Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Estimating Dynamic Equilibrium Models With Stochastic Volatility
Download Estimating Dynamic Equilibrium Models With Stochastic Volatility full books in PDF, epub, and Kindle. Read online Estimating Dynamic Equilibrium Models With Stochastic Volatility ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Estimating dynamic equilibrium models with stochastic volatility by : Jesús Fernández-Villaverde
Download or read book Estimating dynamic equilibrium models with stochastic volatility written by Jesús Fernández-Villaverde and published by . This book was released on 2012 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to evaluate the likelihood function of the model. The approach, which exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large-scale models, such as those often employed by policy-making institutions. As an application, we use our algorithm and Bayesian methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in monetary policy. Our application shows the importance of stochastic volatility in accounting for the dynamics of the data.
Book Synopsis Frequency Domain Analysis of DSGE and Stochastic Volatility Models by : Denis Tkachenko
Download or read book Frequency Domain Analysis of DSGE and Stochastic Volatility Models written by Denis Tkachenko and published by . This book was released on 2012 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In this dissertation, we use frequency domain methods to address issues related to identification and estimation in linearized dynamic stochastic general equilibrium (DSGE) and stochastic volatility models.The first chapter provides a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second order properties of the linearized DSGE model. The condition is flexible and simple to verify. It is extended to study identification through a subset of frequencies, partial identification, conditional identification, and constrained identification. When lack of identification is detected, the method can be used to trace out nonidentification curves. For estimation in nonsingular systems, we consider a frequency domain quasi-maximum likelihood (FDQML) estimator and present its asymptotic properties, which can be different from existing results due to the structure of the DSGE model. Finally, we discuss a quasi-Bayesian procedure for estimation and inference that can incorporate relevant prior distributions and is computationally attractive.The second chapter analyzes a popular medium scale DSGE model of Smets and Wouters (2007) using the framework developed in the previous chapter. For identification, in addition to checking parameter identifiability, we derive the corresponding nonidentification curve. For estimation and inference, we contrast estimates obtained using the full spectrum with those using only the business cycle frequencies to find notably different parameter values and impulse response functions. A further comparison between the non-parametrically estimated and model implied spectra suggests that the business cycle based method delivers better estimates of the features that the model is intended to capture.The final chapter proposes an FDQML estimator of the integrated volatility of financial assets in the noisy high frequency data setting. The approach allows for the microstructure noise to be a stationary linear process, and is analytically tractable. In practice, we approximate the noise process by a finite order autoregression, where the order is chosen using the Akaike information criterion (AIC). The simulation study shows that the finite sample performance of the estimator is very similar to its time domain analogue in the case of i.i.d. noise, and is substantially better when more sophisticated noise specifications are considered.
Author :Francisco Javier Ruge-Murcia Publisher :Montréal : Centre interuniversitaire de recherche en économie quantitative ISBN 13 :9782893824758 Total Pages :39 pages Book Rating :4.8/5 (247 download)
Book Synopsis Methods to Estimate Dynamic Stochastic General Equilibrium Models by : Francisco Javier Ruge-Murcia
Download or read book Methods to Estimate Dynamic Stochastic General Equilibrium Models written by Francisco Javier Ruge-Murcia and published by Montréal : Centre interuniversitaire de recherche en économie quantitative. This book was released on 2003 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy by : Samya Beidas-Strom
Download or read book An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy written by Samya Beidas-Strom and published by International Monetary Fund. This book was released on 2011-02-01 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents and estimates a small open economy dynamic stochastic general-equilibrium model (DSGE) for the Jordanian economy. The model features nominal and real rigidities, imperfect competition and habit formation in the consumer’s utility function. Oil imports are explicitly modeled in the consumption basket and domestic production. Bayesian estimation methods are employed on quarterly Jordanian data. The model’s properties are described by impulse response analysis of identified structural shocks pertinent to the economy. These properties assess the effectiveness of the pegged exchange rate regime in minimizing inflation and output trade-offs. The estimates of the structural parameters fall within plausible ranges, and simulation results suggest that while the peg amplifies output, consumption and (price and wage) inflation volatility, it offers a relatively low risk premium.
