Results 11 to 20 of about 25,753 (205)
Beyond the DSGE Straitjacket [PDF]
SSRN Electronic Journal, 2011 Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations.
Pesaran, M Hashem, Smith, Ron P
core +9 more sources
Potential output in DSGE models [PDF]
SSRN Electronic Journal, 2011 In view of the increasing use of Dynamic Stochastic General Equilibrium (DSGE) models in the macroeconomic projections and the policy process, this paper examines, both conceptually and empirically, alternative notions of potential output within DSGE ...
Hlédik, Tibor +4 more
core +5 more sources
The Econometrics of DSGE Models [PDF]
SSRN Electronic Journal, 2009 In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods.
Jesús Fernández-Villaverde
core +7 more sources
Bayesian analysis of DSGE models [PDF]
SSRN Electronic Journal, 2006 This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models.
Frank Schorfheide, Sungbae An
core +5 more sources
Bootstrapping DSGE Models [PDF]
SSRN Electronic Journal, 2016 This paper explores the potential of bootstrap methods in the empirical evalu- ation of dynamic stochastic general equilibrium (DSGE) models and, more generally, in linear rational expectations models featuring unobservable (latent) components. We consider two dimensions. First, we provide mild regularity conditions that suffice for the bootstrap Quasi-
Angelini, Giovanni +2 more
openaire +2 more sources
Monetary and Macroprudential Policy and Welfare in an Estimated Four‐Agent New Keynesian Model
Journal of Money, Credit and Banking, EarlyView., 2023 Abstract We examine the social and agent‐specific welfare effects of monetary and macroprudential policy in a four‐agent estimated macro‐economic model comprising “banked simple households,” “underbanked simple households,” “firm owners,” and “bank owners.” Optimal capital requirement and loan loss provisions ratios improve all agent‐specific and ...
GEORGE J. BRATSIOTIS, KASUN D. PATHIRAGE
wiley +1 more source
Impulse response identification in DSGE models [PDF]
SSRN Electronic Journal, 2010 Dynamic stochastic general equilibrium (DSGE) models have become a widely used tool for policymakers. This paper modifies the global identification theory used for structural vector autoregressions, and applies it to DSGE models.
Martin Fukac
core +2 more sources
Predictive Likelihood Comparisons with DSGE and DSGE-VAR Models [PDF]
SSRN Electronic Journal, 2013 This paper shows how to compute the h-step-ahead predictive likelihood for any subset of the observed variables in parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons and the problem thereby covers marginal and joint predictive likelihoods for a fixed subset as special cases.
Warne, Anders +2 more
openaire +3 more sources
DSGE Model-Based Forecasting [PDF]
SSRN Electronic Journal, 2012 Abstract Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements of aggregate time series over the business cycle and to perform policy analysis. We explain how to use DSGE models for all three purposes – forecasting, story-telling, and policy experiments – and review their forecasting ...
Marco Del Negro, Frank Schorfheide
openaire +3 more sources
Journal of Economic Perspectives, 2018 The outcome of any important macroeconomic policy change is the net effect of forces operating on different parts of the economy. A central challenge facing policymakers is how to assess the relative strength of those forces. Economists have a range of tools that can be used to make such assessments.
Lawrence Christiano +2 more
openaire +2 more sources