Monetary policy analysis with potentially misspecified models [PDF]
The paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along the lines of Christiano, Eichenbaum, and Evans (JPE ...
Marco Del Negro, Frank Schorfheide
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Dynamic Stochastic General Equilibrium (DSGE) priors for\ud Bayesian Vector Autoregressive (BVAR) models: DSGE model comparison [PDF]
, 2007 This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, can be used to assess the plausibility of the restrictions imposed on the VAR parameter vector by competing DSGE models.
Theodoridis, Konstantinos +1 more
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Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach [PDF]
This paper develops and estimates a dynamic stochastic general equilibrium model of a closed economy which provides a quantitative description of the monetary transmission mechanism, yields a mutually consistent set of indicators of inflationary pressure
Vitek, Francis
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Forming priors for DSGE models (and how it affects the assessment of nominal rigidities) [PDF]
In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) models, prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or presample evidence, but it is difficult to elicit priors for the ...
Marco Del Negro, Frank Schorfheide
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Issues in Adopting DSGE Models for Use in the Policy Process [PDF]
Our discussion is structured by three concerns - model design, matching the data and operational requirements. The paper begins with a general discussion of the structure of dynamic stochastic general equilibrium (DSGE) models where we investigate issues
Martin Fukac, Adrian Pagan
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A medium-scale open economy model of Australia [PDF]
We estimate an open economy dynamic stochastic general equilibrium (DSGE) model of Australia with a number of shocks, frictions and rigidities, matching a large number of observable time series. We find that both foreign and domestic shocks are important
Jarkko Jääskelä, Kristoffer Nimark
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Evaluating Asset Pricing Implications of DSGE Models [PDF]
This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered.
Kevin L. Reffett, Frank Schorfheide
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Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach [PDF]
This paper develops and estimates a dynamic stochastic general equilibrium model of a small open economy which provides a quantitative description of the monetary transmission mechanism, yields a mutually consistent set of indicators of inflationary ...
Vitek, Francis
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Forecasting with a Bayesian DSGE Model: An Application to the Euro Area. NBB Working Paper Nr. 60, September 2004 [PDF]
, 2004 In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role.
Wouters, Raf., Smets, Frank
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