Search Results - subject:"dynamic stochastic"

A theory of regular Markov perfect equilibria in dynamic stochastic games : genericity, stability, and purification

Doraszelski, Ulrich; Escobar, Juan - In: Theoretical economics : TE ; an open access journal in … 5 (2010) 3, pp. 369-402

This paper studies generic properties of Markov perfect equilibria in dynamic stochastic games. We show that almost all … dynamic stochastic games have a finite number of locally isolated Markov perfect equilibria. These equilibria are essential … regularity for dynamic stochastic games and exploit a simple connection between normal form and dynamic stochastic games. …

Persistent link: https://www.econbiz.de/10011695306

The implementation of scenarios using DSGE models

Vetlov, Igor; Félix, Ricardo Mourinho; Fry, Laure; … - 2010

Persistent link: https://www.econbiz.de/10011720701

Monetary DSGE models of two countries : set-up, estimation and forecasting performance

Gunter, Ulrich - 2010

Die vorliegende Dissertation mit dem Titel Monetary DSGE Models of Two Countries: Set-Up, Estimation, and Forecasting Performance beinhaltet neben einem einleitenden noch drei weitere Kapitel. In Kapitel 2 entwickeln wir ein Zwei-Länder-DSGE-Modell und untersuchen die Auswirkungen von...

Persistent link: https://www.econbiz.de/10011853175

DSGE Model Restrictions for Structural VAR Identification

Liu, Philip - 2010

The identification of reduced-form VAR model had been the subject of numerous debates in the literature. Different sets of identifying assumptions can lead to very different conclusions in the policy debate. This paper proposes a theoretically consistent identification strategy using...

Persistent link: https://www.econbiz.de/10013136458

Risky Mortgages in a DSGE Model

Lambertini, Luisa - 2010

This paper develops a DSGE model with housing, risky mortgages and endogenous default. Housing investment is subject to idiosyncratic risk and some mortgages are defaulted in equilibrium. An unanticipated increase in the standard deviation of housing investment produces a credit crunch where...

Persistent link: https://www.econbiz.de/10013135728

Macroeconomic Propagation Under Different Regulatory Regimes : Evidence From an Estimated DSGE Model For the Euro Area

Darracq Pariès, Matthieu - 2010

monetary policy. We estimate a closed-economy dynamic stochastic general equilibrium (DSGE) model for the euro area with …

Persistent link: https://www.econbiz.de/10013137813

DSGE Models for Monetary Policy Analysis

Christiano, Lawrence J. - 2010

Monetary DSGE models are widely used because they fit the data well and they can be used to address important monetary policy questions. We provide a selective review of these developments. Policy analysis with DSGE models requires using data to assign numerical values to model parameters. The...

Persistent link: https://www.econbiz.de/10012462581

The Econometrics of DSGE Models

Fernández-Villaverde, Jesús - 2010

In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium …

Persistent link: https://www.econbiz.de/10012757950

Policy Analysis Using DSGE Models : An Introduction

Sbordone, Argia M.; Tambalotti, Andrea; Rao, Krishna; … - 2010

Many central banks have come to rely on dynamic stochastic general equilibrium, or DSGE, models to inform their …

Persistent link: https://www.econbiz.de/10014190116

Forecasting with DSGE Models

Christoffel, Kai - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...

Persistent link: https://www.econbiz.de/10013144596