We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital moves slowly from under- to over-performing market segments. Over short horizons, momentum's Sharpe ratio exceeds value's, the value-momentum correlation is negative, and...

In this paper, we model the interaction of inflation with the tax on nominal capital gains, examining the contribution of this interaction to aggregate fluctuations. Our innovation is to combine monetary policy shocks with non-indexed taxes in a model in which the central bank implements policy...

In infinite horizon, heterogeneous-agent and incomplete-market models, the existence of an interior Ramsey steady state is often assumed instead of proven. This paper demonstrates the critical importance of proving the existence of the Ramsey steady state when conducting theoretical or numerical...

In this paper we are thinking like Keynesians. In the first part we are modeling economy by using Post Keynesian Stock-Flow consistent model (PK-SCF), later we employ New- Keynesian Dynamic Stochastic General Equilibrium model (NK-DSGE). Keynesian SFC practitioners strongly believe that their...

This paper jointly analyzes the optimal conduct of monetary policy, foreign exchange intervention, fiscal policy, macroprudential policy, and capital flow management. This policy analysis is based on an estimated medium-scale dynamic stochastic general equilibrium (DSGE) model of the world...

At present, in the context of economic de-globalization, especially the impact of COVID-19, the adjustment of one country's macroeconomic and trade policies will have spillover effects on trading partners. Build DSGE models between the two countries, in which Epstein - Zin utility function...

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,...

This paper, analytically and quantitatively, studies the joint determination of optimal carbon taxation and distortionary fiscal policy in DSGE models. We question a central result of the existing environmental economics literature that the optimal carbon tax in the presence of distortionary...

Dynamic equilibrium models are specified to track time series with unit root-like behavior.Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often leads to algebraic mistakes, especially in models with several unit roots.We...