in this paper we investigate the effect of oil price shocks on stock market index in iran, by using of a structural var (svar) approach. we used four variables in the model namely kilian index, global oil supply, real oil price and real stock market index. the data are monthly and spanning the period 1997m10-2014m12. we identify the effect of four different shocks on stock market including oil ...

We study optimal monetary stabilization policy in a dynamic stochastic general equilibrium model where money is essential for trade and …rm entry is endogenous. We do so when all prices are ‡exible and also when some are sticky. Due to an externality a¤ecting …rm entry, the central bank deviates from the Friedman rule. Calibration exercises suggest that the nominal interest rate should have bee...

The gains from international monetary policy cooperation are sizeable when the crossborder spillovers of shocks are significant and policymakers face a strong incentive to use monetary policy to insulate their country from these spillovers. We show that financial market arrangements play an integral role in determining these incentives. In a quantitative two-countries, two-goods model with stic...

Working papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded offi cial Federal Reserve Bank of Cleveland publications. The views stated herein are those of the authors and are not necessarily those of the Federal Reserve Ban...

We develop and estimate a dynamic stochastic general equilibrium model that features sticky prices, a variable elasticity of demand facing firms and firm-specific labor. While reconciling to a good extent the micro and macro evidence on the behavior of prices, the model offers an accurate account of the dramatic increase in macroeconomic stability from the Great Inflation (1948:I-1979:II) to th...

In this paper a stochastic dynamic general equilibrium (DGE) model with capital accumulation is augmented by sticky wages. Wages are set in a staggered way as in Taylor (1980) implying that the optimal wage will be set for two periods. Prices are also sticky since there are adjustments cost of prices as in Rotemberg (1982). It is confirmed that wage staggering has a higher potential to generate...

We use a statistical model to estimate impulse responses of sectoral price indices to aggregate shocks and to sector-specific shocks. In the median sector, 100 percent of the long-run response of the sectoral price index to a sector-specific shock occurs in the month of the shock. The Calvo model and the sticky-information model match this finding only under extreme assumptions concerning the p...

The paper extends Woodford’s [Optimizing models with nominal rigidities, Chapter 3 of Interest and prices: foundations of a theory of monetary policy, Princeton University, 2000; unpublished manuscript] analysis of the closed economy Phillips curve to an open economy with both commodity trade and capital mobility. We show that consumption smoothing, which comes with the opening of the capital m...

This paper surveys the treatment of expectations in estimated Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models. A recent notable development in the empirical macroeconomics literature has been the rapid growth of papers that build structural models, which include a number of frictions and shocks, and which are confronted with the data using sophisticated full-information econo...

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alterations to their balance sheets cause financiers to change their required compensation for holding...