کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
966240 | 930939 | 2008 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian estimation and evaluation of the segmented markets friction in equilibrium monetary models
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Bayesian estimation and evaluation of the segmented markets friction in equilibrium monetary models Bayesian estimation and evaluation of the segmented markets friction in equilibrium monetary models](/preview/png/966240.png)
چکیده انگلیسی
This paper develops, estimates and evaluates a heterogeneous agents segmented markets model with endogenous production and a monetary authority that follows a Taylor-type interest rate rule. We find that adding the segmented markets friction significantly improves the statistical out-of-sample prediction performance of the model, and helps generate delayed and realistic impulse response functions to monetary policy shocks. The estimated segmented markets model also outperforms the standard limited participation model, both in terms of marginal likelihood and of qualitative features of the impulse response function. We estimate the fraction of households participating in financial markets to be approximately 22%.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 30, Issue 1, March 2008, Pages 444-461
Journal: Journal of Macroeconomics - Volume 30, Issue 1, March 2008, Pages 444-461
نویسندگان
John Landon-Lane, Filippo Occhino,