| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6113 |
| DP6113 Vintage Capital and Expectations Driven Business Cycles | |
| Martin Flodén | |
| 发表日期 | 2007-02-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for a discrete break in the central bank's instrument rule. A key equation in the model - the uncovered interest rate parity (UIP) condition - is well known to be rejected empirically. Therefore we explore the consequences of modifying the UIP condition to allow for a negative correlation between the risk premium and the expected change in the nominal exchange rate. The results show that the modification increases the persistence and volatility in the real exchange rate and that this model has an empirical advantage compared with the standard UIP specification. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian inference Dsge model Dsge-var model Dsge-vecm model Open economy |
| URL | https://cepr.org/publications/dp6113 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534952 |
| 推荐引用方式 GB/T 7714 | Martin Flodén. DP6113 Vintage Capital and Expectations Driven Business Cycles. 2007. |
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