文章基本信息

标题：AN ESTIMATED DSGE MODEL OF THE INDIAN ECONOMY
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作者：Vasco J Gabriel ; Paul Levine ; Joseph Pearlman 等
期刊名称：Discussion Papers in Economics / Department of Economics, University of Surrey
出版年度：2010
卷号：2010
出版社：University of Surrey
摘要：We develop a closed-economy DSGE model of the Indian economy and estimate it by Bayesian Maximum Likelihood methods using Dynare. We build up in stages to a model with a number of features important for emerging economies in general and the Indian economy in particular: a large proportion of credit-constrained consumers, a ¯nancial accelerator facing domestic ¯rms seeking to ¯nance their investment, and an informal sector. The simulation properties of the estimated model are examined under a generalized in°ation targeting Taylor-type interest rate rule with forward and backward-looking components. We ¯nd that, in terms of model posterior probabilities and standard moments criteria, inclusion of the above ¯nancial frictions and an infor- mal sector signi¯cantly improves the model ¯t.
关键词：Indian economy, DSGE model, Bayesian estimation, monetary interest rate rules, ¯nancial frictions