A Comparison Analysis of Monetary Policy Effect Under an Open Economy Model

East Asian Economic Review

卷:22

Keun Yeong Lee¹ 

[1] Sungkyunkwan University;

关键词: DSGE;    DSGE-VAR;    Bayesian VAR;    Marginal Data Density;    RMSE;   

DOI  :  http://dx.doi.org/10.11644/KIEP.EAER.2018.22.2.341

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown