This paper analyzes the role of money and monetary policy as well as the forecasting performance of New Keynesian dynamic stochastic general equilibrium models with and without separability between consumption and money. The study is conducted over three crisis periods in the Eurozone, namely, the ERM crisis, the dot-com crisis, and the global financial crisis (GFC). The results of successive Bayesian estimations demonstrate that during these crises, the non separable model generally provides better out-of-sample output forecasts than the baseline model.
BENCHIMOL, J. and FOURÇANS, A. (2017). Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises. Macroeconomic Dynamics, 21(3), pp. 677-707.