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• W2397680664 abstract "This chapter examines the quantitative role of the cost channel and the uncovered interest rate parity (UIP) modification in an estimated small open economy DSGE model. For this purpose, a standard model (i.e., Justiniano and Preston 2010a) is augmented to incorporate (i) the cost channel of monetary policy and (ii) the UIP modification allowing for the country risk premium to be negatively correlated with the expected exchange rate depreciation. Four variants of the augmented model are estimated using Bayesian methods with data from Australia and the G7 economies. The empirical analysis shows that introducing the cost channel and the UIP modification into the standard model improves its ability to fit the business cycle features of key macroeconomic variables and to account for the empirical evidence on the monetary transmission mechanism." @default.
• W2397680664 created "2016-06-24" @default.
• W2397680664 creator A5086547481 @default.
• W2397680664 date "2016-06-09" @default.
• W2397680664 modified "2023-09-24" @default.
• W2397680664 title "A small open economy modelling: A Bayesian DSGE approach" @default.
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• W2397680664 hasPublicationYear "2016" @default.
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