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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

Trend agnostic one step estimation of DSGE models

Ferroni, Filippo - 2009

estimates by Bayesian averaging. The role of investment shock as source of GDP volatility is reconsidered. …

Persistent link: https://www.econbiz.de/10015216460

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

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

) simulation. The parameters and impulse response functions of nine shocks such as monetary policy shock and productivity shock are … whose shock is estimated to give long-lasting effects on output and consumption compared with those in the previous studies … for the U.S. and euro area. Meanwhile, variance decomposition shows productivity shock and investment shock account for a …

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

Extending the NAWM with a partial indexation mechanism linking wages and trend productivitiy

Coenen, Gunter - 2009

This document sets out the details for extending the wage Phillips curve of the New Area-Wide Model (NAWM; cf. Christoffel, Coenen and Warne, 2008) with a partial indexation mechanism linking wages to trend productivity developments. The document first outlines the labour-market setting in which...

Persistent link: https://www.econbiz.de/10015259983

Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration

Murasawa, Yasutomo - 2019

The consumption Euler equation implies that the output growth rate and the real interest rate are of the same order of integration; thus if the real interest rate is I(1), then so is the output growth rate with possible cointegration, and log output is I(2). This paper extends the multivariate...

Persistent link: https://www.econbiz.de/10015262957

Forecasting Aluminum Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolás - 2019

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Persistent link: https://www.econbiz.de/10015265738

Bayesian Analysis of DSGE Models with Regime Switching

Eo, Yunjong - 2008

Persistent link: https://www.econbiz.de/10015251497

Conditional versus unconditional forecasting with the New Area-Wide Model of the euro area

Christoffel, Kai; Coenen, Gunter; Warne, Anders - 2007

In this paper we examine conditional versus unconditional forecasting with a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the context of the macroeconomic projection exercises at the European Central Bank (ECB). We first analyse the out-of-sample forecasting...

Persistent link: https://www.econbiz.de/10015254808

Azərbaycan üzrə DSÜT modeli: qiymətləndirmə və proqnozlaşdırma

Huseynov, Salman; Ahmadov, Vugar - 2014

In this paper, we estimate a DSGE model for the national economy, which also draws on the unique economic characteristics of the country. The empirical estimation is based on quarterly data and taking into account the short length of the time series for the national economy Bayesian estimation...

Persistent link: https://www.econbiz.de/10015255515

An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series

Maheu, John M; Song, Yong - 2017

This paper provides a feasible approach to estimation and forecasting of multiple structural breaks for vector autoregressions and other multivariate models. Due to conjugate prior assumptions we obtain a very efficient sampler for the regime allocation variable. A new hierarchical prior is...

Persistent link: https://www.econbiz.de/10015256113