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Estimating Nonlinear Dynamic Equilibrium Economies : A Likelihood Approach

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2014

authors develop a sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using … simulation methods. This likelihood can be used for parameter estimation and for model comparison. The algorithm can deal both … and its good performance in finite simulations. This new algorithm is important because the existing empirical literature …

Persistent link: https://www.econbiz.de/10014048588

Cyclical asset returns in the consumption and investment goods sector

Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2013

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10009786095

A structural investigation of quantitative easing

Böhl, Gregor; Goy, Gavin; Strobel, Felix - 2021

Did the Federal Reserve's Quantitative Easing (QE) in the aftermath of the financial crisis have macroeconomic effects? To answer this question, we estimate a large-scale DSGE model over the sample from 1998 until 2020, including data of the Fed's balance sheet. We allow for QE to affect the...

Persistent link: https://www.econbiz.de/10012426411

A structural investigation of quantitative easing

Böhl, Gregor; Goy, Gavin; Strobel, Felix - 2020

Did the Federal Reserves' Quantitative Easing (QE) in the aftermath of the financial crisis have macroeconomic effects? To answer this question, the authors estimate a large-scale DSGE model over the sample from 1998 to 2020, including data of the Fed's balance sheet. The authors allow for QE to...

Persistent link: https://www.econbiz.de/10012230143

Notes on the Inflation Dynamics of the New Keynesian Phillips Curve

Hornstein, Andreas - 2012

These notes contain the derivations for results stated without proof in Hornstein (2007). First, I derive the log-linear approximation of the inflation dynamics in the Calvo-model with elements of backward-looking pricing when the approximation takes place around a positive average inflation...

Persistent link: https://www.econbiz.de/10013096788

Endogenous firm entry in an estimated model of the US business cycle - updated version

Offick, Sven; Winkler, Roland - 2015

A recent theoretical literature highlights the role of endogenous firm entry as an internal amplification mechanism of business cycle fluctuations. The amplification mechanism works through the competition and the variety effect. This paper tests the significance of this amplification mechanism,...

Persistent link: https://www.econbiz.de/10011390479

Business cycles with cyclical returns to scale

Hyun, Jay; Kim, Ryan; Lee, Byoungchan - 2022

We study business cycles with cyclical returns to scale. Contrary to tightly parameterized production functions (Cobb-Douglas and Constant Elasticity of Substitution), we empirically identify strong input complementarity that leads to procyclical returns to scale. We therefore propose a flexible...

Persistent link: https://www.econbiz.de/10013260122

Endogenous firm entry in an estimated model of the US business cycle

Offick, Sven; Winkler, Roland - 2014

Persistent link: https://www.econbiz.de/10010233105

Uncovering the mechanism(s): financial constraints and wages

Arabzadeh, Hamzeh; Balleer, Almut; Gehrke, Britta - 2020

How do wages respond to financial recessions? Based on a dynamic macroeconomic model with frictions in the labor and the financial market, we address two prominent mechanism through which firms' financial constraints amplify unemployment and explore their effect on wages. First, the financial...

Persistent link: https://www.econbiz.de/10012389827

Endogenous firm entry in an estimated model of the U.S. business cycle : conference paper

Offick, Sven; Winkler, Roland - 2013 - Preliminary and incomplete

This paper explores and quantifies the role of endogenous firm entry in amplifying and propagating shocks to the economy. To this end, we estimate two DSGE models on US data with Bayesian methods: one model with endogenous firm entry and translog preferences and one model without. Both models...

Persistent link: https://www.econbiz.de/10010341104