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A Comparison Analysis of Monetary Policy Effect Under an Open Economy Model.
- Source :
-
East Asian Economic Review (EAER) . Jun2018, Vol. 22 Issue 2, p141-176. 36p. - Publication Year :
- 2018
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 25081640
- Volume :
- 22
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- East Asian Economic Review (EAER)
- Publication Type :
- Academic Journal
- Accession number :
- 130448968
- Full Text :
- https://doi.org/10.11644/KIEP.EAER.2018.22.2.341