Front Matter Page
European Department and Research Department
Contents
I. Introduction
II. The Model
A. Credit Markets
A.1. Domestic Intermediaries
A.2. International Intermediaries
B. Households
B.1. Savers
B.2. Labor Unions and Wage Setting
B.3. Borrowers
C. Firms, Technology, and Sticky Prices
C.1. Final Goods Producers
C.2. Intermediate Goods Producers
D. Closing the Model
D.1. Market Clearing Conditions
D.2. Monetary Policy and Interest Rates
III. Parameter Estimates
A. Data
B. Calibrated Parameters
C. Prior and Posterior Distributions
D. Variance Decomposition: The Role of Demand and Financial Shocks
IV. Decomposing the Business Cycle in the Euro Area
A. HBS Countries
B. Core
C. The Role of Financial Frictions
V. Does One Monetary Policy Fit All?
VI. Impulse Response Analysis
VII. Conclusions
A Appendix: Data and Sources
B Appendix: Linearized Conditions
List of Tables
1 Calibrated Parameters
2 Prior and Posterior Distributions, Economic Parameters
3 Prior and Posterior Distributions, AR(1) Shock Processes
4 Variance Decomposition
List of Figures
1 Ten Year Government Bond Rates in Selected Euro Area Countries
2 Excess Credit and Unemployment Rates
3 Shock Decomposition, Output and Output Gaps
4 Shock Decomposition, Credit and House Prices
5 Output Gaps and Financial Wedges
6 Natural Rates of Interest and Deviations from Taylor Rule
7 IRF - Financial Shocks
8 IRF -Housing Demand Shocks
9 IRF -Monetary Policy Shocks