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Solving And Estimating Indeterminate Dsge Models
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Book Synopsis Solving and Estimating Indeterminate DSGE Models by : Mr.Roger Farmer
Download or read book Solving and Estimating Indeterminate DSGE Models written by Mr.Roger Farmer and published by International Monetary Fund. This book was released on 2013-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.
Book Synopsis Solving and Estimating Indeterminate DSGE Models by : Roger E. A. Farmer
Download or read book Solving and Estimating Indeterminate DSGE Models written by Roger E. A. Farmer and published by . This book was released on 2013 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.
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 The Price Puzzle and Indeterminacy in an Estimated DSGE Model by : Anatoliy Belaygorod
Download or read book The Price Puzzle and Indeterminacy in an Estimated DSGE Model written by Anatoliy Belaygorod and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend Lubik and Schorfheide's (2004) likelihood-based estimation of dynamic stochastic general equilibrium (DSGE) models under indeterminacy to encompass a sample period including both determinacy and indeterminacy by implementing the change-point methodology (Chib, 1998). The most striking finding about the indeterminacy regime, which is estimated to coincide with the Great Inflation of the 1970s, is that it exhibits the price puzzle, in that the inflation rate rises immediately and in a sustained manner following a positive interest rate shock. Thus, the price puzzle might have been a genuine phenomenon under indeterminacy, rather than a false finding to be excised through specification search and parameter restrictions.
Book Synopsis Estimating a Small DSGE Model Under Rational and Measured Expectations by :
Download or read book Estimating a Small DSGE Model Under Rational and Measured Expectations written by and published by . This book was released on 2007 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Prosperity for All by : Roger E. A. Farmer
Download or read book Prosperity for All written by Roger E. A. Farmer and published by Oxford University Press. This book was released on 2017 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the 2008 financial crisis, economists around the world have advanced theories to explain the persistence of high unemployment and low growth rates. Written in clear, accessible language by prominent macroeconomic theorist Roger E. A. Farmer, Prosperity for All proposes a paradigm shift and policy changes that could successfully raise employment rates, keep inflation at bay, and stimulate growth.
Book Synopsis Handbook of Economic Expectations by : Ruediger Bachmann
Download or read book Handbook of Economic Expectations written by Ruediger Bachmann and published by Elsevier. This book was released on 2022-11-04 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. Combines information about the creation of economic expectations and their theories, applications and likely futures Provides a comprehensive summary of economics expectations literature Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics
Book Synopsis Inflation Targeting and Exchange Rate Management In Less Developed Countries by : Mr.Marco Airaudo
Download or read book Inflation Targeting and Exchange Rate Management In Less Developed Countries written by Mr.Marco Airaudo and published by International Monetary Fund. This book was released on 2016-03-08 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze coordination of monetary and exchange rate policy in a two-sector model of a small open economy featuring imperfect substitution between domestic and foreign financial assets. Our central finding is that management of the exchange rate greatly enhances the efficacy of inflation targeting. In a flexible exchange rate system, inflation targeting incurs a high risk of indeterminacy where macroeconomic fluctuations can be driven by self-fulfilling expectations. Moreover, small inflation shocks may escalate into much larger increases in inflation ex post. Both problems disappear when the central bank leans heavily against the wind in a managed float.
Book Synopsis Economic Dynamics in Discrete Time, second edition by : Jianjun Miao
Download or read book Economic Dynamics in Discrete Time, second edition written by Jianjun Miao and published by MIT Press. This book was released on 2020-03-03 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unified and comprehensive introduction to the analytical and numerical tools for solving dynamic economic problems; substantially revised for the second edition. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. This second edition has been substantially updated. Responding to renewed interest in modeling with multiple equilibria, it incorporates new material on this topic throughout. It offers an entirely new chapter on deterministic nonlinear systems, and provides new material on such topics as linear planar systems, chaos, bifurcations, indeterminacy and sunspot solutions, pruning nonlinear solutions, the bandit problem, rational inattention models, bequests, self-fulfilling prophecies, the cyclical behavior of unemployment and vacancies, and the long-run risk model. The exposition of each chapter has been revised and improved, and many new figures, Matlab codes, and exercises have been added. A student solutions manual can be purchased separately.
Book Synopsis A Requiem for the Fiscal Theory of the Price Level by : Mr.Roger Farmer
Download or read book A Requiem for the Fiscal Theory of the Price Level written by Mr.Roger Farmer and published by International Monetary Fund. This book was released on 2019-10-11 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Fiscal Theory of the Price Level (FTPL) is the claim that, in a popular class of theoretical models, the price level is sometimes determined by fiscal policy rather than monetary policy. The models where this claim has been established assume that all decisions are made by an infinitely-lived representative agent. We present an alternative, arguably more realistic model, populated by sixty-two generations of people. We calibrate our model to an income profile from U.S. data and we show that the FTPL breaks down. In our model, the price level and the real interest rate are indeterminate, even when monetary and fiscal policy are both active. Our findings challenge established views about what constitutes a good combination of fiscal and monetary policies.
