Macroeconomic Effects of Financial Shocks in a New Keynesian DSGE Model

2021 ◽  
Vol 25 (1) ◽  
pp. 3-29
Author(s):  
Kwang Hee Nam
Keyword(s):  
New Keynesian ◽  
Dsge Model ◽  
Financial Shocks ◽  
Macroeconomic Effects

scholarly journals The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Phuong V. Nguyen
Keyword(s):  
Business Cycle ◽  
Open Economy ◽  
Small Open Economy ◽  
Research Paper ◽  
New Keynesian ◽  
Dsge Model ◽  
Content Type ◽  
Business Cycle Fluctuations ◽  
Dynamic Stochastic ◽  
The Business Cycle

PurposeThe primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, the author develops a small open economy New Keynesian dynamic stochastic general equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through (ERPT), the failures of the law of one price (LOOP) and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1–2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.Design/methodology/approachA SOE-NK-DSGE model—Bayesian estimation.FindingsThis paper analyzes the sources of the business cycle fluctuations in Vietnam.Originality/valueThis research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

scholarly journals Fiscal and monetary policy in new Keynesian DSGE models

2014 ◽  
Author(s):  
Πέτρος Βαρθαλίτης
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Open Economy ◽  
Small Open Economy ◽  
New Keynesian ◽  
Dsge Models ◽  
Dsge Model ◽  
Keynesian Model ◽  
Monetary And Fiscal Policy ◽  
Fiscal And Monetary Policy

This thesis is about monetary and fiscal policy in New Keynesian DSGE models. Chapter 2 presents the baseline New Keynesian DSGE model. Monetary policy is in the form of a simple interest rate Taylor-type policy rule, while fiscal policy is exogenous. Chapter 3 extends the model of Chapter 2 to include fiscal policy. Now, both monetary and fiscal policy are allowed to follow feedback rules. Chapter 4 sets up a New Keynesian model of a semi-small open economy with sovereign risk premia. Finally, Chapter 5 builds a New Keynesian DSGE model consisting of two heterogeneous countries participating in a monetary union.Throughout most of the thesis, policy is conducted via "simple", "implementable" and "optimized" feedback policy rules. Using such rules, the aim of policy is twofold: firslty, it aims to stabilize the economy when the latter is hit by shocks; secondly, it aims to improve the economy's resource allocation.

scholarly journals Macroeconomic Effects of Financial Shocks

2009 ◽  
Author(s):  
Urban Jermann ◽  
Vincenzo Quadrini
Keyword(s):  
Financial Shocks ◽  
Macroeconomic Effects

scholarly journals Macroeconomic Effects of Minimum Wage Increases in an Economy with Wage Underreporting

2018 ◽  
pp. 10-33
Author(s):  
Anastasiia Antonova
Keyword(s):  
Financial Markets ◽  
Minimum Wage ◽  
Wage Increase ◽  
Minimum Wage Increase ◽  
Dsge Model ◽  
Macroeconomic Effects ◽  
Wage Increases

I have built a monetary DSGE model to investigate how wage underreporting in an economy characterized by a minimum wage regime affects the macroeconomic response to a minimum wage increase. The model is calibrated and estimated for Ukraine. The main result is that under a higher degree of wage underreporting, the economy is less responsive to a minimum wage shock. Quantitatively, the magnitude of the response to a minimum wage shock is affected by the share of non-Ricardian households, that is, households that do not have access to financial markets and consequently consume all of their income each period.

scholarly journals New Keynesian Liquidity Trap and Conventional Fiscal Stance: An Estimated DSGE Model

2019 ◽  
Vol 33 (1) ◽  
pp. 152-169
Author(s):  
Olatunji Abdul Shobande ◽  
Oladimeji Tomiwa Shodipe
Keyword(s):  
United States ◽  
Monetary Policy ◽  
Fiscal Policy ◽  
The United States ◽  
New Keynesian ◽  
Transmission Channel ◽  
Dsge Model ◽  
Liquidity Trap ◽  
Exogenous Shock ◽  
Macroeconomic Variables

Abstract The study investigates the effect of New Keynesian liquidity trap on fiscal stance in the United States, United Kingdom and Japan economies. We developed our DSGE model in the context of an optimal and persistent interactive fiscal policy, which allows us to track the transmission channel through which shocks are distributed among real economic variables. The evidence suggests that zero lower bound mitigates the ability of monetary policy to absorb the effect of exogenous shock on the macroeconomic variables while expansionary fiscal policy was able to absorb the shock persistence transmitted from the nominal interest rate.

scholarly journals HETEROGENEITY IN WAGE SETTING BEHAVIOR IN A NEW-KEYNESIAN MODEL

2019 ◽  
Vol 24 (6) ◽  
pp. 1512-1546
Author(s):  
Sylvester C. W. Eijffinger ◽  
Anderson Grajales-Olarte ◽  
Burak R. Uras
Keyword(s):  
New Keynesian ◽  
Wage Rigidity ◽  
Nominal Wage ◽  
Dsge Model ◽  
Wage Setting ◽  
Sticky Information ◽  
Bayesian Techniques ◽  
Us Economy ◽  
Output Fluctuations ◽  
Dynamic Stochastic

In this paper we estimate a New-Keynesian dynamic stochastic general equilibrium (NK DSGE) model with heterogeneity in price and wage setting behavior. In a recent study, Coibion and Gorodnichenko develop a DSGE model, in which firms follow four different types of price setting schemes: sticky prices, sticky information, rule-of-thumb, or flexible prices. We enrich Coibion and Gorodnichenko framework by incorporating heterogeneity in nominal wage setting behavior among households. We solve this DSGE model and estimate it using Bayesian techniques for the US economy from 1955 to 2008. The estimation results show the relevance of heterogeneity in wage setting among households. More importantly, we identify qualitative and quantitative business cycle features allowed by the heterogeneity in wage rigidity, such as the persistence in price and wage inflation, which a standard NK model with only Calvo-type wage rigidity fails to achieve. We also show that modeling wage-rigidity heterogeneity—as opposed to standard Calvo wages—amplifies the macroeconomic output fluctuations resulting from a technology shock while it mitigates the output fluctuations following a monetary tightening.

Three Applications

2015 ◽  
Author(s):  
Edward P. Herbst ◽  
Frank Schorfheide
Keyword(s):  
Government Spending ◽  
Three Dimensions ◽  
New Keynesian ◽  
Model Specification ◽  
Nominal Wage ◽  
Dsge Model ◽  
Wage Stickiness ◽  
Exogenous Shocks ◽  
State Of The Economy ◽  
Technology Growth

This chapter modifies the baseline DSGE model in three dimensions. First, it replaces the AR processes for technology growth and government spending by a VAR process, generalizing the law of motion of the exogenous shocks to make the DSGE model specification more flexible and improve its fit. Second, the chapter adds capital as a factor of production to the baseline New Keynesian DSGE model and includes nominal wage stickiness as well as other forms of rigidities. Finally, it considers a DSGE model that is designed to analyze fiscal as opposed to monetary policy. This model abstracts from nominal rigidities and instead focuses on fiscal policy rules that determine the level of government spending and taxation as a function of the state of the economy.

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