The Paper studies the inflation rate associated with optimal monetary policy in a standard suite of DSGE models, when …

This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For … estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

build a medium-scale dynamic stochastic general equilibrium (DSGE) model with both stochastic volatility and parameter …This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the … time-varying volatility of U.S. aggregate data. Of special interest to us is understanding the sources of the great …

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

In this paper we report the results of the estimation of a rich dynamic stochastic general equilibrium (DSGE) model of … the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. We use the results of this … Volcker's tenure at the Fed, those changes contributed little to the great moderation. Instead, changes in the volatility of …

(Modelo de Equilibrio Dinámico de la Economía EspañA). MEDEA is a dynamic stochastic general equilibrium (DSGE) model that …

(DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last … under consideration by estimating a benchmark DSGE model with real and nominal rigidities. I conclude by offering some …