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Bank Capital Regulation in Dynamic Stochastic General Equilibrium Models

Bank Capital Regulation in Dynamic Stochastic General Equilibrium Models
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Nonlinear Dynamic Stochastic General Equilibrium Models: Estimation and Identification

, 2019
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Dynamic Identification of Dynamic Stochastic General Equilibrium Models

Econometrica, 2011
This paper studies dynamic identification of parameters of a dynamic stochastic general equilibrium model from the first and second moments of the data. Classical results for dynamic simultaneous equations do not apply because the state space solution of the model does not constitute a standard reduced form.
Ivana Komunjer, Serena Ng
semanticscholar   +2 more sources

Boggem: A Dynamic Stochastic General Equilibrium Model for Policy Simulations [PDF]

SSRN Electronic Journal, 2014
This paper presents the theoretical foundations and dynamic properties of a dynamic stochastic general equilibrium (DSGE) model designed for quantitative policy analysis and counterfactual exercises. The approach of the paper can be summarized as follows.
D. Papageorgiou
semanticscholar   +2 more sources

Dynamic Stochastic General Equilibrium Models

, 2018
Dynamic Stochastic General Equilibrium (DSGE) models have become popular in macroeconomics, but the combination of nonlinear microeconomic behavior of the agents and model-consistent expectations raise intricate computational issues; this chapter reviews solution methods and estimation of DSGE models.
M. Juillard
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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.
T. Hassan, T. Mertens
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Probabilistic Real-Time Dynamic Line Rating Forecasting Based on Dynamic Stochastic General Equilibrium With Stochastic Volatility

IEEE Transactions on Power Delivery, 2021
Real-time dynamic line rating forecasting can be classified into two critical steps of evaluating the operation risk, and avoiding the overload operation of transmission lines.
S. Madadi, B. Mohammadi-ivatloo, S. Tohidi   +2 more
semanticscholar   +1 more source

Monetary Policy Shocks and Effectiveness of Channels of Transmission in Nigeria: A Dynamic Stochastic General Equilibrium Approach

Global Business Review, 2019
This study examines the effect of anticipated and unanticipated monetary policy shocks on the effectiveness of monetary policy transmission mechanism in Nigeria by estimating a sticky-price dynamic stochastic general equilibrium (DSGE) model using ...
Akinlo A. Enisan, Apanisile Olumuyiwa Tolulope   +1 more
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Money Shock in Dynamic Stochastic General Equilibrium Models

2009 Second International Workshop on Knowledge Discovery and Data Mining, 2009
Based on the China economy data 1996-2005, two issues are addressed in this paper. First, we examine the ability of the DSGE model to describe stylized facts about China economy. The model succeeds to replicate the variability observed in 1996-2005. Second, we compare two methods of motivating money in DSGE Model.
Liu Yang, Li Li
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Frictions in an Experimental Dynamic Stochastic General Equilibrium Economy

Journal of Money, Credit and Banking, 2021
AbstractWe construct experimental economies, populated with human subjects, with different institutional features that have a structure and incentives similar to a dynamic stochastic general equilibrium model. An experimental economy with monopolistic competition and no menu costs generates empirical patterns that are closer to the U.S.
Charles N. Noussair, Damjan Pfajfar, Janos Zsiros   +2 more
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