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Bayesian Analysis of DSGE Models with Regime Switching

Eo, Yunjong - 2008

I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference about...

Persistent link: https://www.econbiz.de/10015215980

Monetary policy, Uncertainty and COVID-19

Pinshi, Christian P. - 2020

The COVID-19 pandemic is influencing the management of monetary policy in its role as regulator of aggregate demand and guarantor of macroeconomic stability. We use a Bayesian VAR framework (BVAR) to provide an analysis of the COVID-19 uncertainty shock on the economy and monetary policy...

Persistent link: https://www.econbiz.de/10015223913

How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran

Khiabani, Nasser - 2010

This paper analyzes the effects of oil price and monetary shocks on the Iranian housing market in a Bayesian SVAR … framework. The prior information for the contemporaneous identification of the SVAR model is derived from standard economic … theory. To deal with uncertainty in the identification schemes, I calculate posterior model probabilities for the SVAR model …

Persistent link: https://www.econbiz.de/10015228901

Financial innovation, macroeconomic volatility and the great moderation

Zaghini, Andrea; Bencivelli, Lorenzo - 2012

In the paper we propose an assessment of the role of financial innovation in shaping US macroeconomic dynamics. We extend an existing model by Christiano, Eichenbaum and Evans which studied the transmission of monetary policy impulses to business and corporate sector financing variables just...

Persistent link: https://www.econbiz.de/10015233718

Sources of Macroeconomic Fluctuations in MENA Countries

Balcilar, Mehmet; Bagzibagli, Kemal - 2010

A close examination of the MENA region economies reveals a number of fundamental sources of macroeconomic fluctuations. These include economic factors such as exchange rate instability, large public debt, current account deficits, and escalation of inflation. The political factors such as...

Persistent link: https://www.econbiz.de/10015235699

Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia

Castelnuovo, Efrem; Duc Tran, Trung - 2017

We develop uncertainty indices for the United States and Australia based on freely accessible, real time Google Trends data. Our Google Trends Uncertainty (GTU) indices are found to be positively correlated to a variety of alternative proxies for uncertainty available for these two countries....

Persistent link: https://www.econbiz.de/10015258079

An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis

Iiboshi, Hirokuni; Nishiyama, Shin-Ichi; Watanabe, Toshiaki - 2006

This paper estimates a dynamic stochastic general quilibrium (DSGE) model for the Japanese economy over 1970:Q1 through 1998:Q4, which is prior to the period of zero interest rate bound. More specifically, the New-Keynesian DSGE model with several frictions such as stickiness in price and wage,...

Persistent link: https://www.econbiz.de/10015259882

A Bayesian Estimation of HANK models with Continuous Time Approach:Comparison between US and Japan

Hasumi, Ryo; Iiboshi, Hirokuni - 2019

Abstract This paper estimates heterogeneous agent New Keynesian (HANK) model for US and Japan through three aggregate observations: real GDP, inflation and interest rate, by adopting combination of easy-to-use computational method for solving the model, developed by Ahn, Kaplan, Moll, Winberry...

Persistent link: https://www.econbiz.de/10015263112

A Bayesian Estimation of HANK models with Continuous Time Approach:Comparison between US and Japan

Hasumi, Ryo; Iiboshi, Hirokuni - 2019

Persistent link: https://www.econbiz.de/10015263544

Identifying Shocks on the Economic Fluctuations in Indonesia and US: The Role of Oil Price Shocks in a Structural Vector Autoregression Model

Mansur, Alfan - 2015

In this paper, the sources of the Indonesian economic slowdown as well as US economic fluctuations are investigated within a range of four-variable structural vector autoregression models. Identification is attained either through the combination of short-run and long-run restrictions or the...

Persistent link: https://www.econbiz.de/10015264095