22 research outputs found
Monetary policy and housing prices in an estimated DSGE for the US and the euro area
We estimate a two-country Dynamic Stochastic General Equilibrium model for the US and the euro area including relevant housing market features and examine the monetary policy implications of housing-related disturbances. In particular, we derive the optimal monetary policy cooperation consistent with the structural specification of the model. Our estimation results reinforce the existing evidence on the role of housing and mortgage markets for the US and provide new evidence on the importance of the collateral channel in the euro area. Moreover, we document the various implications of credit frictions for the propagation of macroeconomic disturbances and the conduct of monetary policy. We find that allowing for some degree of monetary policy response to fluctuations in the price of residential goods improves the empirical fit of the model and is consistent with the main features of optimal monetary policy response to housing-related shocks. JEL Classification: E4, E5, F4Bayesian estimation, credit frictions, housing, new open economy macroeconomics, optimal monetary policy
Euro area and global oil shocks: an empirical model-based analysis
We assess the impact of oil shocks on euro-area (EA) macroeconomic variables
by estimating with Bayesian methods a two-country New Keynesian model of
EA and rest of the world (RW). Oil price is determined according to supply and
demand conditions in the world oil market. We obtain the following results. First,
a 10% increase in the international price of oil generates an increase of about
0.1 annualized percentage points in EA consumer price inflation. Second, the
same increase in the oil price generates a decrease in EA gross domestic product
(GDP) of around 0.1% and a EA trade deficit, if it is due to negative oil supply or
positive oil-specific demand shocks. Third, it generates a mild EA GDP increase
and a trade surplus if due to a positive RW aggregate demand shock. Fourth, the
increase in the oil price over the 2004\u20132008 period did not induce stagflationary
effects on the EA economy because it was associated with positive RW aggregate
demand shocks. The drop in RW aggregate demand contributes to explain the
2008 fall in oil prices, EA GDP and inflation