Master Thesis - Humboldt-UniversitÃ¤t zu Berlin

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tic Models easily”, Tilburg University, Center for Economic Research, Discussion Paper, No. 97, (Version revisited). [23] Uhlig, H. (2007), ”Monetary Policy in Europe vs. the US: what explains the difference?”, SFB 649, Work in progress. [24] Walsh, C. E. (2002), ”Monetary theory and policy”, MIT Press. [25] Woodford, M., (2003), ”Interest and Prices: Foundation of a Theory of Monetary Policy”, Princeton, NJ: Princeton University Press. 44
9 Appendixes 9.1 Appendix 1 Data description for the estimation The final purpose of our paper was to re-estimate the model using as a benchmark the estimated parameters obtained by the authors in their 2005 version. For this, two sets of quarterly data have been prepared: (1) one set sent by the authors including time series over 1970/1-2004/4; (2) another set of data that has been collected from the international sources following the indications of the authors with regard to the data, in their paper. The variables in the model are not stationary; therefore we use in the estimation their growth rates, namely log-differences for consumption, investment, output, real wages, labor (employment), and deflators, and try to estimate the trend in each of them. Interest rate is in nominal terms; so are oil price and exchange rate. Net trade is expresses simply as difference between exports and imports. Some other doing research in the area might find it useful to consult our transformations and sources for the data. 1. for the United states CONS = LN(C/GD)/P op) ∗ 100 INV = LN(I/GD)/P op) ∗ 100 GDP = LN(Y/GD)/P oP ∗ 100 HOURS = LN(H ∗ Emp)/P op) ∗ 100 W AGE = LN(W/GD) ∗ 100 GDP inf = LN(GD/GD(−1)) ∗ 100 CP Iinf = LN(CP I/CP I(−1)) ∗ 100 IMP inf = LN(ID/ID(−1)) ∗ 100 R = F F R/4 NT = (EX − IM)/P oP P oP index = P oP (1992 : 3) = 1 EMP index = EMP (1992 : 3) = 1 Sources for the original data : GD: United States, Implicit Price Deflator, Gross Domestic Product, To- 45
Page 1 and 2: Master Thesis: Monetary and Fiscal
Page 3 and 4: 6.9 ROW demand shock . . . . . . .
Page 5 and 6: Preference shocks, inflation object
Page 7 and 8: the households behavior with respec
Page 9 and 10: 4 The Model Our model consists of t
Page 11 and 12: The effective returns on domestic a
Page 13 and 14: y j t = min { } (1 − ω − ζ)
Page 15 and 16: M T t = M t + O t (17) Non-oil impo
Page 17 and 18: 4.5 Government For simplicity, we a
Page 19 and 20: 5 Model analysis We find it more co
Page 21 and 22: with RP positive. The risk premium
Page 23 and 24: Î t = 1 1 + β (Ît−1 + βÎt+1
Page 25 and 26: W τ t = −Pt C 1 + τt c (1 + λ
Page 27 and 28: an exogenoeus ARMA(1,1) process aro
Page 29 and 30: Households use the following rule f
Page 31 and 32: 5.4 Final goods sector: Optimizatio
Page 33 and 34: ¯M d Ȳ = χ ¯C (1 − θ)( ν Ȳ
Page 35 and 36: P ˆ M d t Pt D − ˆ P M d t−1
Page 37 and 38: In the paper most of the shocks are
Page 39 and 40: 6.7 Capital tax shock Responses of
Page 41 and 42: 7 Conclusions In this model we have
Page 43: (AWM) for the Euro Area”, ECB Wor
Page 47 and 48: Y: Real GDP (YER) W: Nominal wages
Page 49 and 50: Figure 3: Impulse-response analysis
Page 51 and 52: Figure 7: Impulse-response analysis
Page 53 and 54: Figure 11: Impulse-response analysi
Page 55 and 56: Figure 14: Impulse-response analysi
Page 57 and 58: Figure 16: Dynare code 57
Page 69: Figure 28: Dynare code 69

Master Thesis - Humboldt-UniversitÃ¤t zu Berlin

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