The business cycle is alive and well, and real variables respond to it more or less as they always did. Witness the Great Recession. In ation, in contrast, has gone quiescent. This paper studies the sources of this disconnect using VARs and an estimated DSGE model. It finds that the disconnect...

The paper shows some new features implemented in SoePL-2012 DSGE model, namely explicitly modeled unobserved labour supply and observed unemployment rate. Our approach to labour market in the New Keynesian DSGE model follows papers of Galí et al. (2011); Galí (2011b), see also Christiano et...

This paper investigates the accuracy of forecasts from four DSGE models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed’s Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as...

This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical US data vintages synchronized with the Fed's Greenbook...

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...

There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...

This study analyzes the drivers of inflation in South Korea using a Dynamic Stochastic General Equilibrium (DSGE) model tailored to the characteristics of Korea as a small open economy. Employing quarterly data from 1999Q2 to 2023Q2, Bayesian estimation is used to estimate Korea-specific...

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to under- standing this channel....

Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks...

We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism a la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the...