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dc.contributor.authorAlbonico, Alice
dc.contributor.authorPaccagnini, Alessia
dc.contributor.authorTirelli, Patrizio
dc.date.accessioned2019-10-10T23:38:00Z
dc.date.available2019-10-10T23:38:00Z
dc.date.issued2019
dc.identifier.issn0095-2583
dc.identifier.doi10.1111/ecin.12791
dc.identifier.urihttp://hdl.handle.net/10072/388278
dc.description.abstractWe estimate a medium‐scale dynamic stochastic general equilibrium model for the Euro area with limited asset market participation (LAMP). Our results suggest that in the recent European Monetary Union years LAMP is particularly sizable (39% during 1993–2012) and important to understand business cycle features. The Bayes factor and the forecasting performance show that the LAMP model is preferred to its representative household counterpart. In the representative agent model the risk premium shock is the main driver of output volatility in order to match consumption correlation with output. In the LAMP model this role is played by the investment‐specific shock, because non‐Ricardian households introduce a Keynesian multiplier effect and raise the correlation between consumption and investments. We also detect the contractionary role of monetary policy shocks during the post‐2007 years. In this period consumption of non‐Ricardian households fell dramatically, but this outcome might have been avoided by a more aggressive policy stance. (JEL C11, C13, C32, E21, E32, E37)
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherWiley
dc.relation.ispartofpagefrom1302
dc.relation.ispartofpageto1323
dc.relation.ispartofissue3
dc.relation.ispartofjournalEconomic Inquiry
dc.relation.ispartofvolume57
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchcode14
dc.subject.keywordsSocial Sciences
dc.subject.keywordsBusiness & Economics
dc.subject.keywordsOF-THUMB CONSUMERS
dc.subject.keywordsMONETARY-POLICY
dc.titleLimited Asset Market Participation and the Euro Area Crisis: an Empirical Dsge Model
dc.typeJournal article
dc.type.descriptionC1 - Articles
dcterms.bibliographicCitationAlbonico, A; Paccagnini, A; Tirelli, P, Limited Asset Market Participation and the Euro Area Crisis: an Empirical Dsge Model, Economic Inquiry, 2019, 57 (3), pp. 1302-1323
dc.date.updated2019-10-10T23:29:26Z
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2019 John Wiley and Sons. This is the peer reviewed version of the following article: Limited Asset Market Participation and the Euro Area Crisis: an Empirical Dsge Model, Economic Inquiry, Volume 57, Issue 3, Pages 1302-1323, which has been published in final form at 10.1111/ecin.12791. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving (http://olabout.wiley.com/WileyCDA/Section/id-828039.html)
gro.hasfulltextFull Text
gro.griffith.authorTirelli, Patrizio


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