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An Estimated Model with Macrofinancial Linkages for India
Author: Mr. Magnus Saxegaard, Rahul Anand, and Mr. Shanaka J Peiris
Series:
IMF Working Papers
Volume/Issue:
Volume 2010: Issue 021
Language:
English
Publication Date:
01 Jan 2010
DOI:
https://doi.org/10.5089/9781451962321.001
ISBN:
9781451962321
ISSN:
1018-5941
Pages:
45
Keywords:
WP; monetary policy; rate of depreciation; financial accelerator; macro-financial linkages; optimal policy; bayesian estimation; adjustment cost parameter; inflation volatility; WPI inflation; reaction function; open economy; inflation-if monetary policy; monetary policy shock; capital producer; acquisition cost; cost adjustment cost parameter; consumer welfare; Self-employment; Inflation; Exchange rates; Consumption; Depreciation; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper develops a small open economy dynamic stochastic general-equilibrium model with macrofinancial linkages. The model includes a financial accelerator--entrepreneurs are assumed to partially finance investment using domestic and foreign currency debt--to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. We use Bayesian estimation techniques to estimate the model using India data. The model is used to assess the importance of the financial accelerator in India and the optimality of monetary policy.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund