamic Effects of Aggregate Demand and Supply Disturbances. American Economic Review, September, 79(4), pp. 653-673.
6. Calvo, Guillermo (1983). Staggered Prices in a Utility Maximizing Framework. Journal of Monetary Economics, 12, pp. 383-398.
7. Casares, Mikel (2001). Business Cycle and Monetary Policy Analysis in a Structural Sticky-Price Model of the Euro Area. European Central Bank (ECB) Working Paper 49, Frankfurt on Main, Germany.
8. Christiano, Lawrence, Martin Eichenbaum, and Charlie Evans (2001). "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy." Federal Reserve Bank of Cleveland Working Paper.
9. Clarida, Richard, Jordi Gali, and Mark Gertler (1998). "Monetary Policy Rules in Practice: Some International Evidence." European Economic Review, 42(6), pp. 1033-1067.
10. Clarida, Richard, Jordi Gali, and Mark Gertler (1999). The Science of Monetary Policy: A New Kenesian Perspective. Journal of Economic Literature, 37(4), pp. 1661-1707.
11. Del Negro, Marco and Frank Schorfheide (2002). "Priors from General Equilibrium Models for VARs: Forecasting and Identification," mimeo. Federal Reserve Bank of Atlanta and University of Pennsylvania.
12. DeJong, David N., Beth F. Ingram, and Charles H. Whiteman (1996). A Bayesian Approach to Calibration. Journal of Business and Economic Statistics, 14(1), pp. 1-10.
13. DeJong, David N., Beth F. Ingram, and Charles H. Whiteman (2000). A Bayesian Approach to Dynamic Macroeconomics. Journal ofEconometrics, 98, pp. 203-223.
14. Doan, Thomas, Robert Litterman, and Chris Sims (1984). Forecasting and Conditional Projection Using Realistic Prior Distributions. Econometric Review, 3, pp. 1-100.
15. Dombrecht, Michel and Raf Wouters (2000). "Model-Based Inflation Forecasts and Monetary Policy Rules." National Bank of Belgium Working Paper 1, Belgium.
16. Dupor, William (2001). Nominal Price Versus Asset Price Stabilization, mimeo. Philadelphia: University of Pennsylvania.
17. Erceg, Chris, Dale Henderson, and Andrew Levin (2000). Optimal Monetary Policy with Staggered Wage and Price Contracts. Journal of Monetary Economics, 46, pp. 281-313.
18. Erceg, Chris and Andrew Levin (2000). Imperfect Credibility and Inflation Persistence, mimeo. Washington, D.C.: Federal Reserve System Board of Governors.
19. Fagan, Gabriel, Jerome Henry, and Ricardo Mestre (2001). An Area-Wide Model (AWM) for the Euro Area. European Central Bank (ECB) Working Paper 42.
20. Fatas, Antonio and Ilian Mihov (2001). The Effects of Fiscal Policy on Consumption and Employment: Theory and Evidence. INSEAD and Center for Economic Policy Research (CEPR) Discussion Paper 2760.
21. Fernandez-Villaverde, Jesus and Juan Rubio-Ramirez (2001). Comparing Dynamic Equilibrium Models to Data, mimeo. Philadelphia: University of Pennsylvania.
22. Francis, Neville and Valerie Ramey (2001). Is the Technology-Driven Real Business Cycle Hypothesis Dead? Shocks and Aggregate Fluctuations Revisited, mimeo. University of California, San Diego.
23. Fuhrer, Jeffrey (2000). Optimal Monetary Policy in a Model with Habit Formation. American Economic Review, 90(3), pp. 367-390.
24. Gali, Jordi (1999). Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? American Economic Review, 89(1), pp. 249-271.
25. Gali, Jordi (2000). New Perspectives on Monetary Policy, Inflation and the Business Cycle, mimeo. Barcelona: Universitat Pompeu Fabra.
26. Gali, Jordi, Mark Gertler, and David Lopez-Salido (2001a). European Inflation Dynamics. European Economic Review, June 45(7), pp. 1121-1150.
27. Gali, Jordi, Mark Gertler, and David Lopez-Salido (2001b). Markups, Gaps and the Welfare Costs of Business Fluctuations, mimeo. Barcelona: Universitat Pompeu Fabra.
28. Gali, Jordi, David Lopez-Salido, and Javier Valles (2003). "Technology Shocks and Monetary Policy: Assessing the Fed's Performance." Forthcoming in Journal of Monetary Economics.
29. Gerlach, Stefan and Gert Schnabel (2000). The Taylor Rule and Interest Rates in the EMU Area. Economics Letters, 67(2), pp. 165-171.
30. Geweke, John (1998). "Using Simulation Methods for Bayesian Econometric Models: Inference, Development and Communication," mimeo. University of Minnesota and Federal Reserve Bank of Minneapolis.
