A DSGE model of China

Dai, Li; Minford, Patrick; Zhou, Peng

doi:10.1080/00036846.2015.1071477

Cited by 20 publications

(14 citation statements)

References 19 publications

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“…Luckily, the labour market data do not show such abnormalities in the distribution of wage, so a data behaviour based estimator is preferred because it is robust to mis-specifications. A detailed discussion in comparing these two estimators can be found in Meenagh et al (2009), Le et al (2011) and Dai et al (2015) in the context of macroeconomic DSGE models. Within the data behaviour estimators, GMM and SMM use the moment properties of the actual data as the criterion to estimate the structural parameters.…”

Section: The Economic Method: Indirect Inferencementioning

confidence: 99%

The public sector wage premium puzzle

Wang

Zhou

2019

IJCEE

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This paper investigates the public sector wage premium in the UK over the first decade of the 21st century using both econometric and economic modelling methods. A comprehensive literature review is conducted to summarise the four popular types of methods adopted by the traditional microeconometric studies. Application of these methods results in an estimated public sector wage premium equal to 6.5%. Indirect inference is then introduced as a new method of testing and estimating a microfounded economic model. All four types of econometric methods can be used as auxiliary models to summarise the data features, based on which the distance between the actual data and the model-simulated data is assessed. The selection bias can also be tested in a straightforward way under indirect inference.

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Section: The Economic Method: Indirect Inferencementioning

confidence: 99%

The public sector wage premium puzzle

Wang

Zhou

2019

IJCEE

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“…The dynamic stochastic general equilibrium model with micro-theoretical foundation has been greatly applied in analysing the implementation effect of monetary policy, such as Den Haan et al 2010; Miao, Wang, and Xu (2015); Lubello and Rouabah (2017). Besides, the DSGE model provides a good framework for comprehensively investigating the mechanism of shadow banking in the financial system (Dai, Minford, and Zhou 2015;Hollander and Liu 2016). Gertler and Karadi (2011) constructed the DSGE model with seven sectors including households, intermediate product producers, final product producers, capital goods producers, commercial banks, shadow banks and the central banks.…”

Section: Literature Reviewmentioning

confidence: 99%

Shadow banking, monetary policy and systemic risk

2020

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This article aims to analyse the dissimilation effect of shadow banking on monetary policy and to judge the cyclical characteristics of shadow banking. Further, we analyse the dynamic response of shadow banking to financial risk shocks and regulatory shocks, and examine the influence of shadow banking on the transmission path of systemic risks, so as to provide theoretical bases for financial supply-side structural reforms in the context of high-quality development. To this end, this article constructs the multi-sector DSGE model that includes the shadow banking sector and the commercial banking sector that subjects to multiple credit regulatory constraints. And then the five-variable VAR model is used to conduct empirical tests. Empirical research has found that Chinese-style shadow banking exhibits countercyclical characteristics, and the existence of shadow banking reduces the transmission effectiveness of credit channel. Numerical simulation analysis finds that positive interest rate shocks would trigger the expansion of shadow banks and increase leverage, while reducing the credit leverage of commercial banks. Technological impacts such as financial technology have reduced loan premiums and have played a role in multi-channel evacuation of risk accumulation from the perspective of inclusive finance.

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“…Second, regarding the NK-DSGE model, there are various papers estimating this model for policy analysis in the developing and emerging economies [Liu and Zhang (2010), Gu et al (2014) and Dai et al (2015) for China; Elekdag et al (2005) and Choi and Hur (2015) for Korea; Sahminan et al (2017) and Gu et al (2014) for Indonesia; Ramayandi (2011) for four ASEAN countries such as Malaysia, Thailand, Indonesia and Philippines; Saxegaard et al (2010) and Gabriel et al (2016) for India; Silveira (2008) and Palma and Portugal (2014) for Brazil, Castillo et al (2013) for Peru, Medina and Soto (2007) for Chile and Steinbach et al (2009) for South Africa].…”

Section: Business Cycle Fluctuations In Vietnammentioning

confidence: 99%

The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

Nguyen

2020

JES

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PurposeThe primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, the author develops a small open economy New Keynesian dynamic stochastic general equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through (ERPT), the failures of the law of one price (LOOP) and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1–2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.Design/methodology/approachA SOE-NK-DSGE model—Bayesian estimation.FindingsThis paper analyzes the sources of the business cycle fluctuations in Vietnam.Originality/valueThis research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

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A DSGE model of China

Cited by 20 publications

References 19 publications

The public sector wage premium puzzle

The public sector wage premium puzzle

Shadow banking, monetary policy and systemic risk

The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

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