Central bank research hub - Papers by Malin Adolfson
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Research hub papers by author Malin AdolfsonenOptimal Monetary Policy in an Operational Medium-Sized DSGE Model
http://www.federalreserve.gov/pubs/ifdp/2011/1023/ifdp1023.pdf
Board of Governors of the Federal Reserve System International Financial Discussion Papers by Malin Adolfson, Stefan Laseen, Jesper Linde, and Lars E.O. SvenssonOptimal Monetary Policy in an Operational Medium-Sized DSGE Model2011-08-04T06:23:59ZMalin Adolfson, Stefan Laseen, Jesper Linde, and Lars E.O. Svensson. We show how to construct optimal policy projections in Ramses, the Riksbank's open-economy medium-sized DSGE model for forecasting and policy analysis. Bayesian estimation of the parameters of the model indicates that they are relatively invariant to alternative policy assumptions and supports our view that the model parameters may be regarded as unaffected by the monetary policy specification. We discuss how monetary policy, and in particular the choice of output gap measure, affects the transmission of shocks. Finally, we use the model to assess the recent Great Recession in the world economy and how its impact on the economic development in Sweden depends on the conduct of monetary policy. This provides an illustration on how Rames incoporates large international spillover effects.Optimal Monetary Policy in an Operational Medium-Sized DSGE ModelAbstracthttp://www.federalreserve.gov/pubs/ifdp/2011/1023/default.htmFull texthttp://www.federalreserve.gov/pubs/ifdp/2011/1023/ifdp1023.pdfMalin AdolfsonJesper LindéLars E.O. SvenssonStefan LaseenMalin Adolfson, Stefan Laseen, Jesper Linde, and Lars E.O. Svensson2011-07-28Board of Governors of the Federal Reserve System International Financial Discussion PapersParameter Identification in a Estimated New Keynesian Open Economy Model
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp251.pdf
Sveriges Riksbank Working Papers by Malin Adolfson and Jesper LindéParameter Identification in a Estimated New Keynesian Open Economy Model2011-05-10T17:38:59ZIn this paper, we use Monte Carlo methods to study the small sample properties of the classical maximum likelihood (ML) estimator in artificial samples generated by the New- Keynesian open economy DSGE model estimated by Adolfson et al. (2008) with Bayesian techniques. While asymptotic identification tests show that some of the parameters are weakly identified in the model and by the set of observable variables we consider, we document that ML is unbiased and has low MSE for many key parameters if a suitable set of observable variables are included in the estimation. These findings suggest that we can learn a lot about many of the parameters by confronting the model with data, and hence stand in sharp contrast to the conclusions drawn by Canova and Sala (2009) and Iskrev (2008). Encouraged by our results, we estimate the model using classical techniques on actual data, where we use a new simulation based approach to compute the uncertainty bands for the parameters. From a classical viewpoint, ML estimation leads to a significant improvement in fit relative to the log-likelihood computed with the Bayesian posterior median parameters, but at the expense of some the ML estimates being implausible from a microeconomic viewpoint. We interpret these results to imply that the model at hand suffers from a substantial degree of model misspecification. This interpretation is supported by the DSGE-VAR analysis in Adolfson et al. (2008). Accordingly, we conclude that problems with model misspecification, and not primarily weak identification, is the main challenge ahead in developing quantitative macromodels for policy analysis.Parameter Identification in a Estimated New Keynesian Open Economy ModelAbstracthttp://www.riksbank.com/templates/Page.aspx?id=46990Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp251.pdfMalin AdolfsonJesper LindéMalin Adolfson and Jesper Lindé2011-05-10Sveriges Riksbank Working PapersMonetary Policy Trade-Offs in an Estimated Open-Economy DSGE Model
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2009/wp232.pdf
