European Business Schools Librarian's Group
ESSEC Working Papers,
ESSEC Research Center, ESSEC Business School
No DR 10005: Money and Risk Aversion in a DSGE Framework: A Bayesian Application to the Euro Zone
Jonathan Benchimol () and André Fourçans ()
Additional contact information
Jonathan Benchimol: CES, University Paris 1 Panthéon-Sorbonne and Department of Economics, ESSEC Business School, Postal: 106-112 Boulevard de L’Hôpital, 75647 PARIS, FRANCE
André Fourçans: ESSEC Business School, Department of Economics, Postal: Avenue Bernard Hirsch - B.P. 50105, 95021 CERGY-PONTOISE Cedex, FRANCE
Abstract: In this paper, we set up and test a model of the Euro zone, with a special emphasis on the role of money. The model follows the New Keynesian DSGE framework, money being introduced in the utility function with a non-separability assumption. By using bayesian estimation techniques, we shed light on the determinants of output and inflation, but also of the interest rate, real money balances, flexible-price output and flexible-price real money balances variances. The role of money is investigated further. We find that its impact on output depends on the degree of agents’ risk aversion, increases with this degree, and becomes significant when risk aversion is high enough. The direct impact of the money variable on inflation variability is essentially minor whatever the risk aversion level, the interest rate (monetary policy) being the overwhelming explanatory factor.
Keywords: Bayesian Estimation; DSGE Model; Euro Area; Money
36 pages, April 2010
Full text files
showDeclFileRes.do?declId=9150&key=__workpaper__
Questions (including download problems) about the papers in this series should be directed to Sophie Magnanou ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:ebg:essewp:dr-10005This page generated on 2024-10-19 15:41:33.