Results 81 to 90 of about 19,619 (152)
Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective. [PDF]
This paper investigates how the identification assumptions of monetary policy shocks modify the inference in a standard DSGE model. Considering SVAR models in which either the interest rate is predetermined for money or these two monetary variables are ...
Céline Poilly
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A Proposal for a Flexible Trend Specification in DSGE Models
Review of Economic Perspectives, 2016 In this paper I propose a flexible trend specification for estimating DSGE models on log differences. I demonstrate this flexible trend specification on a New Keynesian DSGE model of two economies, which I consequently estimate on data from the Czech ...
Slanicay Martin
doaj +1 more source
An estimated DSGE model of the Hungarian economy [PDF]
This paper presents and estimates a dynamic stochastic general equilibrium (DSGE) small-open-economy model for the Hungarian economy. The model features different types of frictions, real and nominal rigidities which are necessary to replicate the ...
Balázs Világi, Zoltán M. Jakab
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Local Identification in DSGE Models [PDF]
The issue of parameter identification arises whenever structural models are estimated. This paper develops a simple condition for local identification in linearized DSGE models. The condition is necessary and sufficient for identification with likelihood-
Nikolay Iskrev
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GDP at risk in a DSGE model: an application to banking sector stress testing [PDF]
We suggest a complementary tool for financial stability analysis based on stochastic simulation of a dynamic stochastic general equilibrium model (DSGE) of the macro economy. The paper relates to financial stability research in which financial aggregates
Jokivuolle, Esa +2 more
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Informing DSGE Models Through Dynamic Factor Models
Journal of Applied EconometricsABSTRACTStructural dynamic factor models (SDFM) represent a reliable tool to inform the construction of dynamic stochastic general equilibrium (DSGE) models. The reason is that the log‐linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess the usefulness of SDFM for DSGE
Forni, Mario +3 more
openaire +2 more sources
Posterior Predictive Analysis for Evaluating DSGE Models [PDF]
In this paper, we develop and apply certain tools to evaluate the strengths and weaknesses of dynamic stochastic general equilibrium (DSGE) models. In particular, this paper makes three contributions: One, it argues the need for such tools to evaluate ...
Faust, Jon, Gupta, Abhishek
core +1 more source
How much structure in empirical models? [PDF]
This chapter highlights the problems that structural methods and SVAR approaches have when estimating DSGE models and examining their ability to capture important features of the data.
Fabio Canova
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Financial Shocks, Financial Frictions and Financial Intermediaries in DSGE Models: Comments on the Recent Literature [PDF]
The aim of this work is to compare and contrast different ways of modeling financial shocks and financial intermediaries in the Dynamic Stochastic General Equilibrium models (DSGE models) and to discuss the empirical evidence on the importance of ...
Arend, Mario
core +1 more source