Sveriges Riksbank Working Papers by Malin Adolfson, Stefan Laséen, Jesper Lindé and Lars E.O. SvenssonMonetary Policy Trade-Offs in an Estimated Open-Economy DSGE Model2009-08-25T17:40:59ZThis paper studies the transmission of shocks and the trade-offs between stabilizing CPI inflation and alternative measures of the output gap in Ramses, the Riksbank¿s empirical dynamic stochastic general equilibrium (DSGE) model of a small open economy. The main results are, first, that the transmission of shocks depends substantially on the conduct of monetary policy, and second, that the trade-off between stabilizing CPI inflation and the output gap strongly depends on which concept of potential output in the output gap between output and potential output is used in the loss function. If potential output is defined as a smooth trend this trade-off is much more pronounced compared to the case when potential output is defined as the output level that would prevail if prices and wages were flexible.Monetary Policy Trade-Offs in an Estimated Open-Economy DSGE ModelAbstracthttp://www.riksbank.com/templates/Page.aspx?id=32452Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2009/wp232.pdfLars E.O. SvenssonJesper LindéStefan LaséenMalin AdolfsonMalin Adolfson, Stefan Laséen, Jesper Lindé and Lars E.O. Svensson2009-08-25Sveriges Riksbank Working PapersOptimal Monetary Policy in an Operational Medium-Sized DSGE Model
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2008/wp225.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Stefan Laséen , Jesper Lindé and Lars E.O. SvenssonOptimal Monetary Policy in an Operational Medium-Sized DSGE Model2008-10-01T12:00:00ZWe show how to construct optimal policy projections in Ramses, the Riksbank¿s openeconomy medium-sized DSGE model for forecasting and policy analysis. Bayesian estimation of the parameters of the model indicates that they are relatively invariant to alternative policy assumptions and supports that the model may be regarded as structural in a stable low inflation environment. Past policy of the Riksbank until 2007:3 (the end of the sample used) is better explained as following a simple instrument rule than as optimal policy under commitment. We show and discuss the differences between policy projections for the estimated instrument rule and for optimal policy under commitment, under alternative definitions of the output gap, different initial values of the Lagrange multipliers representing policy in a timeless perspective, and different weights in the centralbank loss function.Optimal Monetary Policy in an Operational Medium-Sized DSGE ModelAbstracthttp://www.riksbank.com/templates/Page.aspx?id=29059Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2008/wp225.pdfLars E.O. SvenssonJesper LindéStefan LaséenMalin AdolfsonMalin Adolfson , Stefan Laséen , Jesper Lindé and Lars E.O. Svensson2008-09-25Sveriges Riksbank Working PapersE52E58Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
http://www.ijcb.org/journal/ijcb07q4a4.pdf
IJCB International Journal of Central Banking by Malin Adolfson, Michael K. Andersson, Jesper Lindé, Mattias Villani and Anders VredinModern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks2007-11-30T12:41:00ZThere are many indications that formal methods are not used to their full potential by central banks today. In this paper, using data from Sweden, we demonstrate how BVAR and DSGE models can be used to shed light on questions that policymakers deal with in practice. We compare the forecast performance of BVAR and DSGE models with the Riksbank's official, more subjective forecasts, both in terms of actual forecasts and root mean-squared errors. We also discuss how to combine model and judgment-based forecasts, and show that the combined forecast performs well out of sample. In addition, we show the advantages of structural analysis and use the models for interpreting the recent development of the inflation rate through historical decompositions. Last, we discuss the monetary transmission mechanism in the models by comparing impulse-response functions.Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central BanksAbstracthttp://www.ijcb.org/journal/ijcb07q4a4.htmFull texthttp://www.ijcb.org/journal/ijcb07q4a4.pdfMattias VillaniMichael K. AnderssonMalin AdolfsonJesper LindéAnders VredinMalin Adolfson, Michael K. Andersson, Jesper Lindé, Mattias Villani and Anders Vredin2007-12IJCB International Journal of Central BankingE37E47E52Evaluating An Estimated New Keynesian Small Open Economy Model
