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dc.contributor.authorBergholt, Drago
dc.date.accessioned2014-10-07T07:37:28Z
dc.date.available2014-10-07T07:37:28Z
dc.date.issued2014
dc.identifier.issn1892-2198
dc.identifier.urihttp://hdl.handle.net/11250/223211
dc.description.abstractHow are macroeconomic fluctuations in open economies affected by international business cycles? To shed some light on this question, I develop and estimate a medium scale DSGE model for a small open economy. The model incorporates i) international markets for firm-to-firm trade in production inputs, and ii) producer heterogeneity where technology and price setting constraints vary across industries. Using Bayesian techniques on Canadian and US data, I document several macroeconomic regularities in the small open economy, all attributed to international disturbances. First, foreign shocks are crucial for domestic fluctuations at all forecasting horizons. Second, productivity is the most important driver of business cycles. Investment efficiency shocks on the other hand have counterfactual implications for international spillover. Third, the relevance of foreign shocks accumulates over time. Fourth, business cycles display strong co-movement across countries, even though shocks are uncorrelated and the trade balance is countercyclical. Fifth, exchange rate pass-through to aggregate CPI inflation is moderate, while pass-through at the sector level is positively linked to the frequency of price changes. Few of these features have been accounted for in existing open economy DSGE literature, but all are consistent with reduced form evidence. The model presented here offers a structural interpretation of the results.nb_NO
dc.language.isoengnb_NO
dc.publisherHandelshøyskolen BInb_NO
dc.relation.ispartofseriesCAMP Working Paper Series;4/2014
dc.subjectDSGE, small open economy, international business cycles, Bayesian estimation.nb_NO
dc.titleForeign Shocks in an Estimated Multi-Sector Modelnb_NO
dc.typeWorking papernb_NO
dc.subject.nsiVDP::Social science: 200nb_NO
dc.source.pagenumber86 sidernb_NO


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