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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
Applied Economics, 2015 We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping’s reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity.
Dai, Li, Minford, Patrick, Zhou, Peng
openaire +7 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
Cordon of Conformity: Why DSGE Models Are Not the Future of Macroeconomics
International Journal of Political Economy, 2021 The Rebuilding Macroeconomic Theory Project, led by David Vines and Samuel Wills (2020), is an important, albeit long overdue, initiative to rethink a failing mainstream macroeconomics.
Servaas Storm
semanticscholar +1 more source
On Identification of Bayesian DSGE Models [PDF]
Journal of Business & Economic Statistics, 2011 In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified.
Koop, Gary +2 more
openaire +9 more sources
DSGE Model Forecasting: Rational Expectations Versus Adaptive Learning
Journal of Forecasting, EarlyView.ABSTRACT This paper compares within‐sample and out‐of‐sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets, and Wouters model is the chosen laboratory using quarterly real‐time euro area data vintages, covering 2001Q1–2019Q4.
Anders Warne
openalex +2 more sources
Shocks and Frictions in Us Business Cycles: A Bayesian DSGE Approach
Social Science Research Network, 2007 Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series.
Frank Smets, Frank Smets, R. Wouters
semanticscholar +1 more source
Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
EconomiA, 2016 The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of ...
Caio César Soares Gonçalves +2 more
doaj +1 more source
The Consequences of Ignoring the Non-Ricardian Households in the Ramsey Optimal Monetary Policy and Macroeconomic Variables (In the Form of DSGE Model) [PDF]
پژوهشهای اقتصادی, 2022 The purpose of this study is to investigate the impact of adding a non-Ricardian household to a DSGE model in choosing the Ramsey optimal monetary policy and consequently the effects on macroeconomic variables (such as output gap, consumption gap ...
Mohammadjavad Khosrosereshki +2 more
doaj
MODELOS DSGE NA TEORIA ECONÔMICA: UMA ABORDAGEM BIBLIOMÉTRICA [PDF]
Revista de Economia ContemporâneaRESUMO: O artigo estuda os modelos Dinâmico de Equilíbrio Geral Estocástico (DSGE) desde sua origem até 2016, tendo como objetivos mostrar a evolução da quantidade de publicações sobre DSGE, os artigos mais citados, os periódicos que mais publicam e os ...
Bruno Roberto Dammski +1 more
doaj +1 more source