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Journal articles (2012), Journal of Macroeconomics, 34 (1), pp. 95-111

Money and Risk in a DSGE Framework: A Bayesian Application to the Eurozone

BENCHIMOL J., FOURÇANS André

We present and test a model of the Eurozone, with a special emphasis on the role of risk aversion and money. The model follows the New Keynesian DSGE framework, money being introduced in the utility function with a non-separability assumption. Money is also introduced in the Taylor rule. By using Bayesian estimation techniques, we shed light on the determinants of output, inflation, money, interest rate, flexible-price output, and flexible-price real money balance dynamics. The role of money is investigated further. Its impact on output depends on the degree of risk aversion. A high enough level of risk aversion would imply that money had significant quantitative effects on business cycle fluctuations.

BENCHIMOL, J. and FOURÇANS, A. (2012). Money and Risk in a DSGE Framework: A Bayesian Application to the Eurozone. Journal of Macroeconomics, 34(1), pp. 95-111.

Keywords : #Estimation-bayésienne, #Modèle-DSGE, #Monnaie, #Zone-euro