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2009-04-15Buch DOI: 10.18452/4185
Putting Up a Good Fight: The Galí-Monacelli Model versus “The Six Major Puzzles in International Macroeconomics”
dc.contributor.authorRied, Stefan
dc.date.accessioned2017-06-15T23:54:20Z
dc.date.available2017-06-15T23:54:20Z
dc.date.created2009-04-29
dc.date.issued2009-04-15
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4837
dc.description.abstractIn this paper, the following question is posed: Can the New Keynesian Open Economy Model by Galí and Monacelli (2005b) explain “Six Major Puzzles in International Macroeconomics”, as documented in Obstfeld and Rogoff (2000b)? The model features a small open economy with complete markets, Calvo sticky prices and monopolistic competition. As extensions, I explore the effects of an estimated Taylor rule and additional trade costs. After translating the six puzzles into moment conditions for the model, I estimate the five most effective parameters using simulated method of moments (SMM) to fit the moment conditions implied by the data. Given the simplicity of the model, its fit is surprisingly good: among other things, the home bias puzzles can easily be replicated, the exchange rate volatility is formidably increased and the exchange rate correlation pattern is relatively close to realistic values. Trade costs are one important ingredient for this finding.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectInternational Macroeconomicseng
dc.subjectNew Keynesian open economy modeleng
dc.subjecttrade costseng
dc.subjectsimulated method of moments (SMM)eng
dc.subject.ddc330 Wirtschaft
dc.titlePutting Up a Good Fight: The Galí-Monacelli Model versus “The Six Major Puzzles in International Macroeconomics”
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10097527
dc.identifier.doihttp://dx.doi.org/10.18452/4185
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages46
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue20
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

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