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Solution methods for models with rare disasters

Fernández-Villaverde, Jesús; Levintal, Oren - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 903-944

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the lines of those proposed by Rietz (1988), Barro (2006), Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...

Persistent link: https://www.econbiz.de/10011994514

Using the Kalman Filter to Smooth the Shocks of a Dynamic Stochastic General Equilibrium Model

Bauer, Andy - 2015

This paper shows how to use the Kalman filter (Kalman 1960) to back out the shocks of a dynamic stochastic general equilibrium model. In particular, we use the smoothing algorithm as described in Hamilton (1994) to estimate the shocks of a sticky-prices and sticky-wages model using all the...

Persistent link: https://www.econbiz.de/10013032852

Small DSGE Model with Financial Frictions

Melesse, Wondemhunegn Ezezew - 2019

In the last few years, macroeconomic modelling has emphasised the role of credit market frictions in magnifying and transmitting nominal and real disturbances and their implication for macro-prudential policy design. In this paper, we construct a modest New Keynesian general equilibrium model...

Persistent link: https://www.econbiz.de/10012904191

On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models

Andreasen, Martin M. - 2011

This paper studies how rare disasters and uncertainty shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the results in Schmitt-Grohé & Uribe (2004) to third order, we derive propositions for how rare disasters, stochastic volatility, and...

Persistent link: https://www.econbiz.de/10013132951

Optimal Interest Rate Rule in a DSGE Model with Housing Market Spillovers

Tsang, Kwok Ping - 2014

This paper studies the optimal interest rate rule in a DSGE model with housing market spillovers (Iacoviello and Neri (2010)). We find that the optimal rule responds to house price inflation even when the stabilization of house price is not among the objectives of the policymaker, and that the...

Persistent link: https://www.econbiz.de/10013054447

Practical Tools for Policy Analysis in DSGE Models with Missing Channels

Caldara, Dario - 2013

In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors, that feed into the structural shocks of the DSGE model to...

Persistent link: https://www.econbiz.de/10013089139

The FRBNY DSGE Model

Del Negro, Marco - 2013

The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is...

Persistent link: https://www.econbiz.de/10013074011

A time varying DSGE model with financial frictions

Galvão, Ana Beatriz C.; Giraitis, Liudas; Kapetanios, … - 2015

macroeconomy to financial friction shocks. Using US data, we find that the transmission of the financial friction shock to economic … variables, such as output growth, has not changed in the last 30 years. The volatility of the financial friction shock, however …, has changed, so that output responses to a one-standard deviation shock increase twofold in the 2007-2011 period in …

Persistent link: https://www.econbiz.de/10011405255

How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models

Andreasen, Martin M. - 2011

This paper studies how non-Gaussian shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the work by Schmitt-Grohe and Uribe to third order, we derive propositions for how rare disasters, stochastic volatility, and GARCH affect any risk premia...

Persistent link: https://www.econbiz.de/10013128443

Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892