Book Synopsis Quasi-Bayesian Estimation of Time-Varying Volatility in DSGE Models by : Katerina Petrova
Download or read book Quasi-Bayesian Estimation of Time-Varying Volatility in DSGE Models written by Katerina Petrova and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel quasi-Bayesian Metropolis-within-Gibbs algorithm that can be used to estimate drifts in the shock volatilities of a linearized dynamic stochastic general equilibrium (DSGE) model. The resulting volatility estimates differ from the existing approaches in two ways. First, the time variation enters non-parametrically, so that our approach ensures consistent estimation in a wide class of processes, thereby eliminating the need to specify the volatility law of motion and alleviating the risk of invalid inference due to mis-specification. Second, the conditional quasi-posterior of the drifting volatilities is available in closed form, which makes inference straightforward and simplifies existing algorithms. We apply our estimation procedure to a standard DSGE model and find that the estimated volatility paths are smoother compared to alternative stochastic volatility estimates. Moreover, we demonstrate that our procedure can deliver statistically significant improvements to the density forecasts of the DSGE model compared to alternative methods.
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 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
Book Synopsis Essays on Macroeconometrics by : Kotbee Shin
Download or read book Essays on Macroeconometrics written by Kotbee Shin and published by . This book was released on 2015 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation presents two essays on macroeconometrics. In the second chapter, I empirically compare alternative specifications of time-varying volatility in the context of linearized dynamic stochastic general equilibrium models. I consider time variation in the volatility of structural innovations in two ways: one in which the logarithm of the volatility is assumed to follow a simple autoregressive process (stochastic volatility) and the other in which the volatility follows a Markov-switching process. A comprehensive simulation study is presented to assess the fit and performance of two specifications. I show that modeling heteroscedasticity in a highly synchronized fashion across shocks may lead to distorted estimation of the volatility. In the empirical application to the United States data, stochastic volatility model delivers the best-fit and accounts for the heteroscedasticity present in the data well.
Book Synopsis Estimating Dynamic Equilibrium Models Using Macro and Financial Data by : Bent Jesper Christensen
Download or read book Estimating Dynamic Equilibrium Models Using Macro and Financial Data written by Bent Jesper Christensen and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Efficient Evaluation and Estimation of Dynamic Stochastic General Equilibrium Models by : Johannes Maximilian Huber
Download or read book Efficient Evaluation and Estimation of Dynamic Stochastic General Equilibrium Models written by Johannes Maximilian Huber and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Finacial Data by : Bent Jesper Christensen
Download or read book Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Finacial Data written by Bent Jesper Christensen and published by . This book was released on 2014 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonlinear Dynamic Stochastic General Equilibrium Models by :
Download or read book Nonlinear Dynamic Stochastic General Equilibrium Models written by and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Moment Condition Models in Empirical Economics by : Sara Maria de Almeida Duarte Lopes Riscado
Download or read book Moment Condition Models in Empirical Economics written by Sara Maria de Almeida Duarte Lopes Riscado and published by . This book was released on 2012 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter of this dissertation, we approach the estimation of dynamic stochastic general equilibrium models through a moments-based estimator, the empirical likelihood. We try to show that this inference process can be a valid alternative to maximum likelihood. The empirical likelihood estimator only requires knowledge about the moments of the data generating process of the model. In this context, we exploit the fact that these economies can be formulated as a set of moment conditions to infer on their parameters through this technique. For illustrational purposes, we consider the standard real business cycle model with a constant relative risk adverse utility function and indivisible labour, driven by a normal technology shock. In the second chapter, we explore further aspects of the estimation of dynamic stochastic general equilibrium models using the empirical likelihood family of estimators. In particular, we propose possible ways of tackling the main problems identified in the first chapter. These problems resume to: (i) the possible existence of dependence between the random variables; (ii) the definition of moment conditions in the dynamic stochastic general equilibrium models setup; (iii) the alternatives to the data generation process used in the first chapter. In the third chapter, we investigate the short run effects of macroeconomic and scal volatility on the decision of the policy maker on how much to consume and how much to invest. To that end, we analyse a panel of 10 EU countries during 1991-2007. Our results suggest that increases in the volatility of regularly collected and cyclical revenues such as the VAT and income taxes tend to tilt the expenditure composition in favour of public investment. In contrast, increases in the volatility of ad hoc-type of taxes such as capital taxes tend to favour public consumption spending, albeit only a little.
