NBER

Karl Walentin

Sveriges Riksbank
103 37 Stockholm
Sweden
Tel: +46-8-7870491
Fax: +46-8-210531

E-Mail: karl.walentin@riksbank.se
Institutional Affiliation: Sveriges Riksbank

NBER Working Papers and Publications

June 2010DSGE Models for Monetary Policy Analysis
with Lawrence J. Christiano, Mathias Trabandt: w16074
Monetary DSGE models are widely used because they fit the data well and they can be used to address important monetary policy questions. We provide a selective review of these developments. Policy analysis with DSGE models requires using data to assign numerical values to model parameters. The chapter describes and implements Bayesian moment matching and impulse response matching procedures for this purpose.

Published: DSGE Models for Monetary Policy Analys is, joint with Mathia s Trabandt and Karl Walentin, in Benjamin M. Friedman, and Michael Woodford, editors: Handbook of Monetary Economics , Vol. 3A, The Netherlands: North-Holland.

March 2010Involuntary Unemployment and the Business Cycle
with Lawrence J. Christiano, Mathias Trabandt: w15801
Can a model with limited labor market insurance explain standard macro and labor market data jointly? We construct a monetary model in which: i) the unemployed are worse o§ than the employed, i.e. unemployment is involuntary and ii) the labor force participation rate varies with the business cycle. To illustrate key features of our model, we start with the simplest possible framework. We then integrate the model into a medium-sized DSGE model and show that the resulting model does as well as existing models at accounting for the response of standard macroeconomic variables to monetary policy shocks and two technology shocks. In addition, the model does well at accounting for the response of the labor force and unemployment rate to these three shocks.

Published: Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2020. "Involuntary unemployment and the business cycle," Review of Economic Dynamics, .

May 2007Financial Frictions, Investment and Tobin's q
with Guido Lorenzoni: w13092
We develop a model of investment with financial constraints and use it to investigate the relation between investment and Tobin's q. A firm is financed partly by insiders, who control its assets, and partly by outside investors. When their wealth is scarce, insiders earn a rate of return higher than the market rate of return, i.e., they receive a quasi-rent on invested capital. This rent is priced into the value of the firm, so Tobin's q is driven by two forces: changes in the value of invested capital, and changes in the value of the insiders' future rents per unit of capital. This weakens the correlation between q and investment, relative to the frictionless benchmark. We present a calibrated version of the model, which, due to this effect, generates realistic correlations between invest...

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