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2008•Macroeconomic DynamicsRequires access

EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA

Malin Adolfson, Stefan Laséen, Jesper Lindé, Mattias Villani

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Abstract

In this paper, we compare the empirical properties of closed- and open-economy DSGE models estimated on Euro area data. The comparison is made along several dimensions; we examine the models in terms of their marginal likelihoods, forecasting performance, variance decompositions, and their transmission mechanisms of monetary policy.

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What this paper is about

In this paper, we compare the empirical properties of closed- and open-economy DSGE models estimated on Euro area data. The comparison is made along several dimensions; we examine the models in terms of their marginal likelihoods, forecasting performance, variance decompositions, and their transmission mechanisms of monetary policy.

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OpenAlex reports 42 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In this paper, we compare the empirical properties of closed- and open-economy DSGE models estimated on Euro area data. The comparison is made along several dimensions; we examine the models in terms of their marginal likelihoods, forecasting performance, variance decompositions, and their transmission mechanisms of monetary policy.

Key concepts: Dynamic stochastic general equilibrium, Economics, Open economy, Small open economy, Monetary policy, Econometrics, Variance (accounting), Macroeconomics

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