Stock market wealth effects in an estimated DSGE model for Hong Kong
Funke, Michael; Paetz, Michael; Pytlarczyk, Ernest (04.10.2009)
Numero
14/2009Julkaisija
Bank of Finland
2009
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201408072196Tiivistelmä
This paper develops and estimates an open economy dynamic stochastic general equilibrium (DSGE) model of the Hong Kong economy. The model features short-run price rigidities generated by monopolistic competition and staggered reoptimisation. The model is enhanced with wealth effects due to stock price dynamics, which we believe to be important. For this reason we adopt a perpetual youth approach. Model parameters and unobserved components are estimated with a Bayesian maximum likelihood procedure, conditional on prior information concerning the values of parameters.
Julkaisuhuomautus
Published in Economic Modelling, Vol 28, No 1-2 (2011), pp. 316-334.