Solving SDGE Models: A New Algorithm for the Sylvester Equation [PDF]
This paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models.
Ondrej Kamenik
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Unconventional Monetary Policy Response to Covid-19 and Its Impact on Inflation in Morocco [PDF]
Statistika: Statistics and Economy JournalThis study explores the impact of unconventional monetary policy on Morocco’s economy during the Covid-19 pandemic. We used a hybrid model combining a financial dynamic stochastic general equilibrium (DSGE) model with a standard epidemiology model ...
Hicham Ouakil +2 more
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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.
Frank Schorfheide, Kevin L. Reffett
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Linear-Quadratic Approximation, Efficiency and Target-Implementability [PDF]
We examine linear-quadratic (LQ) approximation of stochastic dynamic optimization problems in macroeconomics (and elsewhere), in particular in policy analysis using Dynamic Stochastic General Equilibrium (DSGE) models. We first define the problem that is
Joseph Pearlman +2 more
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The Labour Market in a New Neoclassical Synthesis Model with Nominal Wage Rigidities
Gospodarka Narodowa. The Polish Journal of Economics, 2018 The aim of this article is to review a body of research that uses labour market components to build models of Dynamic Stochastic General Equilibrium (DSGE) and to assess the implications of such models for monetary policy.
Przemysław Włodarczyk
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Identifying Sources of Business Cycle Fluctuations in Germany 1975–1998 [PDF]
In this paper, we estimate a small New Keynesian dynamic stochastic general equilibrium (DSGE) model for Germany for the period from 1975 to 1998 and use it to identify the structural shocks, which have driven the business cycle.
Oliver Holtemöller, Torsten Schmidt
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Regional dynamic stochastic general equilibrium model as a tool for analysis of fiscal policy
Вестник Пермского университета: Серия Экономика, 2019 Using the tools of regional dynamic models for analyzing the economy of the constituent entities of the Russian Federation, in particular, for studying regional business cycles is currently an urgent task.
Leonid Aleksandrovich Serkov
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Inflation Forecasting: The Practice of Using Synthetic Procedures
Мир новой экономики, 2019 The article contains a review of inflation forecasting models, including the most popular class of models as one-factor models: random walk, direct autoregression, recursive autoregression, stochastic volatility with an unobserved component and of the ...
E. V. Balatskiy, M. A. Yurevich
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SOEPL 2009 – An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis And Forecasting [PDF]
The paper documents elements of work on the dynamic stochastic general equilibrium (DSGE) SOEPL model that has been carried out in recent years at the National Bank of Poland.
Bohdan Klos +2 more
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Monetary Dynamic Stochastic General Equilibrium Models and Inflation Persistence
MetroeconomicaABSTRACTThe paper investigates the capacity of New Keynesian (NK) models to explain inflation persistence without relying on ad hoc backwards‐looking mechanisms or external source of inertia. It explores various features of NK models– such as sticky wages, roundabout production structure, positive trend inflation, and monetary policy inertia– that ...
Salaheddine El Omari, Jalal Qanas
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