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Forecasting with DSGE Models [PDF]
SSRN Electronic Journal, 2010 AbstractThis article reviews and illustrates the methodology of forecasting with dynamic stochastic general equilibrium (DSGE) models using Bayesian methods. It discusses an algorithm for estimating the predictive distribution of the observed variables based on draws from the posterior distribution of the DSGE model parameters and simulation of future ...
Christoffel, Kai +2 more
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SSRN Electronic Journal, 2013 The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is used for forecasting and policy analysis.
Marco Del Negro +7 more
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Assessing DSGE model nonlinearities [PDF]
Journal of Economic Dynamics and Control, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
S. Boragan Aruoba +2 more
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DSGE priors for BVAR models [PDF]
Empirical Economics, 2014 Similar to Ingram and Whiteman (J Monet Econ 34:497–510, 1994), De Jong et al. (in: Proceedings of the American Statistical Association Bayesian, 1993) and Negro and Schorfheide (Int Econ Rev 45:643–673, 2004) , this study proposes a methodology of constructing dynamic stochastic general equilibrium (DSGE) consistent prior distributions for Bayesian ...
Filippeli, T, Theodoridis, K
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The Chicago Fed DSGE Model [PDF]
SSRN Electronic Journal, 2012 The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the Federal Reserve Bank of Chicago. This article describes its specification and estimation, its dynamic characteristics and how it is used to forecast the US economy.
Scott Brave +3 more
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2015
This chapter discusses how dynamic stochastic general equilibrium (DSGE) models are now widely used by academics to conduct empirical research macroeconomics, as well as by central banks to interpret the current state of the economy, to analyze the impact of changes in monetary or fiscal policy, and to generate predictions for key macroeconomic ...
Edward P. Herbst, Frank Schorfheide
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This chapter discusses how dynamic stochastic general equilibrium (DSGE) models are now widely used by academics to conduct empirical research macroeconomics, as well as by central banks to interpret the current state of the economy, to analyze the impact of changes in monetary or fiscal policy, and to generate predictions for key macroeconomic ...
Edward P. Herbst, Frank Schorfheide
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Journal of Economic Dynamics and Control, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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2020
In the previous chapters, we have derived the FHSAM framework, which is stochastic and dynamic with complex mathematical representation. The analytical solution, if there is one, to models of this kind is extremely difficult to find. But thanks to the development of modern dynamic optimization theory and to the advancement in mathematics, we can better
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In the previous chapters, we have derived the FHSAM framework, which is stochastic and dynamic with complex mathematical representation. The analytical solution, if there is one, to models of this kind is extremely difficult to find. But thanks to the development of modern dynamic optimization theory and to the advancement in mathematics, we can better
openaire +1 more source