Results 71 to 80 of about 834 (189)
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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Some Notes on Historical, Theoretical, and Empirical Background of DSGE Models
Review of Economic Perspectives, 2014 In this paper I present the historical, theoretical and empirical background of DSGE models. I show that the fundament of these models lies in optimizing agents framework and argue which impulses fueled the development of DSGE models.
Slanicay Martin
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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
Non‐stationary Hours in a DSGE Model [PDF]
Journal of Money, Credit and Banking, 2006 The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long‐run dynamics that are at odds with the data. Using Bayesian methods we estimate a stochastic growth model in which hours worked are stationary and a modified version with permanent labor supply shocks. If firms can freely adjust labor
Yongsung Chang +2 more
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Interest Rate Pegs and the Reversal Puzzle: On the Role of Anticipation
Journal of Money, Credit and Banking, EarlyView.Abstract We revisit the reversal puzzle: a counterintuitive contraction of inflation in response to an interest rate peg. We show that its occurrence is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg.
RAFAEL GERKE +2 more
wiley +1 more source
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
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CBDC as Imperfect Substitute to Bank Deposits: A Macroeconomic Perspective
Journal of Money, Credit and Banking, EarlyView.Abstract The impact of Central Bank Digital Currency (CBDC) is analyzed in a closed‐economy model with monopolistic competition in banking and where CBDC is an imperfect substitute with bank deposits. The design of CBDC is characterized by its interest rate, its substitutability with bank deposits, and its relative liquidity.
PHILIPPE BACCHETTA, ELENA PERAZZI
wiley +1 more source
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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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
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