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Author : X. Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
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:
Author : Kaili Chen
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.4/5 (2 download)
Download or read book An Estimated DSGE Model for Integrated Policy Analysis written by Kaili Chen and published by International Monetary Fund. This book was released on 2023-06-30 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a New Keynesian small open economy model which allows for foreign exchange (FX) market frictions and a potential role for FX interventions for a large set of emerging market economies (EMEs) and some inflation targeting (IT) advanced economy (AE) countries serving as a control group. Next, we use the estimated model to examine the empirical support for the view that interest rate policy may not be sufficient to stabilize output and inflation following capital outflow shocks, and the extent to which FX interventions (FXI) can improve policy tradeoffs. Our results reveal significant structural differences between AEs and EMEs—in particular FX market depth—leading to different transmission of capital outflow shocks which justifies occasional use of FXI in some EMEs in certain situations. Our analysis also highlights the critical importance of accounting for the endogeneity of FXI behavior when assessing FX market depth and policy tradeoffs associated with volatile capital flows in past episodes.
Author : Nathan Balke
Publisher : Emerald Group Publishing
ISBN 13 : 1781903069
Total Pages : 467 pages
Book Rating : 4.7/5 (819 download)
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 467 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
Author : Frank Schorfheide
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (7 download)
Download or read book Estimation and Evaluation of DSGE Models written by Frank Schorfheide and published by . This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future research
Author : Mr.Vadim Khramov
Publisher : International Monetary Fund
ISBN 13 : 1475502354
Total Pages : 36 pages
Book Rating : 4.4/5 (755 download)
Download or read book Assessing Dsge Models with Capital Accumulation and Indeterminacy written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2012-03-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.
Author : Richard Harrison
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (697 download)
Download or read book Evaluating and Estimating a DSGE Model for the United Kingdom written by Richard Harrison and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean Boivin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (111 download)
Download or read book DSGE Models in a Data-rich Environment written by Jean Boivin and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However, recent empirical research on factor models has shown that information contained in large data sets is relevant for the evolution of important macroeconomic series. This suggests that conventional model estimates and inference based on estimated DSGE models might be distorted. In this paper, we propose an empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This framework provides an interpretation of all information contained in a large data set, and in particular of the latent factors, through the lenses of a DSGE model. The estimation involves Markov-Chain Monte-Carlo (MCMC) methods. We apply this estimation approach to a state-of-the-art DSGE monetary model. We find evidence of imperfect measurement of the model's theoretical concepts, in particular for inflation. We show that exploiting more information is important for accurate estimation of the model's concepts and shocks, and that it implies different conclusions about key structural parameters and the sources of economic fluctuations.
Download or read book Estimating DSGE Models Under Partial Information written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Massimiliano Marcellino
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (817 download)
Download or read book An Estimated DSGE Model of a Small Open Economy Within the Monetary Union written by Massimiliano Marcellino and published by . This book was released on 2012 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we lay out a two-region DSGE model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habit formation in consumption, price and wage stickiness as well as rich stochastic structure. The framework also incorporates the theory of unemployment as in Gali et al. (2011), small open economy aspects and a nominal interest rate that is set exogenously by the area-wide monetary authority. As an illustration, the model is estimated on Luxembourgish data. We evaluate the properties of the estimated model and assess its forecasting performance relative to reduced form models such as VARs. In addition, we study the empirical validity of the DSGE model restrictions by applying a DSGE-VAR approach. Finally, the estimated model is used to analyze the sources of macroeconomic fluctuations and examine the responses of the economy to structural shocks.
