Importancia de las rigideces nominales y reales en Colombia: un enfoque de equilibrio general dinámico y estocástico

Este trabajo pretende determinar qué conjunto de rigideces nominales y reales se debe incluir en un modelo DSGE para replicar la dinámica de las variables agregadas de la economía colombiana. Con este fin, se estiman varios modelos DSGE con distintas combinaciones de rigideces nominales y reales usando métodos Bayesianos. Los resultados indican que el ajuste empírico del modelo está determinado, en orden de importancia, por la rigidez de salarios, la rigidez de los precios domésticos, los costos de ajuste a la inversión y la rigidez de precios de importados. Con respecto a la dinámica de corto plazo del modelo, la sensibilidad ante un choque de política monetaria depende en mayor medida de las rigideces de salarios, del tipo de indexación de precios y salarios y de los costos de ajuste de la inversión.Rigideces nominales, rigideces reales, modelo DSGE, estimación Bayesiana. Classification JEL: D58, E22, E31, E32

Ricardian Equivalence Proposition in a NK DSGE Model for two Large Economies: The EU and the US

This paper examines the macroeconomic effects of active fiscal policy management coupled with a monetary policy that follows the Taylor principle. The objective is to investigate the relevance of the Ricardian Equivalence Proposition (REP) in a framework where two large open economies interact and a fraction of the consumers is financially constrained. According to an estimated vector autoregressive model, a positive shock in government expenditure leads to an increase in private consumption (at odds with the permanent income hypothesis). The channels are studied in a fully microfounded dynamic stochastic general equilibrium model economy calibrated for the Euro Area (EU-12) and for the United States. The crucial parameter that drives the break of the REP is the share of financially constrained consumers. Firms produce tradable varieties in a monopolistic competition framework and pricing is à la Calvo, which leads to nominal price stickiness. Labor varieties are immobile across countries and are demanded in an aggregated fashion by firms. Fiscal policy is specified as a time-consistent rule. We simulate through impulseresponse functions parameterizations that yield results consistent with the REP, and estimate a subset of deep parameters employing Bayesian techniques.

A Sticky-Information General Equilibrium Model for Policy Analysis

This paper presents a dynamic stochastic general-equilibrium model with a single friction in all markets: sticky information. In this economy, agents are inattentive because of the high cost of acquiring, absorbing and processing information, so that the actions of consumers, workers and firms are slow to incorporate news. This paper presents the details of the behavior of an economy with pervasive inattentiveness functions, and develops a set of algorithms that solve the model quickly. It then applies these to estimate the model using post-1986 data for the United States and post-1993 for the Eurozone, and to conduct counterfactual policy experiments. The end result is a laboratory that is rich enough to account for the dynamics of at least five macroeconomic series (inflation, output, hours, interest rates, and wages), and which can be used to inform applied monetary policy.

A Small Open Economy DSGE Model for Pakistan

This paper estimates a small open economy Dynamic Stochastic General Equilibrium (DSGE) model for Pakistan using Bayesian simulation approach. Model setup is based on new Keynesian framework, characterized by nominal rigidity in prices with habit formation in household’s consumption. The core objective is to study whether an estimated small open economy DSGE model provides a realistic behavior about the structure Pakistan economy with fully articulated description of the monetary policy transmission mechanism vis-à-vis domestic firm’s price setting behavior. To do so, we analyze the impulse responses of key macro variables; domestic inflation, imported inflation, output, consumption, interest rate, exchange rate, term of trade to different structural/exogenous shocks. From several interesting results, few are; (a) high inflation in Pakistan do not hit domestic consumption significantly; (b) Central bank of Pakistan responds to high inflation by increasing the policy rate by 100 to 200 bps; (c) exchange rate appreciates in both the cases of high domestic and imported inflation; (d) tight monetary policy stance helps to curb domestic inflation as well as imported inflation but appreciates exchange rate significantly (f) pass through of exchange rate to domestic inflation is very low; finally parameter value of domestic price stickiness shows that around 24 percent domestic firms do not re-optimize their prices which implies averaged price contract is about two quarters.New-Keynesian economics; open economy DSGE models; nominal rigidities; monetary policy transmission mechanism; Bayesian Approach

Forecasting Canadian Time Series With the New-Keynesian Model

This paper documents the out-of-sample forecasting accuracy of the New Keynesian Model for Canada. We estimate our variant of the model on a series of rolling subsamples, computing out-of-sample forecasts one to eight quarters ahead at each step. We compare these forecasts to those arising from simple vector autoregression (VAR) models, using econometric tests for forecasting accuracy. Our results show that the forecasting accuracy of the New Keynesian model compares favorably to that of the benchmarks, particularly as the forecasting horizon is increased. These results suggest that the model could become a useful forecasting tool for Canadian time series.

