Evaluating Asset Pricing Implications of DSGE Models [PDF]
This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered.
Kevin L. Reffett, Frank Schorfheide
core
Estimation of DSGE Models When the Data are Persistent [PDF]
Dynamic Stochastic General Equilibrium (DSGE) models are often solved and estimated under specific assumptions as to whether the exogenous variables are difference or trend stationary.
Serena Ng, Yuriy Gorodnichenko
core
Immunity in the ABM-DSGE Framework for Preventing and Controlling Epidemics-Validation of Results. [PDF]
Entropy (Basel), 2022 Kaszowska-Mojsa J +2 more
europepmc +1 more source
SOEPL 2009 – An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis And Forecasting [PDF]
The paper documents elements of work on the dynamic stochastic general equilibrium (DSGE) SOEPL model that has been carried out in recent years at the National Bank of Poland.
Grzegorz Grabek +2 more
core
Uncertainty before and during COVID-19: A survey. [PDF]
J Econ Surv, 2022 Castelnuovo E.
europepmc +1 more source
Macroeconomic propagation under different regulatory regimes: Evidence from an estimated DSGE model for the euro area [PDF]
The financial crisis clearly illuminated the potential amplifying role of financial factors on macroeconomic developments. Indeed, the heavy impairments of banks’ balance sheets brought to the fore the banking sector’s ability to provide a smooth flow of
Rodriguez-Palenzuela, Diego +2 more
core
Why do we need agent-based macroeconomics? [PDF]
Rev Evol Polit Econ, 2022 Cincotti S, Raberto M, Teglio A.
europepmc +1 more source
The Volatility Costs of Procyclical Lending Standards: An Assessment Using a DSGE Model [PDF]
The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of future boom-and-bust episodes in credit markets.
Silvia Sgherri, Bertrand Gruss
core
Monetary and Fiscal Policy in a DSGE Model of India. [PDF]
We develop a optimal rules-based interpretation of the 'three pillars macroeconomic policy framework': a combination of a freely floating exchange rate, an explict target for inflation, and a mechanism than ensures a stable government debt-GDP ratio ...
Levine, Paul, Pearlman, Joseph
core
Marvin Goodfriend: economist and central banker. [PDF]
Bus Econ, 2023 Marshall DA.
europepmc +1 more source