文章基本信息

标题：Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
本地全文：下载
作者：Stéphane Dées ; Hashem Pesaran ; Vanessa Smith 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2010
出版社：European Central Bank
摘要：This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-speci􀀟c models include a Phillips curve determining in􀀠ation, an IS curve determining output, a Taylor Rule determining interest rates, and a real e􀀞ective exchange rate equation. The IS equation includes a real exchange rate variable and a countryspeci 􀀟c foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as deviations from their steady states, which are estimated as long-horizon forecasts from a reduced-form cointegrating global vector autoregression. The resulting rational expectations model is then estimated for 33 countries on data for 1980Q1- 2006Q4, by inequality constrained IV, using lagged and contemporaneous foreign variables as instruments, subject to the restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identi􀀟ed supply, demand and monetary policy shocks. Following the literature, we assume that the within country supply, demand and monetary policy shocks are orthogonal, though shocks of the same type (e.g. supply shocks in di􀀞erent countries) can be correlated. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present estimates allowing for both direct channels of international transmission through regression coe􀀡cients and indirect channels through error spillover e􀀞ects. Bootstrapped error bands are also provided for the cross country responses of a shock to the US monetary policy.
关键词：Global VAR (GVAR); New Keynesian DSGE models; supply shocks; demand;shocks; monetary policy shocks.