Results 61 to 70 of about 23,530 (228)
Inflation – Harrod-Balassa-Samuelson Effect in a DSGE Model Setting
Economic and Business Review, 2019 This paper sets up a two-country two-sector dynamic stochastic general equilibrium model that introduces sector specific productivity shocks with quality improvement mechanism of goods.
Črt Lenarčič
doaj +1 more source
Can Central Bank Digital Currencies Promote the Internationalization of Currencies?
European Financial Management, EarlyView.ABSTRACT Using multinational data (2000–2023), this study employed system GMM and fixed‐effects models to examine CBDC's impact on currency internationalization through a framework measuring ‘market acceptance’ and ‘policy drive.’ The results indicated that CBDC advancement significantly promotes currency internationalization.
Haodong Gu
wiley +1 more source
Evaluating DSGE model forecasts of comovements [PDF]
Journal of Econometrics, 2011 This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and unconditional density forecasts, in addition to checks for root ...
Edward P. Herbst, Frank Schorfheide
openaire +4 more sources
How Does Progressivity Affect the Tax Cut Multiplier?
International Economic Review, EarlyView.ABSTRACT How does the targeting of personal income tax cuts affect the output multiplier? This paper provides quantitative evidence using a heterogeneous‐agent New‐Keynesian model calibrated to match US distributions of income, wealth, marginal tax rates, and marginal propensities to consume.
Christian Gillitzer
wiley +1 more source
The Impact of Fiscal Policy on Macroeconomic Variables: New Evidence from a DSGE Model [PDF]
International Journal of Business and Development Studies, 2017 The purpose of this article is to analyze the macroeconomic impacts of fiscal policy in Iran using a new-Keynesian Dynamic Stochastic General Equilibrium (DSGE) model.
Ahmad Jafari Samimi +3 more
doaj +1 more source
DSGE Models and the Lucas Critique [PDF]
SSRN Electronic Journal, 2013 Abstract Modern DSGE models are microfounded and have deep parameters that should be invariant to changes in economic policy, so in principle they are not subject to the Lucas critique. But the literature has already established that misspecification issues also cause parameter instability after policy changes in DSGE models.
openaire +1 more source
Exchange rate forecasting with DSGE models [PDF]
Journal of International Economics, 2016 Abstract We run an exchange rate forecasting “horse race”, which highlights that three principles hold. First, forecasts should not replicate the high volatility of exchange rates observed in sample. Second, models should exploit the mean reversion of the real exchange rate over long horizons. Third, they should account for the international price co-
Ca' Zorzi, Michele +2 more
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A Comparative Analysis of the Calibrated DSGE Model and SSA Method Results on the Latvian Economy
EconomiesThis article examines the theoretical foundations of economic forecasting based on DSGE models. DSGE models are the main direction of contemporary macroeconomics theory—the inclusion of the stochastic processes and expectations of economic agents in the ...
Sergejs Hilkevics, Valentina Semakina
doaj +1 more source
Frequentist Evaluation of Small DSGE Models [PDF]
Journal of Business & Economic Statistics, 2015 This paper proposes a new evaluation approach for the class of small-scale ‘hybrid’ New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) models typically used in monetary policy and business cycle analysis. The empirical assessment of the NK-DSGE model is based on a conditional sequence of likelihood-based tests conducted in a Vector ...
Gunnar Bårdsen, Luca Fanelli
openaire +3 more sources
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