scholarly journals Identification of Monetary Policy Shocks within a SVAR Using Restrictions Consistent with a DSGE Model

2016 ◽  
Author(s):  
Nikolay Arefiev
Keyword(s):  
Monetary Policy ◽  
Monetary Policy Shocks ◽  
Dsge Model ◽  
Policy Shocks

scholarly journals Application of the Bayesian New Keynesian DSGE Model to Polish Macroeconomic Data

2021 ◽  
Vol 32 (2) ◽  
pp. 140-153
Author(s):  
Janusz Sobieraj ◽  
Dominik Metelski
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Significant Degree ◽  
New Keynesian ◽  
Output Gap ◽  
Monetary Policy Shocks ◽  
Dsge Model ◽  
Nominal Interest Rates ◽  
Policy Shocks ◽  
Dynamic Stochastic

In the paper we estimate a simple New Keynesian Dynamic Stochastic General Equilibrium NK DSGE model on the basis of Polish macro data from the period 2000-2019. The model is specified similarly to Galí (2008) with the use of the Bayesian approach. The NK DSGE model combines the advantages of both structural models and time-series models and, therefore, shows a significant degree of alignment with empirical data. The Bayesian estimation is based on the prior distribution of the model input parameters, which are later compared with the posteriors. The results obtained allow for assessing the persistence of responses to technological, inflationary and monetary policy shocks. On the basis of the NK DSGE model, we formulate a perception of macroeconomic interactions, e.g. nominal interest rates’ association with inflation and the output gap. In other words, the NK DSGE model provides a better understanding of the relationship between interest rates, inflation and the output gap. This in turn makes it easier to understand the monetary policy response function.

scholarly journals Two-Dimensional Monetary Policy Shocks in DSGE-Model Estimated for Russia

2017 ◽  
Vol 33 (1) ◽  
pp. 75-115
Author(s):  
A.G. Shulgin ◽  
Keyword(s):  
Monetary Policy ◽  
Two Dimensional ◽  
Monetary Policy Shocks ◽  
Dsge Model ◽  
Policy Shocks

Monetary Policy Shocks and Variance Risk Premia

2018 ◽  
Author(s):  
Asad Dossani
Keyword(s):  
Monetary Policy ◽  
Risk Premia ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Variance Risk

scholarly journals Uncertainty-Dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation

2018 ◽  
Author(s):  
Efrem Castelnuovo ◽  
Giovanni Pellegrino
Keyword(s):  
Monetary Policy ◽  
New Keynesian ◽  
Monetary Policy Shocks ◽  
Policy Shocks

scholarly journals (Un)expected Monetary Policy Shocks and Term Premia

2021 ◽  
Author(s):  
Martin Kliem ◽  
Alexander Meyer‐Gohde
Keyword(s):  
Monetary Policy ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Term Premia
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