Results 41 to 50 of about 501 (184)
Online estimation of DSGE models [PDF]
The Econometrics Journal, 2019 Summary This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating dynamic stochastic general equilibrium (DSGE) model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for ‘online’ estimation ...
Michael Cai +5 more
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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
openaire +3 more sources
Solving Monetary (MIU) models with Linearized Euler Equations: Method of Undetermined Coefficients [PDF]
International Journal of Research in Industrial Engineering, 2017 This paper attempts to solve a benchmark money in utility model by first order Taylor approximation to the policy function. After a brief summary of recent development in first order Taylor approximation in solving dynamic stochastic general equilibrium ...
S.F. Fakhrehosseini, Meysam kaviani
doaj +1 more source
Better on Average? Average Inflation Targeting With an Unclear Averaging Window
Southern Economic Journal, EarlyView.ABSTRACT Average inflation targeting (AIT) aims to stabilize inflation expectations by offsetting past deviations from target. However, ambiguity about the averaging window can complicate expectations formation and reduce policy effectiveness. This paper integrates AIT into a benchmark DSGE model, incorporating adaptive learning and a signal extraction
James Dean
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
openaire +5 more sources
Monetary Policy, Investor Sentiment and Stock Price Bubble: Evidence From China
Accounting &Finance, EarlyView.ABSTRACT The empirical results indicate that an increase in interest rates may stimulate a significant and persistent stock price bubble, which is consistent with rational asset price bubble theory. This finding suggests that central banks should implement anti‐turbulent monetary policy with caution, since inappropriate tightening may unintentionally ...
Jiahao Gong +3 more
wiley +1 more source
Does evidence challenge the DSGE model? [PDF]
International Journal of Entrepreneurial Knowledge, 2014 DSGE are for a time the favorite models in the simulation of monetary policies at the central banks. Two of its basic assumptions are discussed in this paper: (a) the absence of endogenous nonlinearities and the exogenous nature of shocks and (b) the persistence of or the return to equilibrium after a shock, or the absence of dynamics.
Tanya ARAUJO +3 more
openaire +3 more sources
The Effects of External Macroeconomic Shocks and Uncertainty on Bangladesh's Fiscal Sustainability
Asian-Pacific Economic Literature, EarlyView.ABSTRACT In recent years, Bangladesh has adopted a deficit‐biased fiscal policy, supported by robust GDP growth and relatively low interest rates, capitalizing on its access to concessional financing. However, Bangladesh's graduation to lower‐middle‐income status and its gradual integration into the global economy have exposed the country to external ...
Mohammad Mahabub Alam
wiley +1 more source
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
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