Skip to Main content Skip to Navigation
Journal articles

Money and risk in a DSGE framework: A Bayesian application to the Eurozone

Abstract : We present and test a model of the Eurozone, with a special emphasis on the role of risk aversion and money. The model follows the New Keynesian DSGE framework, money being introduced in the utility function with a non-separability assumption. Money is also introduced in the Taylor rule. By using Bayesian estimation techniques, we shed light on the determinants of output, inflation, money, interest rate, flexible-price output, and flexible-price real money balance dynamics. The role of money is investigated further. Its impact on output depends on the degree of risk aversion. Money plays a minor role in the estimated model. Yet, a higher level of risk aversion would imply that money had significant quantitative effects on business cycle fluctuations.
Document type :
Journal articles
Complete list of metadata
Contributor : Jonathan Benchimol Connect in order to contact the contributor
Submitted on : Monday, February 27, 2012 - 10:39:16 AM
Last modification on : Friday, April 29, 2022 - 10:12:42 AM



Jonathan Benchimol, André Fourçans. Money and risk in a DSGE framework: A Bayesian application to the Eurozone. Journal of Macroeconomics, Elsevier, 2012, 34 (1), pp.95-111. ⟨10.1016/j.jmacro.2011.10.003⟩. ⟨hal-00674324⟩



Record views