MEDSEA-FIN: an estimated DSGE model with housing and financial frictions for Malta

No WP/05/2022, CBM Working Papers from Central Bank of Malta

Abstract: This paper uses Bayesian techniques and Maltese data over the period 2001â€“2019 to estimate the parameters of MEDSEA-FIN, one of the Central Bank of Maltaâ€™s DSGE models. The model captures linkages between the housing sector, banks and the rest of the economy via a borrowing collateral constraint. The paper shows that the data is informative on a subset of the parameters, and documents that the dynamic properties of the estimated model are in line with similar DSGE models estimated for other countries. The results corroborate recent empirical findings for Malta documented in other studies. The model is used to decompose recent macroeconomic data and shows that housing demand shocks were important drivers of house prices and credit. Shocks from the euro area also drove a significant share of macroeconomic fluctuations. The paper also shows that the model survives external validation tests. Although the model remains somewhat stylized along some dimensions, estimation makes it suitable for policy analysis related to housing and credit markets and associated macroprudential policies.

JEL-codes: C11 C32 C51 E21 E32 (search for similar items in EconPapers)
Pages: 53 pgs
Date: 2022
New Economics Papers: this item is included in nep-dge, nep-eec and nep-ure
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.centralbankmalta.org/site/Reports-Arti ... 22.pdf?revcount=2225 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mlt:wpaper:0522

Access Statistics for this paper

More papers in CBM Working Papers from Central Bank of Malta
Bibliographic data for series maintained by Emmanuel Cachia ( this e-mail address is bad, please contact ).