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Assessing Dsge Model Nonlinearities
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Book Synopsis Assessing DSGE Model Nonlinearities by : S. Borağan Aruoba
Download or read book Assessing DSGE Model Nonlinearities written by S. Borağan Aruoba and published by . This book was released on 2013 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional heteroskedasticity. We estimate a DSGE model with asymmetric wage/price adjustment costs and use predictive checks to assess its ability to account for nonlinearities. While it is able to match the nonlinear inflation and wage dynamics, thanks to the estimated downward wage/price rigidities, these do not spill over to output growth or the interest rate.
Book Synopsis Assessing DSGE Mmodel Nonlinearities by : S. Boragan Aruoba
Download or read book Assessing DSGE Mmodel Nonlinearities written by S. Boragan Aruoba and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Parameter Bias in an Estimated DSGE Model by : Yasuo Hirose
Download or read book Parameter Bias in an Estimated DSGE Model written by Yasuo Hirose and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can parameter estimates be biased in a dynamic stochastic general equilibrium model that omits nonlinearity in the economy? To answer this question, we simulate data from a fully nonlinear New Keynesian model with the zero lower bound constraint and estimate a linearized version of the model. Monte Carlo experiments show that significant biases are detected in the estimates of monetary policy parameters and the steady-state inflation and real interest rates. These biases arise mainly from neglecting the zero lower bound constraint rather than linearizing equilibrium conditions. With fixed parameters, the variance-covariance matrix and impulse response functions of observed variables implied by the linearized model substantially differ from those implied by its nonlinear counterpart. However, we find that the biased estimates of parameters in the estimated linear model can make most of the differences small.
Book Synopsis Bayesian Estimation of DSGE Models by : Edward P. Herbst
Download or read book Bayesian Estimation of DSGE Models written by Edward P. Herbst and published by Princeton University Press. This book was released on 2015-12-29 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.
Book Synopsis Critically Assessing Estimated DSGE Models by : X. Liu
Download or read book Critically Assessing Estimated DSGE Models written by X. Liu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Crises in DSGE Models by : Mr.Jaromir Benes
Download or read book Financial Crises in DSGE Models written by Mr.Jaromir Benes and published by International Monetary Fund. This book was released on 2014-04-04 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of financial cycles. A companion paper studies the simulation properties of MAPMOD.
Book Synopsis Solving DSGE Models with a Nonlinear Moving Average by : Hong Lan
Download or read book Solving DSGE Models with a Nonlinear Moving Average written by Hong Lan and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a nonlinear infinite moving average as an alternative to the standard state-space policy function for solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a history of innovations to endogenous variables, decomposes the contributions from individual orders of uncertainty and nonlinearity, and enables familiar impulse response analysis in nonlinear settings. When the linear approximation is saddle stable and free of unit roots, higher order terms are likewise saddle stable and first order corrections for uncertainty are zero. We derive the third order approximation explicitly and examine the accuracy of the method using Euler equation tests. -- Perturbation ; nonlinear impulse response ; DSGE ; solution methods
Book Synopsis Forecasting of Nonlinear DSGE Model by : Sergey Ivashchenko
Download or read book Forecasting of Nonlinear DSGE Model written by Sergey Ivashchenko and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: A medium-scale nonlinear DSGE model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes stock market. RMSE of in sample and out of sample forecasts are calculated. The nonlinear DSGE model with measurement errors outperform AR(1), VAR(1), linearized DSGE in terms of out of sample forecasts quality. The nonlinear DSGE model without measurement errors has actually equal quality with linearized DSGE model.
Book Synopsis DSGE Models in Macroeconomics by : Nathan Balke
Download or read book DSGE Models in Macroeconomics written by Nathan Balke and published by Emerald Group Publishing. This book was released on 2012-11-29 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy
Book Synopsis Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations by : Gianni Amisano
Download or read book Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations written by Gianni Amisano and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Pruned State-Space System for Non-Linear DSGE Models by : Martin M. Andreasen
Download or read book The Pruned State-Space System for Non-Linear DSGE Models written by Martin M. Andreasen and published by . This book was released on 2013 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and impulse response functions. Thus, our analysis introduces GMM estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when simulation is required. We illustrate the usefulness of our approach by estimating a New Keynesian model with habits and Epstein-Zin preferences by GMM when using first and second unconditional moments of macroeconomic and financial data and by SMM when using additional third and fourth unconditional moments and non-Gaussian innovations.
Book Synopsis A Framework for Solving Non-Linear DSGE Models by : Ricardo Masini
Download or read book A Framework for Solving Non-Linear DSGE Models written by Ricardo Masini and published by . This book was released on 2019 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a framework to solve non-linear DSGE models combining approximation and estimation techniques. Instead of relying on a fixed grid, we use Monte Carlo methods to draw samples from the state space, which are used to estimate an approximation for the value or policy functions of interest. By using estimators from high-dimensional statistics we can attenuate the curse of dimensionality while maintaining flexibility, theoretical guarantees for convergence and upper bound for the errors. In particular, we propose two different methods: a regularized projection and a support vector machine algorithm. To illustrate these solution procedures, we apply the first algorithm to solve a standard growth model, which has a known linear solution, and show that it achieves good accuracy, correctly shrinking the coefficients of a polynomial basis. Moreover, we use the support vector machine algorithm to solve a New Keynesian model with a Zero Lower Bound (ZLB) and compare our results with the ones from the Smolyak Method, which is widely used in the literature. We show that the latter overestimate the impact of the ZLB in the economy, achieving a lower accuracy than the one from our solution.
Book Synopsis Estimating Nonlinear DSGE Models by the Simulated Method of Moments by : Francisco J. Ruge-Murcia
Download or read book Estimating Nonlinear DSGE Models by the Simulated Method of Moments written by Francisco J. Ruge-Murcia and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Local identification of nonlinear and non-Gaussian DSGE models by : Willi Mutschler
Download or read book Local identification of nonlinear and non-Gaussian DSGE models written by Willi Mutschler and published by . This book was released on 2016-02-04 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities). by : Marco Del Negro
Download or read book Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities). written by Marco Del Negro and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application studies the role of price and wage rigidities in a New Keynesian DSGE model and finds that standard macro time series cannot discriminate among theories that differ in the quantitative importance of nominal frictions.
Book Synopsis Handbook of Macroeconomics by : John B. Taylor
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by North Holland. This book was released on 1999-12-13 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text aims to provide a survey of the state of knowledge in the broad area that includes the theories and facts of economic growth and economic fluctuations, as well as the consequences of monetary and fiscal policies for general economic conditions.
Book Synopsis Financial Crises in DSGE Models by : Mr.Jaromir Benes
Download or read book Financial Crises in DSGE Models written by Mr.Jaromir Benes and published by International Monetary Fund. This book was released on 2014-04-04 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of both the pre-crisis and crisis phases of financial cycles.
