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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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DSGE Models in the Frequency Domain [PDF]
SSRN Electronic Journal, 2012 We exploit well-known features of the frequency domain to estimate a medium-scale DSGE model on different frequency bands. We study whether fit, parameter estimates and forecasting performance depend on the frequency band over which the model is estimated.
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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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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
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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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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
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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
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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
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
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A Predictive Likelihood Approach to Bayesian Averaging
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 Multivariate time series forecasting is applied in a wide range of economic activities related to regional competitiveness and is the basis of almost all macroeconomic analysis.
Tomáš Jeřábek, Radka Šperková
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