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The Portuguese post-2008 period: A narrative from an estimated DSGE model

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Listed:
  • José R. Maria
  • Paulo Júlio

Abstract

We present a medium scale small-open DSGE model for an euro-area economy that encompasses a financial accelerator mechanism and a well-developed fiscal block coupled to an overlapping generations scheme. This setup endogenously triggers myopia in households' decisions, breaking the traditional Ricardian equivalence in asset holders. We use Bayesian methods to estimate the model for the Portuguese economy and compute several byproducts of interest - namely historical and variance decompositions and key Bayesian impulse response functions. Finally, we carry out parameter stability tests.

Suggested Citation

  • José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w201715
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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201715.pdf
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    References listed on IDEAS

    as
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    2. Bańbura, Marta & Albani, Maria & Ambrocio, Gene & Bursian, Dirk & Buss, Ginters & de Winter, Jasper & Gavura, Miroslav & Giordano, Claire & Júlio, Paulo & Le Roux, Julien & Lozej, Matija & Malthe-Thag, 2018. "Business investment in EU countries," Occasional Paper Series 215, European Central Bank.

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    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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