Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/152605 
Year of Publication: 
2002
Series/Report no.: 
ECB Working Paper No. 171
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper develops and estimates a stochastic dynamic general equilibrium (SDGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is estimated with Bayesian techniques using seven key macro-economic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labour supply, investment, preference, cost-push and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle fluctuations in the euro area. Using the estimated model, the paper also analyses the output (real interest rate) gap, defined as the difference between the actual and model-based potential output (real interest rate).
Subjects: 
euro area
monetary policy
SDGE models
JEL: 
E4
E5
Document Type: 
Working Paper

Files in This Item:
File
Size
939.86 kB





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