Results 121 to 130 of about 15,811 (162)

ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS WITH INDETERMINACY

Macroeconomic Dynamics, 2007
We explore asset pricing in the context of the one-sector Benhabib-Farmer-Guo (BFG) model with increasing returns to scale in production and compare our results with financial implications of the standard dynamic stochastic general equilibrium (DSGE) model.
Gershun, Natalia, Harrison, Sharon G.
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The Banking Crisis as Dynamic Stochastic General Equilibrium

CESifo Economic Studies, 2010
Crises are triggered by the inherent uncertainty of the capitalist system. We represent this uncertainty in an open economy real business cycle model of the UK by including non-stationary productivity shocks. A random sequence of good or bad shocks will accumulate, producing euphorias and crises; banking crises will be superimposed when banks have been
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Information Aggregation in a Dynamic Stochastic General Equilibrium Model

NBER Macroeconomics Annual, 2015
We introduce the information microstructure of a canonical noisy rational expectations model (Hellwig 1980) into the framework of a conventional real businesscycle model. Each household receives a private signal about future productivity. In equilibrium, the stock price serves to aggregate and transmit this information.
Tarek A. Hassan, Thomas M. Mertens
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Estimating a dynamic stochastic general equilibrium model for Japan

Journal of the Japanese and International Economies, 2008
We estimate a medium-scale dynamic stochastic general equilibrium model of the Japanese economy following Christiano et al. [Christiano, L., Eichenbaum, M., Evans, C., 2005. Nominal rigidities and the dynamic effects of a shock to monetary policy. J. Polit. Economy 113 (1), 1–45].
Tomohiro Sugo, Kozo Ueda
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A dynamic stochastic general equilibrium model for Switzerland [PDF]

, 2009
This paper presents a DSGE (dynamic stochastic general equilibrium) model of the Swiss economy used since 2007 in the monetary policy decision process at the Swiss National Bank. In addition to forecasting the likely course of main macro variables under various scenarios for the Swiss economy, the model DSGE-CH serves as a laboratory for studying ...
Nicolas Alexis Cuche-Curti, Harris Dellas, Jean-Marc Natal   +2 more
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The Scientific Foundation of Dynamic Stochastic General Equilibrium (DSGE) Models

Public Choice, 2010
DSGE-models provide a coherent framework of analysis. This coherence is brought about by restricting acceptable behavior of agents to dynamic utility maximization and rational expectations. The problem of the DSGE-models (and more generally of macroeconomic models based on rational expectations) is that they assume extraordinary cognitive capabilities ...
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Evaluating Dynamic Stochastic General Equilibrium Models using Likelihood [PDF]

, 2002
This paper develops a method that uses a likelihood approach to directly compare two or more non-nested dynamic, stochastic general equilibrium (DSGE) models. It is shown how DSGE models can be compared across the whole sample and how this measure can be decomposed across individual observations thus allowing models to be compared across any sub-sample
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A Stochastic Dynamic General Equilibrium Model for Greece

1996
In this paper we develop a stochastic dynamic general equilibrium model of the Greek economy, in the real business cycle modelling tradition. Household preferences depend on private and public consumption and leisure. Government finances its investment, consumption and transfer payments by means of a proportional income tax rate.
Kollintzas, Tryphon, Vassilatos, Vanghelis   +1 more
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Estimation errors in dynamic stochastic general equilibrium models.

2023
Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech.
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Dynamic Stochastic General Equilibrium Models (DSGE): An Introduction [PDF]

Ensayos Económicos, 2010
Dynamic and Stochastic General Equilibrium (DSGE) models have become a frequent choice of modeling methodology for complex dynamic and stochastic phenomena in different branches of economics. They are increasingly used by decision-makers to analyze various policy decisions or to generate rigorous forecasts.
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