Frank Smets
Biographic Data
| ID | 3823123 |
|---|---|
| NAME | Frank Smets |
| GIVEN NAMES | Frank |
| FAMILY NAME | Smets |
| SIGNATURE | SMETS F |
| AFFILIATIONS | European Central Bank |
| ORCID | 0000-0003-2067-7505 |
| VERIFIED | Yes |
| TOTAL WORKS | 7 |
| TOTAL CITATIONS | 12 |
| AUTHOR COUNT | 7 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2003 |
| LATEST PUBLICATION YEAR | 2016 |
| H-INDEX | 2 |
Booms and Banking Crises
Banking crises are rare events that break out in the midst of credit-intensive booms and bring about deep and long-lasting recessions. This paper presents a textbook dynamic stochastic general equilibrium model to explain these phenomena. The model features a nontrivial banking sector, where bank heterogeneity gives rise to an interbank market. Moral hazard and asymmetric information in this market may lead to sudden market freezes, banking crise…
Shocks and Frictions in US Business Cycles
Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macroeconomic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to compete with Bayesian Vector Autoregression models in out-of-sample prediction. We investigate the relative empirical importance of the various frictions. Fin…
On the Fit of New Keynesian Models
This article provides new tools for the evaluation of dynamic stochastic general equilibrium (DSGE) models and applies them to a large-scale new Keynesian model. We approximate the DSGE model by a vector autoregression, and then systematically relax the implied cross-equation restrictions and document how the model fit changes. We also compare the DSGE model's impulse responses to structural shocks with those obtained after relaxing its restricti…
The Industry Effects of Monetary Policy in the Euro Area
We first estimate the effects of a euro area-wide monetary policy change on output growth in eleven industries of seven euro area countries over the period 1980-98. On average the negative effect of an interest rate tightening on output is significantly greater in recessions than in booms. There is, however, considerable cross-industry heterogeneity in both the overall policy effects and the degree of asymmetry across the two business cycle phase…
Forecasting with a Bayesian DSGE Model
In monetary policy strategies geared towards maintaining price stability, conditional and unconditional forecasts of inflation and output play an important role. In this article we illustrate how modern sticky‐price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian techniques, can become an additional useful tool in the forecasting kit of central banks. First, we show that the forecasting performance of such models co…
An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area
This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilization. It is estimated with Bayesian techniques using seven key macroeconomic variables: GDP, consumption, investment, prices, real wages, employment, and the nominal inte…
Persistence, The Transmission Mechanism And Robust Monetary Policy
In this paper we first explore the impact of nominal and real persistence on the transmission process of various shocks in an estimated DSGE model of the euro area. We then analyse its impact on optimal monetary policy and investigate the performance of various monetary policies when the policy maker is uncertain about the degree of nominal and real persistence
The Industry Effects of Monetary Policy in the Euro Area
We first estimate the effects of a euro area-wide monetary policy change on output growth in eleven industries of seven euro area countries over the period 1980-98. On average the negative effect of an interest rate tightening on output is significantly greater in recessions than in booms. There is, however, considerable cross-industry heterogeneity in both the overall policy effects and the degree of asymmetry across the two business cycle phase…
Booms and Banking Crises
Banking crises are rare events that break out in the midst of credit-intensive booms and bring about deep and long-lasting recessions. This paper presents a textbook dynamic stochastic general equilibrium model to explain these phenomena. The model features a nontrivial banking sector, where bank heterogeneity gives rise to an interbank market. Moral hazard and asymmetric information in this market may lead to sudden market freezes, banking crise…
Forecasting with a Bayesian DSGE Model
In monetary policy strategies geared towards maintaining price stability, conditional and unconditional forecasts of inflation and output play an important role. In this article we illustrate how modern sticky‐price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian techniques, can become an additional useful tool in the forecasting kit of central banks. First, we show that the forecasting performance of such models co…
An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area
This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilization. It is estimated with Bayesian techniques using seven key macroeconomic variables: GDP, consumption, investment, prices, real wages, employment, and the nominal inte…
Persistence, The Transmission Mechanism And Robust Monetary Policy
In this paper we first explore the impact of nominal and real persistence on the transmission process of various shocks in an estimated DSGE model of the euro area. We then analyse its impact on optimal monetary policy and investigate the performance of various monetary policies when the policy maker is uncertain about the degree of nominal and real persistence
Forecasting with a Bayesian DSGE Model
In monetary policy strategies geared towards maintaining price stability, conditional and unconditional forecasts of inflation and output play an important role. In this article we illustrate how modern sticky‐price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian techniques, can become an additional useful tool in the forecasting kit of central banks. First, we show that the forecasting performance of such models co…
The Industry Effects of Monetary Policy in the Euro Area
We first estimate the effects of a euro area-wide monetary policy change on output growth in eleven industries of seven euro area countries over the period 1980-98. On average the negative effect of an interest rate tightening on output is significantly greater in recessions than in booms. There is, however, considerable cross-industry heterogeneity in both the overall policy effects and the degree of asymmetry across the two business cycle phase…
Shocks and Frictions in US Business Cycles
Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macroeconomic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to compete with Bayesian Vector Autoregression models in out-of-sample prediction. We investigate the relative empirical importance of the various frictions. Fin…
On the Fit of New Keynesian Models
This article provides new tools for the evaluation of dynamic stochastic general equilibrium (DSGE) models and applies them to a large-scale new Keynesian model. We approximate the DSGE model by a vector autoregression, and then systematically relax the implied cross-equation restrictions and document how the model fit changes. We also compare the DSGE model's impulse responses to structural shocks with those obtained after relaxing its restricti…
Booms and Banking Crises
Banking crises are rare events that break out in the midst of credit-intensive booms and bring about deep and long-lasting recessions. This paper presents a textbook dynamic stochastic general equilibrium model to explain these phenomena. The model features a nontrivial banking sector, where bank heterogeneity gives rise to an interbank market. Moral hazard and asymmetric information in this market may lead to sudden market freezes, banking crise…
Economics (7 works) · Monetary policy (7 works) · Dynamic stochastic general equilibrium (6 works) · Monetary Policy and Economic Impact (6 works) · Econometrics (5 works) · Keynesian economics (4 works) · Macroeconomics (4 works) · Global Financial Crisis and Policies (3 works) · Bayes estimator (2 works) · Bayesian inference (2 works)