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Bayesian estimation of an open economy DSGE model with incomplete pass-through
Stockholm University, Faculty of Social Sciences, Department of Statistics.
2007 (English)In: Journal of International Economics, ISSN 0022-1996, E-ISSN 1873-0353, Vol. 72, no 2, 481-511 p.Article in journal (Refereed) Published
Abstract [en]

In this paper, we develop a dynamic stochastic general equilibrium (DSGE) model for an open economy, and estimate it on Euro area data using Bayesian estimation techniques. The model incorporates several open economy features, as well as a number of nominal and real frictions that have proven to be important for the empirical fit of closed economy models. The paper offers: i) a theoretical development of the standard DSGE model into an open economy setting, ii) Bayesian estimation of the model, including assessments of the relative importance of various shocks and frictions for explaining the dynamic development of an open economy, and iii) an evaluation of the model's empirical properties using standard validation methods.

Place, publisher, year, edition, pages
2007. Vol. 72, no 2, 481-511 p.
Keyword [en]
DSGE model, open economy, monetary policy, nominal rigidities, Bayesian inference, business cycle
National Category
Economics and Business
URN: urn:nbn:se:su:diva-56240DOI: 10.1016/j.jinteco.2007.01.003ISI: 000247498000011OAI: diva2:410283
authorCount :4Available from: 2011-04-13 Created: 2011-04-12 Last updated: 2011-04-13Bibliographically approved

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Villani, Mattias
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ReferencesLink to record
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