This paper develops a new way to quantify the effect of uncertainty and other higher-order moments. First, we estimate a nonlinear model using Bayesian methods with data on uncertainty, in addition to common macro time series. This key step allows us to decompose the exogenous and endogenous...

This study estimates a small open economy DSGE model for Sri Lanka to find out the driving forces of business cycles. The model replicates moments of actual data fairly well and it outperforms BVAR models estimated with the same data. The application of the estimated model reveals that domestic...

We estimate a workhorse DSGE model with an occasionally binding borrowing constraint. First, we propose a new specification of the occasionally binding constraint, where the transition between the unconstrained and constrained states is a stochastic function of the leverage level and the...

This paper examines the possibility of combining a DSGE model and neural networks to supplement each other, in order to yield a good performance in out-of-sample forecasts for economic variables. The novel neural-net structure of TDVAE (Temporal Difference Variational Auto-Encoder) proposed by...

We develop a structural DSGE model to systematically study the principal tools of unconventional monetary policy -- quantitative easing (QE), forward guidance, and negative interest rate policy (NIRP) -- as well as the interactions between them. To generate the same output response, the...