Book Synopsis An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area by : Frank Smets
Download or read book An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area written by Frank Smets and published by . This book was released on 2002 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fortune Or Virtue by : Jesús Fernández-Villaverde
Download or read book Fortune Or Virtue written by Jesús Fernández-Villaverde and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the time-varying volatility of U.S. aggregate data. Of special interest to the authors is understanding the sources of the great moderation of business cycle fluctuations that the U.S. economy experienced between 1984 and 2007. To explore this issue, the authors build a medium-scale dynamic stochastic general equilibrium (DSGE) model with both stochastic volatility and parameter drifting in the Taylor rule and they estimate it non-linearly using U.S. data and Bayesian methods. Methodologically, the authors show how to confront such a rich model with the data by exploiting the structure of the high-order approximation to the decision rules that characterize the equilibrium of the economy. Their main empirical findings are: 1) even after controlling for stochastic volatility (and there is a fair amount of it), there is overwhelming evidence of changes in monetary policy during the analyzed period; 2) however, these changes in monetary policy mattered little for the great moderation; 3) most of the great performance of the U.S. economy during the 1990s was a result of good shocks; and 4) the response of monetary policy to inflation under Burns, Miller, and Greenspan was similar, while it was much higher under Volcker.
Book Synopsis Two Essays on Maximum Likelihood Estimations of Dynamic Stochastic General Equilibrium Models by : Gulnur Kozak
Download or read book Two Essays on Maximum Likelihood Estimations of Dynamic Stochastic General Equilibrium Models written by Gulnur Kozak and published by . This book was released on 2008 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on maximum likelihood estimation of Dynamic Stochastic General Equilibrium (DSGE) models. The first essay focuses on a monetary DSGE model of term structure, while the second essay explores and compares three different versions of New Keynesian DSGE models. In Chapter 1, a general background is given for the DSGE models, and their estimation techniques along with a review of the term structure models and New Keynesian models. The first essay, which is a joint work with Hwagyun Kim, empirically evaluates the relationships between money, inflation, output growth, and the interest rates of different maturities using a monetary DSGE model of term structure, featuring inflation targeting behavior, asset market segmentation, and external habit extended for nominal economy. This model can generate liquidity effect, average upward sloping yield curve, and time-varying bond risk premia for bearing inflation and real shocks. By exploiting the term structure equations derived from the model, the deep parameters of the model describing risk preference, inflation targeting behavior, and market segmentation between bond traders and non-traders are estimated. The model is estimated under alternative specifications: latent factors; macroeconomic factors; and both latent and macroeconomic factors. The empirical findings show that all the methods give consistent estimates of the parameters, and conclude that asset market segmentation, inflation targeting, and time-varying risk aversion are significant to account for the term structure dynamics. They also suggest that monetary factors and monetary policy are important to understand both short-run and long-run behaviors of bond prices. In the second essay, three different versions of New Keynesian DSGE models are developed, and their structural parameters are estimated by maximum likelihood estimation. Specifically, the role of velocity of money on the dynamics of real variables is empirically examined by constructing a money in the utility model and two special cases of transactions cost model. Wealth effects, previously ignored in many transactions cost models, are taken into consideration in one of the cases examined here, and comparisons are made between the transactions cost model that includes the wealth effects and the transactions cost model that ignores the wealth effects entirely. The equivalence of money in the utility model and transactions cost model with wealth effects is also quantitatively examined. The results show that there is no evidence of quantitative equivalence between these two models. Although the magnitude of impulse responses are different among the models studied here, all three models give consistent estimates for the structural parameters. The empirical findings from the maximum likelihood estimates of all three models' parameters also suggest that the velocity of money is a very important part of the IS and Phillips curves of all three models developed here, and should be included in IS and Phillips curves when examining the inflation and output dynamics.
Book Synopsis Dynamic Stochastic General Equilibrium Models by : Hamilton Galindo Gil
Download or read book Dynamic Stochastic General Equilibrium Models written by Hamilton Galindo Gil and published by Springer Nature. This book was released on with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt:
