Results 91 to 100 of about 37,604 (320)
Forecast Combinations in a DSGE‐VAR Lab [PDF]
Journal of Forecasting, 2016 We explore the benefits of forecast combinations based on forecast‐encompassing tests compared to simple averages and to Bates–Granger combinations. We also consider a new combination algorithm that fuses test‐based and Bates–Granger weighting. For a realistic simulation design, we generate multivariate time series samples from a macroeconomic DSGE‐VAR
COSTANTINI M, GUNTER U, KUNST R
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Welfare Implications of Alternative Monetary Policy Rules: A New Keynesian DSGE Model for Turkey
Review of Economic Perspectives, 2017 In recent years, there has been extensive research on the conduct of monetary policy in small open economies that are subject to inflation and output fluctuations.
Yağcıbaşı Özge Filiz +1 more
doaj +1 more source
Complexity and monetary policy : [Version August 10, 2012] [PDF]
, 2012 The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape.
Orphanides, Athanasios, Wieland, Volker
core
DSGE Models and Central Banks [PDF]
SSRN Electronic Journal, 2008 AbstractOver the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and forecasting. This paper reviews some issues and challenges
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DATA REVISIONS IN THE ESTIMATION OF DSGE MODELS [PDF]
Macroeconomic Dynamics, 2016 Revisions of U.S. macroeconomic data are persistent, correlated with real-time data, and with high variability (around 80% of U.S. real-time data volatility). This paper adapts a DSGE-style model to accommodate both real-time and revised data from the U.S. economy.
Casares, Miguel, Vázquez Pérez, Jesús
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Financial Fragility and the Fiscal Multiplier
Journal of Money, Credit and Banking, EarlyView.Abstract We show that undercapitalized banks with large holdings of government bonds subject to sovereign default risk lead to a new crowding‐out channel: deficit‐financed fiscal stimuli lead to higher bond yields, triggering capital losses for the banks. Banks then cut back loans, which reduces fiscal multipliers.
CHRISTIAAN VAN DER KWAAK +1 more
wiley +1 more source
Ten Years Later: Lessons for DSGE Builders and Czech Policy Makers
Review of Economic Perspectives, 2019 We show an example of a small open economy – the Czech Republic – where the fiscal restriction was put in place between 2010 and 2013 in a negative output gap and zero lower bound on nominal interest rates.
Michl Aleš
doaj +1 more source
Macroeconometric Modelling with a Global Perspective [PDF]
, 2006 This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic ...
M. Hashem Pesaran, Ron Smith
core +3 more sources
Effects of Saudi Arabia’s economic reforms: Insights from a DSGE model
, 2020 Saudi Arabia’s Vision 2030 includes the creation of a value-added tax (VAT), the enactment of domestic energy price reforms, and the deployment of renewable energy.
J. Blázquez +4 more
semanticscholar +1 more source
Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches
International Journal of Financial Studies, 2020 This article aims to examine the monetary policy rule under an inflation targeting in Mongolia with a focus on its conformity to the Taylor principle, through two kinds of approaches: a monetary policy reaction function by the generalized-method-of ...
Hiroyuki Taguchi, Ganbayar Gunbileg
semanticscholar +1 more source