http://www.riksbank.se/upload/Dokument_riksbank/Kat_foa/2007/wp_203.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias VillaniEvaluating An Estimated New Keynesian Small Open Economy Model2007-03-01T12:00:00ZEvaluating An Estimated New Keynesian Small Open Economy ModelAbstracthttp://www.riksbank.se/templates/Page.aspx?id=23816Full texthttp://www.riksbank.se/upload/Dokument_riksbank/Kat_foa/2007/wp_203.pdfJesper LindéStefan LaséenMalin AdolfsonMattias VillaniMalin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani2007-02-08Sveriges Riksbank Working PapersC11C53E17Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
http://www.riksbank.se/upload/WorkingPapers/WP_190.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Jesper Lindé and Mattias VillaniForecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model2005-10-01T12:00:00ZForecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium ModelAbstracthttp://www.riksbank.se/templates/Page.aspx?id=17888Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_190.pdfJesper LindéMalin AdolfsonMattias VillaniMalin Adolfson , Jesper Lindé and Mattias Villani2005-09-30Sveriges Riksbank Working PapersC11C32E37E47Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
http://www.riksbank.se/upload/WorkingPapers/WP_188.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Michael K. Andersson , Jesper Lindé , Mattias Villani and Anders VredinModern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks2005-10-01T12:00:00ZModern Forecasting Models in Action: Improving Macroeconomic Analyses at Central BanksAbstracthttp://www.riksbank.se/templates/Page.aspx?id=17886Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_188.pdfMichael K. AnderssonAnders VredinJesper LindéMalin AdolfsonMattias VillaniMalin Adolfson , Michael K. Andersson , Jesper Lindé , Mattias Villani and Anders Vredin2005-09-30Sveriges Riksbank Working PapersE37E47E52Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area
http://www.riksbank.se/upload/WorkingPapers/WP_180.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias VillaniAre Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area2005-04-01T12:00:00ZAre Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro AreaAbstracthttp://www.riksbank.se/templates/Page.aspx?id=16116Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_180.pdfJesper LindéStefan LaséenMalin AdolfsonMattias VillaniMalin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani2005-03-01Sveriges Riksbank Working PapersC11C53E47E52Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
http://www.riksbank.se/upload/WorkingPapers/WP_179.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias VillaniBayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through2005-04-01T12:00:00ZBayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-ThroughAbstracthttp://www.riksbank.se/templates/Page.aspx?id=16114Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_179.pdfJesper LindéStefan LaséenMalin AdolfsonMattias VillaniMalin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani2005-03-01Sveriges Riksbank Working PapersC11E40E47E52Implications of Exchange Rate Objectives under Incomplete Exchange Rate Pass-Through
http://www.riksbank.se/upload/6743/wp_135.pdf
Sveriges Riksbank Working Papers by Malin AdolfsonImplications of Exchange Rate Objectives under Incomplete Exchange Rate Pass-Through2004-05-21T18:39:59ZImplications of Exchange Rate Objectives under Incomplete Exchange Rate Pass-ThroughAbstracthttp://www.riksbank.se/templates/Document.aspx?id=6797Full texthttp://www.riksbank.se/upload/6743/wp_135.pdfMalin AdolfsonMalin Adolfson2002-06-01Sveriges Riksbank Working PapersE52E58F41Incomplete Exchange Rate Pass-Through and Simple Monetary Policy Rules
http://www.riksbank.se/upload/6744/wp_136.pdf
Sveriges Riksbank Working Papers by Malin AdolfsonIncomplete Exchange Rate Pass-Through and Simple Monetary Policy Rules2004-05-21T18:39:59ZIncomplete Exchange Rate Pass-Through and Simple Monetary Policy RulesAbstracthttp://www.riksbank.se/templates/Document.aspx?id=6798Full texthttp://www.riksbank.se/upload/6744/wp_136.pdfMalin AdolfsonMalin Adolfson2002-06-01Sveriges Riksbank Working PapersE52E58F41Monetary Policy with Incomplete Exchange Rate Pass-Through
http://www.riksbank.com/upload/5917/WP127.pdf
Sveriges Riksbank Working Papers by Malin AdolfsonMonetary Policy with Incomplete Exchange Rate Pass-Through2004-05-21T18:35:59ZMonetary Policy with Incomplete Exchange Rate Pass-ThroughAbstracthttp://www.riksbank.se/templates/Document.aspx?id=5902Full texthttp://www.riksbank.com/upload/5917/WP127.pdfMalin AdolfsonMalin Adolfson2001-09-01Sveriges Riksbank Working Papers