Author : Jean-Philippe Cayen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (551 download)
Download or read book Estimating DSGE-model-consistent Trends for Use in Forecasting written by Jean-Philippe Cayen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Li Dai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)
Download or read book Does the DSGE Model Fit the Chinese Economy? written by Li Dai and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract This thesis makes three main contributions to the literature on Dynamic Stochastic General Equilibrium (DSGE) models in Macroeconomics. As no previous studies have studied the Chinese economy from the perspective of DSGE, the first contribution of this thesis is estimating a DSGE model for China through a Bayesian approach using the Chinese quarterly post-economic reform data representing the main macro-economic time series 1978.Q1-2007.Q4. Second, this thesis adopts a new method of evaluating macro-economic models in its evaluation of the estimated DSGE model for China. Rather than the classical methods used to evaluate a macro-economic model such as the Maximum Likelihood method, the method of Indirect Inference is used to test the DSGE model. This method differs from other methods in its adoption of a VAR as the auxiliary model that mimics reality. A hybrid model is adopted to improve the ability of the DSGE model to replicate real world results and compared to the original New Keynesian version of the DSGE model developed by Smets and Wouters. Third, considering the restrictions that the prior distribution imposed on the estimated parameters of the model in the Bayesian estimation, the estimation method of Indirect Inference is used in the last chapter of this thesis and compared with the Bayesian estimation. The results of the Bayesian estimation are in agreement with most of the existing literature on DSGE models. However, the results of Indirect Inference testing suggest that the adopted DSGE model does not closely resemble the real data, with a Hybrid model with 50% weight on the NK part performing significantly better. Indirect Inference estimation produces the same results and provides a better estimation of the model.
Download or read book Evaluating UK Point and Density Forecasts from an Estimated DSGE Model written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jesús Fernández-Villaverde
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Estimating DSGE Models written by Jesús Fernández-Villaverde and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We review the current state of the estimation of DSGE models. After introducing a general framework for dealing with DSGE models, the state-space representation, we discuss how to evaluate moments or the likelihood function implied by such a structure. We discuss, in varying degrees of detail, recent advances in the field, such as the tempered particle filter, approximated Bayesian computation, the Hamiltonian Monte Carlo, variational inference, and machine learning, methods that show much promise, but that have not been fully explored yet by the DSGE community. We conclude by outlining three future challenges for this line of research.
Author : S. Borağan Aruoba
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (864 download)
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.
Author : Jing Jiao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)
Download or read book Essays on the Evaluation and Estimation of the Heterogeneity of Price Stickiness in a DSGE Model written by Jing Jiao and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The 'New Keynesian' model assumes that prices and wages are in an extreme 'sticky'pattern. In this model, the ssumption that a lagged indexation scheme increases the persistence of inflation is in widespread used; however, in reality, this ad hoc indexation setup is inconsistent with the real data. Moreover, there is extensive evidence on micro price data indicates that heterogeneity in price stickiness is a commonly found feature of price setting throughout the Euro area. Therefore, this thesis aims at incorporating this micro price evidence in an elaborated New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model by using a Generalised- Taylor-Economy (GTE) and Generalised-Calvo (GC) price settings. This thesis first presents the models, which are an extension of Smets-Wouters (SW) model (2003) which replaces Calvo with indexation price setting with heterogeneous price settings. In these new price settings, the micro evidence of heterogeneous price stickiness is directly emerged into macro DSGE models. The findings suggest that heterogeneous price stickiness can generate long-lived inflation and output persistence. Indirect inference is then used to evaluate the DSGE models of the French economy under different price settings. The results of the testing show that all models with differentprice settings are comprehensively rejected. The models are then estimated with Bayesian techniques as SW (2003) by using seven key macroeconomic observables. The results show that the GC model has the best performance. The rankings of the different price setting models are also proven to be robust to different priors and observables. Indirect inference evaluations are then conducted based on Bayesian estimated models, and all models are rejected. Indirect inference is then used as an estimation method. The testing results are improved on all models. The GC model is still considered to be the best performance model among all of the different price setting models.
Author : Pablo Aguilar
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (931 download)
Download or read book The Role of Term Structure in an Estimated DSGE Model with Learning written by Pablo Aguilar and published by . This book was released on 2015 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yunjong Eo
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Bayesian Analysis of DSGE Models with Regime Switching written by Yunjong Eo and published by . This book was released on 2016 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference about prevailing and future regimes based on Bayes' rule. I develop an estimation method that takes these probabilistic inferences into account when relating state variables to observed data. In an application to postwar U.S. data, I find stronger support for regime switching in monetary policy than in technology or nominal rigidities. In addition, a model with regime switching policy that conforms to the long-run Taylor principle given in Davig and Leeper (2007) is preferred to a determinacy-indeterminacy model motivated by Lubik and Schorfheide (2004). These empirical results indicate that, even though a passive policy regime produced more volatility in the economy from the early 1970s to the mid-1980s, the economy can be explained by determinacy over the entire postwar period, implying no role for sunspot shocks in explaining the changes in volatility.
