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QMM : a steady state version

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Titill: QMM : a steady state versionQMM : a steady state version
Höfundur: Ásgeir Daníelsson 1949
URI: http://hdl.handle.net/10802/4777
Útgefandi: Central Bank of Iceland, Economics Department
Útgáfa: 11.2009
Ritröð: Central Bank of Iceland., Working papers ; 44
Efnisorð: Efnahagsmál; Gjaldeyrisviðskipti; Vextir; Ísland
ISSN: 1028-9445
Tungumál: Enska
Tengd vefsíðuslóð: http://www.sedlabanki.is/lisalib/getfile.aspx?itemid=7433
Tegund: Skýrsla
Gegnir ID: 001127482
Athugasemdir: Myndefni: línurit, töflur
Útdráttur: This paper studies long-run characteristics of the quarterly macro model (QMM) used at the Central Bank of Iceland; it studies if there exists a balanced growth path that QMM will replicate and if it will converge to this path. It concludes that there is no such path and therefore the model does not converge to it. The paper then studies which adjustments to QMM are required to produce a model for which there exists a realistic balanced growth path. The new model is derived with minimum changes to speciÖc equations in QMM and should therefore retain its key dynamic properties. The paper checks this by comparing impulse-responses from the new balanced growth compatible model to those from QMM. Finally, the paper studies some important variables in the Icelandic economy: capital output ratio, share of wage cost, real rate of interest and equilibrium real exchange rate and their calibration for QMM. It also discusses calibration of long-run values for the exogenous variables in the model and uses the balanced growth compatible model together with these long-run values of the exogenous variables to estimate equilibrium values for endogenous variables in QMM.


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