31. Geweke, John (1999). "Computational Experiments and Reality," mimeo. University of Minnesota and Federal Reserve Bank of Minneapolis.
32. Goodfriend, Marvin and Robert King (1997). "The New Neoclassical Synthesis and the Role of Monetary Policy." In NBER Macroeconomics Annual 1997 edited by Ben Bernanke and Julio Rotemberg.
33. Greenwood, Jeremy, Zvi Hercowitz, and Gregory Huffman (1988). Investment, Capacity Utilization and the Real Business Cycle. American Economic Review, 78(3), pp. 402-417.
34. Griffin, Peter (1996). "Input Demand Elasticities for Heterogeneous Labor: Firm-Level Estimates and an Investigation into the Effects of Aggregation. " Southern Economic Journal, 62, pp. 889-901.
35. Ireland, Peter (1999a). "A Method for Taking Models to the Data," mimeo. Boston College and NBER.
36. Ireland, Peter (1999b). "Interest Rates, Inflation, and Federal Reserve Policy Since 1980," mimeo. Boston College.
37. Ireland, Peter (2001). Technology Shocks and the Business Cycle: An Empirical Investigation. Journal of Economic Dynamics & Control, pp. 703-719.
38. Keen, Benjamin (2001). An Estimated Model of Monetary Policy with Real Rigidities, mimeo. Texas Tech. University, Lubbock, Texas.
39. Kim, Jinill (2000). "Constructing and Estimating a Realistic Optimizing Model of Monetary Policy." Journal ofMonetary Economics, 45, pp. 329-360.
40. King, Robert and Sergio Rebelo (2000). Resuscitating Real Business Cycles. NBER Working Paper 7534.
41. King, Robert and Mark Watson (1996). Money, Prices, Interest Rates and the Business Cycle. The Review ofEconomics and Statistics, February, 1, pp. 35-53.
42. Kollmann, Robert (1997). "The Exchange Rate in a Dynamic-Optimizing Current Account Model with Nominal Rigidities: A Quantitative Investigation. " IMF Working Paper.
43. Kydland, Finn and Edward Prescott (1982). Time to Build and Aggregate Fluctuations. Econometrica, November, 50(6), pp. 1345-1370.
44. Kydland, Finn and Edward Prescott (1996). The Computational Experiment: An Econometric Tool. Journal of Economic Perspectives, 10(1), pp. 68-86.
45. Landon-Lane, John (1998). Bayesian Comparison of Dynamic Macroeconomic Models, mimeo. Rutgers University, New Brunswick, New Jersey.
46. Landon-Lane, John (2000). Evaluating Real Business Cycle Models Using Likelihood Methods, mimeo. Rutgers University, New Brunswick, New Jersey.
47. McCallum, Ben and Edward Nelson (1999). Nominal Income Targeting in an Open-Economy Optimizing Model. Journal of Monetary Economics, 43, pp. 553-578.
48. Neiss, Kathrin and Edward Nelson (2001). "The Real Interest Rate Gap as an Inflation Indicator. " Bank of England Working Paper.
49. Otrok, Chris (2001). "On Measuring the Welfare Costs of Business Cycles." Journal of Monetary Economics, 47, pp. 61-92.
50. Peersman, Gert and Frank Smets (2001). The Monetary Transmission Mechanism in the Euro Area. ECB Working Paper 91.
51. Perotti, Roberto (2002). Estimating the Effects of Fiscal Policy in OECD Countries. ECB Working Paper 168.
52. Rabanal, Pau and Juan Rubio-Ramirez (2001). Nominal Versus Real Wage Rigidities: A Bayesian Approach, mimeo. Philadelphia: University of Pennsylvania.
53. Rotemberg, Julio and Michael Woodford (1998). An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy: Expanded Version. NBER Technical Working Paper 233.
54. Sargent, Tom (1989). "Two Models of Measurements and the Investment Accelerator. " Journal ofPolitical Economy, 97(2), pp. 251-287.
55. Schorfheide, Frank (2000). Loss Function Based Evaluation of DSGE Models. Journal of Applied Econometrics, 15(6), pp. 645-670.
56. Shapiro, Matthew and Mark Watson (1989). "Sources of Business Cycle Fluctuations. " NBER Macroeconomics Annual, 1988, pp. 111-148.
57. Taylor, John (1993). Discretion Versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, Vol. 39, pp. 195-214. Amsterdam: North Holland.
58. Woodford, Michael (1999). Optimal Monetary Policy Inertia. NBER Working Paper 7261.
59. Woodford, Michael (2000). A Neo-Wicksellian Framework for the Analysis of Monetary Policy, mimeo. Princeton University, Princeton, New Jersey.
60. Woodford, Michael (2001). Inflation Stabilization and Welfare. NBER Working Paper 8071.