Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/316537 
Autor:innen: 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 22 [Issue:] 2 [Year:] 2018 [Pages:] 141-176
Verlag: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Zusammenfassung: 
The paper analyzes and compares the effects of domestic monetary policy using DSGE, DSGE-VAR, and VAR based on a two-country open economy model of Korea and the U.S. According to impulse response analysis, a domestic interest rate hike raises won value in the case of DSGE and DSGE-VAR models, while in the case of the unrestricted VAR model, it lowers won value. In the marginal data density standard, DSGE-VAR (μ=1) is superior to DSGE or Bayesian VAR over the sample period. Conversely, in the in-sample RMSE criterion, especially for the won/dollar exchange rate, VARs are superior to DSGE or DSGE-VAR. It is necessary to study further if these differences are caused by model misspecification or omitted variable bias.
Schlagwörter: 
DSGE
DSGE-VAR
Bayesian VAR
Marginal Data Density
RMSE
JEL: 
E10
E50
F30
F40
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