Results 51 to 60 of about 486 (183)

Financial Frictions and Macroeconomy During Financial Crises: A Bayesian DSGE Assessment

American Business Review, 2021
The recent global financial crisis and the Eurozone sovereign default have rekindled the debate on the interactions between the real sector and the financial sphere.
Eric Martial Etoundi Atenga , Maman Hassan Abdo, Mbodja Mougoué   +2 more
doaj   +1 more source

Solving and estimating indeterminate DSGE models [PDF]

Journal of Economic Dynamics and Control, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roger E.A. Farmer, Vadim Khramov, Giovanni Nicolò   +2 more
openaire   +3 more sources

Policy Biases in a Model with Labor‐Market Frictions

Journal of Money, Credit and Banking, EarlyView.
Abstract We develop a model with labor‐market matching frictions that is subject to a range of shocks, including shocks to matching efficiency and bargaining power, and use the model to examine how monetary policy should respond to such shocks. We show that optimal monetary policy responds effectively to these shocks, producing economic outcomes that ...
RICHARD DENNIS, TATIANA KIRSANOVA
wiley   +1 more source

DSGE model-based forecasting of non-modelled variables [PDF]

International Journal of Forecasting, 2008
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the
Frank Schorfheide, Keith Sill, Maxym Kryshko   +2 more
openaire   +2 more sources

Demographic Dynamics and International Trade: Stylized Facts and Theoretical Insights

Journal of Economic Surveys, EarlyView.
ABSTRACT Demographic change within a country has economic repercussions for other countries through international transactions. Ongoing shifts in population size and age structure across countries have important implications for international trade, operating through changes in market size, consumption preferences, and labor supply.
Kumuthini Sivathas
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

On the Impact of Government Debt on Income Distribution in a Post‐Keynesian Framework With Workers' Saving

Metroeconomica, EarlyView.
ABSTRACT This paper examines the complex relationship between government debt and income distribution within a post‐Keynesian framework. Extending the model of You and Dutt (1996), we model both capitalists and workers as holders of government bonds, enabling a more nuanced analysis of income distribution dynamics.
Hagen M. Krämer, Christian R. Proaño, Sven Schnellbacher   +2 more
wiley   +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, Kolasa, Marcin, Rubaszek, Michał   +2 more
openaire   +2 more sources

Output Gap Uncertainty, Sovereign Risk Premia and the Contingent Importance of the Bond Vigilantes

Metroeconomica, EarlyView.
ABSTRACT This paper investigates the implications of output gap uncertainty for the conduct of fiscal policy using a small‐scale macroeconomic model with boundedly rational agents. Specifically, agents use an adaptive updating mechanism to approximate the unobservable potential output that suffers, similarly to the Hodrick and Prescott (1997) filter ...
Christian R. Proaño, Jonas Dix
wiley   +1 more source