Search Results - subject:"dynamic stochastic"

Exact Likelihood Computation for Nonlinear DSGE Models with Heteroskedastic Innovations

Amisano, Gianni - 2011

Phenomena such as the Great Moderation have increased the attention of macro-economists towards models where shock processes are not (log-) normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...

Persistent link: https://www.econbiz.de/10013125226

Data-Rich DSGE and Dynamic Factor Models

Kryshko, Maxym - 2011

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research …

Persistent link: https://www.econbiz.de/10014398278

Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model

Kryshko, Maxym - 2011

When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we relax these two assumptions and estimate a fairly...

Persistent link: https://www.econbiz.de/10014398279

Monetary and Macroprudential Policies

Angelini, Paolo - 2011

We use a dynamic general equilibrium model featuring a banking sector to assess the interaction between macroprudential policy and monetary policy. We find that in “normal” times (when the economic cycle is driven by supply shocks) macroprudential policy generates only modest benefits for...

Persistent link: https://www.econbiz.de/10013125621

Medium Term Business Cycles

Comin, Diego - 2011

Over the postwar, the U.S., Europe and Japan have experienced what may be thought of as medium frequency oscillations between persistent periods of robust growth and persistent periods of relative stagnation. These medium frequency movements, further, appear to bear some relation to the high...

Persistent link: https://www.econbiz.de/10013125764

Macro-Prudential Policy on Liquidity : What Does a DSGE Model Tell Us?

Chadha, Jagjit - 2011

The financial crisis has led to the development of an active debate on the use of macro-prudential instruments for regulating the banking system, in particular for liquidity and capital holdings. Within the context of a micro-founded macroeconomic model, we allow commercial banks to choose their...

Persistent link: https://www.econbiz.de/10013125800

Changing Economic Structures and Impacts of Shocks - Evidence from a DSGE Model for China

Mehrotra, Aaron N. - 2011

We construct a small-scale dynamic stochastic general equilibrium (DSGE) model that features price rigidities, habit …

Persistent link: https://www.econbiz.de/10013125953

On Identification of Bayesian DSGE Models

Koop, Gary - 2011

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general …

Persistent link: https://www.econbiz.de/10013126000

SOEPL 2009 - An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis and Forecasting

Grabek, Grzegorz - 2011

The paper documents elements of work on the dynamic stochastic general equilibrium (DSGE) SOEPL model that has been … of macroeconometric methods which brought about the creation of new-keynesian models specified within the dynamic … stochastic general equilibrium approach. The remaining two parts of the paper report specification, estimation results and some …

Persistent link: https://www.econbiz.de/10013126544

A Small Open Economy New Keynesian DSGE Model for a Foreign Exchange Constrained Economy

Senbeta, Sisay Regassa - 2011

Firms in many low income countries depend entirely on imported capital and intermediate inputs. As a result, in these countries economic activity is considerably influenced by the capacity of the economy to import these inputs which, in turn, depends on the availability and cost of foreign...

Persistent link: https://www.econbiz.de/10013126907