Quotation Breuss, Fritz, Rabitsch, Katrin. 2009. An Estimated Two-Country DSGE Model of Austria and the Euro Area. Empirica 36 (1): S. 123-158.




We present a two-country New Open Economy Macro model of the Austrian economy within the European Union's Economic & Monetary Union (EMU). The model includes both nominal and real frictions that have proven to be important in matching business cycle facts, and that allow for an investigation of the effects and cross-country transmission of a number of structural shocks: shocks to technologies, shocks to preferences, cost-push type shocks and policy shocks. The model is estimated using Bayesian methods on quarterly data covering the period of 1976:Q2-2005:Q1. In addition to the assessment of the relative importance of various shocks, the model also allows to investigate effects of the monetary regime switch with the final stage of the EMU and investigates in how far this has altered macroeconomic transmission. We find that Austria's economy appears to react stronger to demand shocks, while in the rest of the Euro Area supply shocks have a stronger impact. Comparing the estimations on pre-EMU and EMU subsamples we find that the contribution of (rest of the) Euro Area shocks to Austria's business cycle fluctuations has increased significantly.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Empirica
Citation Index SSCI
Language English
Title An Estimated Two-Country DSGE Model of Austria and the Euro Area
Volume 36
Number 1
Year 2009
Page from 123
Page to 158
Reviewed? Y
URL http://www.springerlink.com/content/018714tn02524861/
DOI http://dx.doi.org/10.1007/s10663-008-9095-y


Rabitsch-Schilcher, Katrin (Details)
Breuss, Fritz
Department of Economics (Kubin) (Details)
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