Results 11 to 20 of about 7,201 (228)
Estimating Structural Shocks with the GVAR-DSGE Model: Pre- and Post-Pandemic [PDF]
Mathematics, 2022 This paper investigates the possibility of using the global VAR (GVAR) model to estimate a simple New Keynesian DSGE-type multi-country model. The long-run forecasts from an estimated GVAR model were used to calculate the steady-states of macro variables
Chunyeung Kwok
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An Estimated DSGE Model of the Indian Economy [PDF]
, 2012 AbstractThis article studies business cycle dynamics in the Indian economy using a new Keynesian dynamic stochastic general equilibrium (DSGE) framework. This is one of the first attempts to estimate a DSGE model for the Indian economy. The policy relevance of conducting such an exercise is without question: High growth in India since 1991 has been ...
Gabriel, V +3 more
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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. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons, and comparisons to vector autoregressions, as well as the
An, Sungbae, Schorfheide, Frank
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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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Some notes on problematic issues in DSGE models [PDF]
Ekonomski Anali, 2016 We review some of the problematic issues in DSGE models, which are currently much discussed in the economics profession. All of these issues are concerned with the DSGE models’ (in)ability to match aspects of macroeconomic variables’ observed ...
Slanicay Martin +2 more
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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. First, I discuss the evolution of DSGE models over the last couple of decades.
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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
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Baltic Journal of Economics, 2023 We develop a fiscal dynamic stochastic general equilibrium (DSGE) model for policy simulation and scenario analysis purposes tailored to Latvia, a small open economy in a monetary union.
Ginters Bušs, Patrick Grüning
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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
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Macroeconomic Effects of Maritime Transport Costs Shocks: Evidence from the South Korean Economy
Mathematics, 2023 In the aftermath of the COVID-19 pandemic, the dramatic increase in maritime transport costs might potentially exert detrimental impacts on the macroeconomy, especially for countries that heavily rely on international trade for their consumption and ...
Xingong Ding, Yong-Jae Choi
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