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Comparing Shocks and Frictions in US and Euro Area Business Cycles: A Bayesian DSGE Approach. NBB Working Paper Nr. 61, October 2004

Smets, Frank and Wouters, Raf. (2004) Comparing Shocks and Frictions in US and Euro Area Business Cycles: A Bayesian DSGE Approach. NBB Working Paper Nr. 61, October 2004. [Working Paper]

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    Abstract

    This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in the type of shocks that affect the two economies, differences in the propagation mechanism of those shocks or differences in the way the central bank responds to those economic developments. Our main conclusion is that each of those characteristics is remarkably similar across both currency areas.

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    Item Type: Working Paper
    Uncontrolled Keywords: DSGE models; business cycle fluctuations.
    Subjects for non-EU documents: EU policies and themes > EU institutions & developments > institutional development/policy > historical development of EC (pre-1986)
    EU policies and themes > External relations > EU-US
    EU policies and themes > Policies & related activities > economic and financial affairs > general
    Subjects for EU documents: UNSPECIFIED
    EU Series: UNSPECIFIED
    ["eprint_fieldname_eusries" not defined]: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > National Bank of Belgium (Brussels) > Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 26 Oct 2004
    Page Range: p. 36
    Last Modified: 15 Feb 2011 17:20
    URI: http://aei.pitt.edu/id/eprint/2016

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