Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/106352
Authors: 
Pedersen, Jesper
Ravn, Søren Hove
Year of Publication: 
2013
Series/Report no.: 
Danmarks Nationalbank Working Papers 88
Abstract: 
Estimated DSGE models have become the standard workhorse model for empirically based macroeconomic analysis in recent years. In this paper, we present an estimated DSGE model for Denmark. The model has been estimated using Bayesian methods and a dataset consisting of 23 macroeconomic variables. We use the model to identify the most important determinants of business cycle fluctuations in Denmark. Our results indicate that foreign shocks explain more than 50 pct. of the variation in Danish real GDP. As an example, the recession that hit Denmark in the wake of the recent financial crisis was to a large extent caused by foreign factors. Shocks originating abroad also played an important role in the build-up to the crisis. However, domestic factors also contributed substantially to the boom in Danish GDP in the years before the crisis, while fiscal policy was not sufficiently contractionary during the boom.
Subjects: 
DSGE Models
Small Open Economies
Bayesian Estimation
JEL: 
C11
E17
E27
E32
Document Type: 
Working Paper

Files in This Item:
File
Size
946.91 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.