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Výsledky projektu Účinky měnové a makroprudenční politiky v rámci novokeynesovského modelu s heterogenními agenty

Výsledky

▼▲Typ výsledku ▼▲Autor celku ▼▲Název celku
(Celkem 5 zázn.)
Elminejad, Ali. Contagious Defaults in Interbank Networks. Finance a úvěr-Czech Journal of Economics and Finance, 2022, sv. 72, s. 104–123. ISSN 0015-1920. IF 0.292. [Článek v časopise]
This paper investigates systemic risk and contagion processes in an interbank network using network science methods. The interbank network is studied to understand the contagion process within a network considering differences in the network structure and the characteristics of components. Simulations support the claim that heterogeneous networks are more resilient to contagious shocks, while these shocks are more problematic in homogeneous networks. This paper also shows that more interconnections among banks could accelerate or block the contagion process, depending on the structure of the network and the seniority of debts in the interbank network.
Elminejad, Ali, I develop a TANK model a la Gertler and Karadi (2011) to compare the welfare impacts of different monetary policy regimes in the presence of a tax policy in the banking system. I investigate whether there is a welfare benefit if a standard Taylor rule incorporates financial variables, in particular, the interest rate spread. The results suggest that deviating from the standard Taylor rule to its augmented alternative in an unregulated economy is ineffective regarding welfare improvement. On the other hand, within a regulated economy, the maximized welfare of households is given in the presence of a tax policy and a monetary policy rule reacting to the interest rate spread. [Jiný výsledek]
Buliskeria, Nino; Elminejad, Ali, Addressing welfare gains, our current work in progress, "Macroprudential Policies and (Un)employed Households," studies the effects of monetary and macroprudential policies on the behavior of households under the Two-Agent New Keynesian setting. We develop a Two-Agent New Keynesian DSGE model à la Gertler and Karadi (2011) and Gertler and Kiyotaki (2015) to compare different policy regimes' welfare and stabilization impacts. We investigate whether there is a welfare benefit from a conventional monetary policy if it incorporates macroprudential measures. Very preliminary results suggest that such monetary policy rules perform better than conventional monetary rules. [Jiný výsledek]
Buliskeria, Nino; Elminejad, Ali; Havrankova, Zuzana, We investigate sources of heterogeneity among empirical estimates of the New Keynesian Phillips Curve (NKPC) in the literature by accounting for publication bias and other characteristics of studies. We use linear and non-linear techniques to correct for publication bias and employ Bayesian model averaging to investigate model uncertainty. [Jiný výsledek]
Elminejad, Ali; Havranek,Tomas; Horvath, Roman, In this study, we study the source of heterogeneity among estimated Frisch extensive elasticities in the literature. We collect 723 estimates from 36 studies along with 22 explanatory variables reflecting studies’ characteristics and address model uncertainty by Bayesian and frequentist model averaging. Using linear and non-linear techniques, we find that publication bias exaggerates the mean of reported elasticities in the literature from 0.25 to 0.49. Our findings also suggest that two principal characteristics affect the magnitude of estimates systematically. First, identification bias: studies that follow a quasi-experimental approach tend to report smaller estimates. Second, aggregation bias: studies using macro data tend to report larger estimates. [Jiný výsledek]