| Description |
1 online resource (57 pages) : color illustrations. |
|
text file |
| Series |
IMF working paper,
1018-5941 ;
WP/15/153
|
|
IMF working paper ; WP/15/153.
|
| Note |
"July 2015." |
|
"European Department and Research Department." |
| Bibliography |
Includes bibliographical references (pages 43-45). |
| Summary |
We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level, between 2000-2013. After joining the monetary union, a decline in some countries' borrowing costs contributed to a credit, housing and real boom and bust cycle. We show that financial frictions amplified economic fluctuations and the measure of the output gap in those countries. On the contrary, in countries such as France and Germany, financial frictions played a minor role in output gap measures. We also present evidence of the trade-offs faced by the European Central Bank when trying to stabilize two regions in a currency union with unsynchronized economic cycles. --Abstract. |
| Contents |
Cover; Contents; I. INTRODUCTION; List of Figures; 1 Ten Year Government Bond Rates in Selected Euro Area Countries; 2 Excess Credit and Unemployment Rates; II. THE MODEL; A. Credit Markets; A.1. Domestic Intermediaries; A.2. International Intermediaries; B. Households; B.1. Savers; B.2. Labor Unions and Wage Setting; B.3. Borrowers; C. Firms, Technology, and Sticky Prices; C.1. Final Goods Producers; C.2. Intermediate Goods Producers; D. Closing the Model; D.1. Market Clearing Conditions; D.2. Monetary Policy and Interest Rates; III. PARAMETER ESTIMATES; A. Data; B. Calibrated Parameters. |
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List of Tables1 Calibrated Parameters; C. Prior and Posterior Distributions; 2 Prior and Posterior Distributions, Economic Parameters; 3 Prior and Posterior Distributions, AR(1) Shock Processes; D. Variance Decomposition: The Role of Demand and Financial Shocks; IV. DECOMPOSING THE BUSINESS CYCLE IN THE EURO AREA; 4 Variance Decomposition; A. HBS Countries; 3 Shock Decomposition, Output and Output Gaps; 4 Shock Decomposition, Credit and House Prices; B. Core; C. The Role of Financial Frictions; 5 Output Gaps and Financial Wedges; V. DOES ONE MONETARY POLICY FIT ALL? |
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6 Natural Rates of Interest and Deviations from Taylor RuleVI. IMPULSE RESPONSE ANALYSIS; 7 IRF -- Financial Shocks; 8 IRF -- Housing Demand Shocks; 9 IRF -- Monetary Policy Shocks; VII. CONCLUSIONS; A APPENDIX: DATA AND SOURCES; B APPENDIX: LINEARIZED CONDITIONS. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Economic and Monetary Union.
|
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Economic and Monetary Union. |
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Business cycles -- European Union countries -- Econometric models.
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Business cycles. |
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European Union countries. |
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Econometric models. |
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Monetary policy -- European Union countries -- Econometric models.
|
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Monetary policy. |
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Gross domestic product -- European Union countries -- Econometric models.
|
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Gross domestic product. |
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Business cycles -- Econometric models. |
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Gross domestic product -- Econometric models. |
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Monetary policy -- Econometric models. |
| Genre/Form |
Electronic books.
|
| Added Author |
Sanjani, Marzie Taheri, author.
|
|
International Monetary Fund. European Department.
|
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International Monetary Fund. Research Department.
|
| Other Form: |
Print version: 9781513512860 |
| ISBN |
1513512862 |
|
9781513512860 |
|
1513573861 |
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9781513573861 (electronic book) |
| Standard No. |
10.5089/9781513512860.001 |
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