An examination of macroeconomic fluctuations in Korea exploiting a Markov-switching DSGE approach

The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

“…Thus, the problem of the singularity does not exist, and the inclusion of non-structural shocks in the measurement equation would not be necessary. The second reason is that the strategy of this specification is often used in the literature, such as the well-known studies of Smets and Wouters (2007), Negro et al (2013) and others Choi and Hur (2015), Kolasa and Rubaszek (2018).…”

“…Second, regarding the NK-DSGE model, there are various papers estimating this model for policy analysis in the developing and emerging economies [Liu and Zhang (2010), Gu et al (2014) and Dai et al (2015) for China; Elekdag et al (2005) and Choi and Hur (2015) for Korea; Sahminan et al (2017) and Gu et al (2014) for Indonesia; Ramayandi (2011) for four ASEAN countries such as Malaysia, Thailand, Indonesia and Philippines; Saxegaard et al (2010) and Gabriel et al (2016) for India; Silveira (2008) and Palma and Portugal (2014) for Brazil, Castillo et al (2013) for Peru, Medina and Soto (2007) for Chile and Steinbach et al (2009) for South Africa].…”

“…We do this because in the literature on the SOE, the US economy is typically treated as the foreign one (see Buncic and Melecky, 2008;Choi and Hur, 2015;Gabriel et al, 2016;Rees et al, 2016). All data sources are presented in the supplemental document.…”

“…Meanwhile, three US macroeconomic variables are used as the proxy for the foreign economy. We do this because in the literature on the small open economy, the US economy is typically treated as the foreign one (see Buncic and Melecky (2008), Choi and Hur (2015), Gabriel et al (2016), and Rees et al (2016)). All data sources are presented in Appendix A.…”

Should Hong Kong switch to Taylor rule?—Evidence from DSGE model

“…Chow, Lim, and McNelis (2014) conduct experiment and simulation to answer the question that should Singapore have the Taylor rule, they conclude the exchange rate rule has advantages over Taylor rule in stabilizing output gap and inflation. Hur and Choi (2015) estimate a Markov-switching DSGE with Korea data, indicating that switching to inflation targeting is a success because of a sharp reduction in the inflation volatility, and it is possible to obtain higher output if inflation targeting was held for the entire sample period.…”