Assessing the sensitivity of inflation to economic activity

A number of academic studies suggest that from the mid-1990s onwards there were changes in the link between inflation and economic activity. However, it remains unclear the extent to which this phenomenon can be ascribed to a change in the structural relationship between inflation and output, as opposed to a change in the size and nature of the shocks hitting the economy. This paper uses a suite of models, such as time-varying VAR techniques, traditional macro models, as well as DSGE models, to investigate, for various European countries as well as for the euro area, the evolution of the link between inflation and resource utilization and its dependence on the nature and size of the shocks. Our analysis suggests that the relationship between inflation and activity has indeed been changing over time, while remaining positive, with the correlation peaking during recessions. Quantitatively, the link between output and inflation is found to be highly dependent on which type of shocks hit the economy: while, in general, all demand shocks to output imply a reaction of inflation of the same sign, the latter will be less pronounced when output fluctuations are driven by supply shocks. In addition, a sharp deceleration of activity, as opposed to a subdued but protracted slowdown, results in a swifter decline in inflation. Inflation exhibits a rather strong persistence, with a negative impact still visible three years after the initial shock. JEL Classification: E31, E32, E37demand shock, inflation response, Macro model, output growth, Phillips curve

Bayesian Estimation of a Simple Macroeconomic Model for a Small Open and Partially Dollarized Economy

I describe a simple new-keynesian macroeconomic model for a small open and partially dollarized economy, which closely resembles the Quarterly Projection Model (QPM) developed at the Central Bank of Peru (Vega et al. (2009)). Then I use Bayesian techniques and quarterly data from Peru to estimate a large group of parameters. The empirical findings provide support for some of the parameters values imposed in the original QPM. In contrast, I find that another group of coefficients – e.g., the weights on the forward-looking components in the aggregate demand and the Phillips curve equations, among several others – should be modified to be more consistent with the data. Furthermore, the results validate the operation of different channels of monetary policy transmission, such as the traditional interest rate channel and the exchange rate channel. I also find evidence that in the most recent part of the sample (2004 onwards), the expectations channel has become more prominent, as implied by the estimated values of the forward-looking parameters in the aggregate demand and the Phillips curve equations.Monetary Policy; Partial Dollarization; Bayesian Estimation

Una aplicación de un modelo neoclásico DSGE con política fiscal.

En este artículo se utiliza un modelo dinámico estocástico de equilibrio general (DSGE) neoclásico para evaluar el impacto de choques de oferta (productividad) y demanda (comercio externo) sobre el desempeño económico. Además, se analizan decisiones de política económica, en especial, el efecto del gasto público sobre la economía según las condiciones en que éste se realice. Los ejercicios realizados muestran que con un modelo de economía abierta, una política expansiva de gasto público incrementa en el corto plazo el empleo y el producto, pero se incurre en un costo futuro adicional, que parece sugerir un impacto superior al beneficio alcanzado en el corto plazo.We use a Dynamic Stochastic General Equilibrium (DSGE) model to evaluate the effect of supply (productivity) and demand (foreign trade) shocks on the economy. In addition, this paper analyzes the impact of policies, specifically the effect of public spending under given economic environments. Our results show that, in an open economy model, an expansionary policy of public spending increases employment and production in the short run, but carries an additional future cost, which appears to be greater than the short term benefit

A Small Open Economy DSGE Model for Pakistan

This paper estimates a small open economy Dynamic Stochastic General Equilibrium (DSGE) model for Pakistan using Bayesian simulation approach. Model setup is based on new Keynesian framework, characterised by nominal rigidity in prices with habit formation in household’s consumption. The core objective is to study whether an estimated small open economy DSGE model provides a realistic behavior about the structure Pakistan economy with fully articulated description of the monetary policy transmission mechanism vis -à-vis domestic firm’s price setting behavior. To do so, we analyse the impulse responses of key macro variables; domestic inflation, imported inflation, output, consumption, interest rate, exchange rate, term of trade to different structural/exogenous shocks. From several interesting results, few are; (a) high inflation in Pakistan do not hit domestic consumption significantly; (b) Central bank of Pakistan responds to high inflation by increasing the policy rate by 100 to 200 bps; (c) exchange rate appreciates in both the cases of high domestic and imported inflation; (d) tight monetary policy stance helps to curb domestic inflation as well as imported inflation but appreciates exchange rate significantly (f) pass through of exchange rate to domestic inflation is very low; finally parameter value of domestic price stickiness shows that around 24 percent domestic firms do not re-optimise their prices which implies averaged price contract is about two quarters.New-Keynesian Economics, Open Economy DSGE Models, Nominal Rigidities, Monetary Policy, Transmission Mechanism, Bayesian Approach