Stock market wealth effects in an estimated DSGE model for Hong Kong

Michael Funke, Michael Paetz and Ernest Pytlarczyk ()

Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics

Abstract: This paper develops and estimates an open-economy dynamic stochastic general equilibrium (DSGE) model of the Hong Kong economy. The model features short-run price rigidities generated by monopolistic competition and staggered reoptimization. We devote special attention to asset prices and wealth effects, which we believe to be important. For this reason we adopt a perpetual-youth approach. Model parameters and unobserved components are estimated with a Bayesian maximum likelihood procedure, conditional on prior information concerning the values of parameters. The estimations identify substantial wealth effects and indicate that the nominal interest rate responds to unexpected movements in stock prices.

Keywords: DSGE models; Wealth effects; Open economy; Hong Kong (search for similar items in EconPapers)
JEL-codes: D91 E21 E44 F41 (search for similar items in EconPapers)
Date: 2010-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.uni-hamburg.de/fachbereiche-einrichtung ... t/makro/MFMPPytl.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www2.uni-hamburg.de:443 (No connection could be made because the target machine actively refused it.) (http://www.uni-hamburg.de/fachbereiche-einrichtungen/fb03/iwwt/makro/MFMPPytl.pdf [302 Found]--> https://www.uni-hamburg.de/fachbereiche-einrichtungen/fb03/iwwt/makro/MFMPPytl.pdf [302 Found]--> https://www2.uni-hamburg.de/fachbereiche-einrichtungen/fb03/iwwt/makro//MFMPPytl.pdf)

Related works:
Journal Article: Stock market wealth effects in an estimated DSGE model for Hong Kong (2011)
Journal Article: Stock market wealth effects in an estimated DSGE model for Hong Kong (2011)
Working Paper: Stock market wealth effects in an estimated DSGE model for Hong Kong (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ham:qmwops:21009

Access Statistics for this paper

More papers in Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().