Results 301 to 310 of about 235,695 (358)

Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

Management Sciences, 2017
We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model.
Erica X. N. Li, Haitao Li, Shujing Wang, Cindy L. Yu   +3 more
semanticscholar   +1 more source

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.
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Money Policy in Dynamic Stochastic General Equilibrium Models

2009 International Asia Conference on Informatics in Control, Automation and Robotics, 2009
Abstract:  By using the quarterly data of 1996-2005 in China, we use a dynamic stochastic general equilibrium modeling framework to compare the different design of monetary policy: an interest rate feedback rule and  a money growth rule. Drawing on our econometric analysis, we argue that model, closed with interest rate feedback rule comes closer to ...
Yang Liu, Li Li
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System reduction of dynamic stochastic general equilibrium models solved by gensys

Economics Letters, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lee, Jae Won, Park, Woong Yong
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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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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.
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How does oil price volatility affect unemployment rates? A dynamic stochastic general equilibrium model

Economic Modelling, 2022
Y. Chan, Yilin Dong
semanticscholar   +1 more source

Optimal carbon tax rates in a dynamic stochastic general equilibrium model with a supply chain

Economic Modelling, 2022
Y. Chan, Hong Zhao
semanticscholar   +1 more source

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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