Search Results - subject:"dynamic stochastic"

A Review of Nonfundamentalness and Identification in Structural VAR Models

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - Laboratory of Economics and Management (LEM), Scuola … - 2007

latter is used in the literature to assess the validity of Dynamic Stochastic Gen- eral Equilibrium models, providing some …- sentations starting from an estimated VAR. Keywords: Nonfundamentalness, Structural VAR, Dynamic Stochastic General Equi- librium … Dynamic Stochastic General Equilibrium (DSGE) models and a recent method proposed by Fernandez-Villaverde et al. [2005] to …

Persistent link: https://www.econbiz.de/10005292639

Documentation of the Research and Statistics Divisions Estimated DSGE Model of the U.S. Economy : 2006 Version

Edge, Rochelle M.; Kiley, Michael T.; Laforte, Jean-Philippe - 2007

This paper provides documentation for the large-scale estimated DSGE model of the U.S. economy used in Edge, Kiley, and Laforte (2007). The model represents part of an ongoing research project (the Federal Reserve Board's Estimated, Dynamic, Optimization-based - FRB/EDO - model project) in the...

Persistent link: https://www.econbiz.de/10014222384

Long Swings and Chaos in the Exchange Rate in a DSGE Model with a Taylor Rule

Bask, Mikael - 2007

A DSGE model with a Taylor rule is augmented with an evolutionary switching between technical and fundamental analyses in currency trade, where the fractions of these trading tools are determined within the model. Then, a shock hits the economy. As a result, chaotic dynamics and long swings may...

Persistent link: https://www.econbiz.de/10014222710

Oil Shocks and External Adjustment

Bodenstein, Martin; Erceg, Christopher J.; Guerrieri, Luca - 2007

This paper investigates how oil price shocks affect the trade balance and terms of trade in a two country DSGE model. We show that the response of the external sector depends critically on the structure of financial market risk-sharing. Under incomplete markets, higher oil prices reduce the...

Persistent link: https://www.econbiz.de/10014225235

Oil shocks and external adjustment

Bodenstein, Martin; Erceg, Christopher J.; Guerrieri, Luca - 2007

Persistent link: https://www.econbiz.de/10003997456

Bargaining, fairness, and price rigidity in a DSGE dnvironment

Arseneau, David M.; Chugh, Sanjay K. - 2007

Persistent link: https://www.econbiz.de/10003997469

Model evaluation in macroeconometrics : from early empirical macroeconomic models to DSGE models

Favero, Carlo A. - 2007

Persistent link: https://www.econbiz.de/10003913297

On the statistical identification of DSGE models

Consolo, Agostino; Favero, Carlo A.; Paccagnini, Alessia - 2007

Persistent link: https://www.econbiz.de/10003913298

The price puzzle and indeterminacy in an estimated DSGE model

Belaygorod, Anatoliy (contributor); … - 2007 - Rev.

-based estimation of monetary dynamic stochastic general equilibrium (DSGE) models under indeter- minacy to encompass a sample period … result. Until now estimated dynamic stochastic general equilibrium (DSGE) models have not implied a price puzzle (Castelnuovo …

Persistent link: https://www.econbiz.de/10003739744

Dynamic Stochastic General Equilibrium

Jondeau, Eric; Sahuc, Jean-Guillaume - 2007 - This version Nov. 2007

This paper investigates the implications of cross-country heterogeneity within the euro area for the design of optimal monetary policy. We build an optimizing-based multi-country model (MCM) describing the euro area in which dicurren;erences between structural parameters across countries are...

Persistent link: https://www.econbiz.de/10003961069