Frictions and empirical fit in a DSGE model for Indonesia

Zams, Bastian Muzbar

doi:10.1016/j.econmod.2021.03.006

Cited by 6 publications

(2 citation statements)

References 39 publications

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“…Using earlier research on the Indonesian economy, all parameters are set to characterize the Indonesian economy. We used parameters from Chawwa (2021), Setiastuti et al (2021), and Zams (2021 to calibrate our model to obtain the steady state value and use it as the initial value in…”

Section: Data Parameter Caliberation and Estimation Resultsmentioning

confidence: 99%

“…To minimize the risk caused by asymmetric information, we describe monitoring activities in our framework as fixed auditing costs (Townsend, 1979). Our study differs from Zams (2021) in at least two ways: first, we include the banking sector in this study, and second, we use Bayesian DSGE-VAR to estimate the parameters and ensure that the estimated parameters are robust. In addition, while this is a DSGE model that may be applied to other emerging economies, the estimated parameters can be employed in future DSGE models for policy analysis.…”

Section: Introductionmentioning

confidence: 99%

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Pandemic Shocks and Macro-Financial Policy Responses: An Estimated Dsge-Var Model for Indonesia

Budiman

Safuan

Juhro

et al. 2022

bemp

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This paper attempts to investigate the impact of policy mix in dealing with the COVID-19 pandemic. We employ the New Keynesian Dynamic Stochastic General Equilibrium (DSGE) framework and the Del Negro et al. (2007) approach to estimate the model. We investigate the effectiveness of policy mix in Indonesia by taking into account real and financial linkages, as well as other market imperfections. We intend to analyze and evaluate the adequacy of monetary, fiscal, and macroprudential policy by simulating each policy option using Indonesian-specific factors and comparing them. Our findings show that policy mix has a greater impact on accelerating economic recovery but does not necessarily lead to anchor inflation.

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Section: Data Parameter Caliberation and Estimation Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Pandemic Shocks and Macro-Financial Policy Responses: An Estimated Dsge-Var Model for Indonesia

Budiman

Safuan

Juhro

et al. 2022

bemp

View full text Add to dashboard Cite

show abstract

Heterogeneous consumption behaviors and monetary policy in three ASEAN economies

Tran

2024

Int Econ Econ Policy

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This paper aims to theoretically investigate how the presence of heterogeneous consumption behaviors, namely hand-to-mouth (HtM) and habit formation (HF), affects the monetary policy effectiveness and empirically explore the responses of three Association of Southeast Asian Nations (ASEAN) economies to external shocks. We employ the Bayesian methodology to undertake the Dynamic Stochastic General Equilibrium (DSGE) estimation using quarterly data. Empirical results indicate a HtM parameter of 22% in Indonesia, 34% in the Philippines, and 27% in Thailand, with the HF parameter estimated at around 50%. Given the estimated parameters, a monetary shock would have standard effects on macroeconomic variables. Besides, incorporating HtM consumers into a standard DSGE model amplifies the adverse effects of monetary shock on aggregate consumption/output growth. Also, a higher ratio of HtM consumers exacerbates the negative effects of monetary shock, but it does not influence much the adverse impacts of demand and supply shocks on macroeconomic variables.

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Financial Inclusion, Poverty, and Income Inequality in ASEAN Countries: Does Financial Innovation Matter?

Wong,

Badeeb,

Philip

2023

Soc Indic Res

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Frictions and empirical fit in a DSGE model for Indonesia

Cited by 6 publications

References 39 publications

Pandemic Shocks and Macro-Financial Policy Responses: An Estimated Dsge-Var Model for Indonesia

Pandemic Shocks and Macro-Financial Policy Responses: An Estimated Dsge-Var Model for Indonesia

Heterogeneous consumption behaviors and monetary policy in three ASEAN economies

Financial Inclusion, Poverty, and Income Inequality in ASEAN Countries: Does Financial Innovation Matter?

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