An estimated two-country DSGE model of Austria and the Euro Area

被引：3
作者：
Fritz Breuss
Katrin Rabitsch
机构：
[1] Vienna University of Economics and Business Administration,Research Institute for European Affairs, Department of Economics
[2] WIFO,Department of Economics
[3] Central European University,Research Division
[4] Magyar Nemzeti Bank,undefined
来源：
Empirica | 2009年 / 36卷 / 1期
关键词：
European Monetary Union; DSGE modeling; Bayesian estimation; E4; E5; F4;
D O I：
10.1007/s10663-008-9095-y
中图分类号：
学科分类号：
摘要：
We present a two-country New Open Economy Macro model of the Austrian economy within the European Union’s Economic & Monetary Union (EMU). The model includes both nominal and real frictions that have proven to be important in matching business cycle facts, and that allow for an investigation of the effects and cross-country transmission of a number of structural shocks: shocks to technologies, shocks to preferences, cost-push type shocks and policy shocks. The model is estimated using Bayesian methods on quarterly data covering the period of 1976:Q2–2005:Q1. In addition to the assessment of the relative importance of various shocks, the model also allows to investigate effects of the monetary regime switch with the final stage of the EMU and investigates in how far this has altered macroeconomic transmission. We find that Austria’s economy appears to react stronger to demand shocks, while in the rest of the Euro Area supply shocks have a stronger impact. Comparing the estimations on pre-EMU and EMU subsamples we find that the contribution of (rest of the) Euro Area shocks to Austria’s business cycle fluctuations has increased significantly.
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页码：123 / 158
页数：35
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