Ανάρτηση Ερευνητικoύ Δοκιμίου no 13/23
Ερευνητικό Δοκίμιο no 13/23 με τίτλο "A DSGE Model for the European Unemployment Persistence"
του Κωνσταντίνου Γιάκα
Standard unit root tests show that European unemployment is characterized by a high degree of persistence. Motivated by this finding, we develop a monetary DSGE model of unemployment which highlights financial frictions along with employment hysteresis. The model is calibrated for the Eurozone. Impulse response analysis indicates that the model can generate very persistent business cycle fluctuations after an aggregate shock. Moreover, after a negative capital quality shock, which we use to simulate a financial crisis, welfare analysis indicates that wage inflation stabilization implies less losses relative to price inflation stabilization. It is shown that these benefits increase with the degree of hysteresis. Since 2014 the ECB has implemented various large-scale asset purchase programmes, commonly known as QE. We use the developed model to examine the macroeconomic effects of such unconventional monetary policies. We show that, after a strong financial shock, an unconventional monetary policy modeled as a government intervention in credit, can lead to significant welfare benefits, which tend to increase with the magnitude of the recession.
Ο Κωνσταντίνος Γιάκας είναι Postdoctoral Researcher and Adjunct Lecturer at Athens University of Economics and Business / Economist at Hellenic Ministry of Finance