Author :International Monetary Fund. Research Dept. Publisher :International Monetary Fund ISBN 13 :1484378431 Total Pages :14 pages Book Rating :4.4/5 (843 download)
Book Synopsis IMF Research Bulletin, December 2013 by : International Monetary Fund. Research Dept.
Download or read book IMF Research Bulletin, December 2013 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2013-12-17 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the December 2013 IMF Research Bulletin, the Research Summaries look at “Reforming Dual Labor Markets in Advanced Economies” (Giovanni Ganelli) and “Rating Through-The-Cycle: What Does the Concept Imply for Rating Stability Accuracy” (John Kiff, Michael Kisser, and Liliana Schumacher). The Q&A discusses Seven Questions on Financial Crises (Stijn Claessens, M. Ayhan Kose, Luc Laeven, and Fabián Valencia). This issue also includes a listing of recent IMF Working Papers and IMF Staff Discussion Notes, as well as Recommended Readings from the IMF Bookstore. The top-viewed articles from recent of issues of “IMF Economic Review” are featured.
Book Synopsis Solving Linear Difference Systems with Lagged Expectations by a Method of Undetermined Coefficients by : Pengfei Wang
Download or read book Solving Linear Difference Systems with Lagged Expectations by a Method of Undetermined Coefficients written by Pengfei Wang and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper proposes a solution method to solve linear difference models with lagged expectations. Variables with lagged expectations expand the model's state space greatly when N is large; and getting the system into a canonical form solvable by the traditional methods involves substantial manual work (e.g., arranging the state vector and the associated coefficient matrices to accommodate variables with lagged expectations), which is prone to human errors. Our method avoids the need of expanding the state space of the system and shifts the burden of analysis from the individual economist/model solver toward the computer. Hence it can be a very useful tool in practice, especially in testing and estimating economics models with a high order of lagged expectations. Examples are provided to demonstrate the usefulness of the method. We also discuss the implications of lagged expectations on the equilibrium properties of indeterminate DSGE models, such as the serial correlation properties of sunspots shocks in these models"--Federal Reserve Bank of St. Louis web site.
Book Synopsis Solution and Estimation Methods for DSGE Models by :
Download or read book Solution and Estimation Methods for DSGE Models written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Essays in Macroeconomics and Finance by : Vadim Khramov
Download or read book Essays in Macroeconomics and Finance written by Vadim Khramov and published by . This book was released on 2013 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter proposes a method for solving and estimating linear rational expectations models that exhibit indeterminacy. The method implements an idea of moving expectational errors to the set of fundamental shocks, reducing the number of solutions from infinity to one. This transformation allows one to treat indeterminate models as determinate and, therefore, apply standard solution and estimation methods to them. This chapter provides a simple "rule of thumb," based on a Bayesian model comparison, for identifying expectational errors that generate indeterminacy. The second chapter reexamines the source of the Great Moderation by estimating New-Keynesian DSGE models with capital accumulation and indeterminacy on U.S. data from 1960 to 2008. It was found that, in contrast to canonical papers, the Federal Reserve's monetary policy rule remained passive in response to inflation before (1960-1979) and after (1982-2008) the Great Moderation. Bayesian model comparisons enable a declaration that, when capital is added, passive monetary policy with indeterminacy provides a better fit to the data in both subperiods. The results of this chapter suggest that during the Great Moderation structural changes were primarily on the demand side of the economy, supporting the idea of financial innovations. The third chapter sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? In this chapter, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility--the relationship between the volatility of changes in the interest rate and its level--plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
Book Synopsis Estimation of DSGE models when the data are persistent by : Yuriy Gorodnichenko
Download or read book Estimation of DSGE models when the data are persistent written by Yuriy Gorodnichenko and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Stochastic General Equilibrium (DSGE) models are often solved and estimated under specific assumptions as to whether the exogenous variables are difference or trend stationary. However, even mild departures of the data generating process from these assumptions can severely bias the estimates of the model parameters. This paper proposes new estimators that do not require researchers to take a stand on whether shocks have permanent or transitory effects. These procedures have two key features. First, the same filter is applied to both the data and the model variables. Second, the filtered variables are stationary when evaluated at the true parameter vector. The estimators are approximately normally distributed not only when the shocks are mildly persistent, but also when they have near or exact unit roots. Simulations show that these robust estimators perform well especially when the shocks are highly persistent yet stationary. In such cases, linear detrending and first differencing are shown to yield biased or imprecise estimates.
