Search Results - subject_exact:"DSGE model"

The effects of oil revenue allocation between accumulation and current use on macroeconomic responses to external and internal shocks in a small oil-exporting economy

Mukhamediyev, Bulat; Khitakhunov, Azimzhan; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620185

Impact of capping emissions on macroeconomic volatility : the case of Saudi Arabia

Galeottib, Marzio; Manzanoc, Baltasar; Pierru, Axel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637816

A Bayesian estimation of monetary policy effects on macroeconomic dynamics in Sierra Leone : a new Keynesian DSGE approach

Daboh, Foday; Jackson, E. A.; Tamuke, Edmund - 2025

This paper conducts a Bayesian assessment of a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model in the context of Sierra Leone's economy by utilising quarterly data from 2011 to 2022. It examines how monetary policy, demand shocks, and cost-push shocks affect selected...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605324

Macroeconomic effects of economic policies during the COVID-19 pandemic

Yasuoka, Masaya; Hasegawa, Ryoji - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015123157

Germany’s Swift Package of Business Tax Breaks Aimed at Stimulating Investment

Funke, Michael; Terasa, Raphael - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615980

Monetary and fiscal implications of commodity price shocks for commodityexporting small open economies

Naraidoo, Ruthira - 2026

Commodity-exporting economies, such as South Africa, are susceptible to wide fluctuations in their business cycles, closely tied to commodity price fluctuations. In this research, we develop a prototype dynamic stochastic general equilibrium (DSGE) model with specific features for emerging small...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614249

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Monetary and fiscal implications of commodity price shocks for commodityexporting small open economies

Naraidoo, Ruthira - 2026

Book / Working Paper

KOOMA : a DSGE model of the Finnish economy

Koponen, Kristine; Niemeläinen, Julia; Elmgren, Peter; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616841

Informal labor market, inflation and monetary policy

Piscopo, Aniello - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609214

Severe weather and financial (in)stability

Foroni, Claudia; Gelain, Paolo; Lorusso, Marco; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609530

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Severe weather and financial (in)stability

Foroni, Claudia; Gelain, Paolo; Lorusso, Marco; … - 2026

Book / Working Paper

Severe weather and financial (in)stability

Foroni, Claudia; Gelain, Paolo; Lorusso, Marco; … - 2026

Book / Working Paper

Monetary policy and the output gap in DSGE models for small open economies : insights from the Czech Republic

Šestořád, Tomáš; Vlček, Jan; Musil, Karel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610401

Securitization, bank regulation, and the macroeconomy

Luintel, Kul B.; Torres, José L. - 2026

We develop a general equilibrium framework in which a commercial banker, constrained by capital adequacy requirements, creates a special purpose vehicle (SPV) to hold securitized assets off its balance sheet. By operating the bank and SPV as separate entities, the banker circumvents regulation,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612431

Regime shifts in U.S. trend inflation : pre-Volcker to post-great moderation

Hu, Ruopu; Maith, Junior; Nishiyama, Shin-Ichi - 2026 - This version: March 6, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615812

Exogenous fluctuations : DSGE models

Nicoletti, Giulio; Pensieroso, Luca - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015597400

Germany's swift package of business tax breaks aimed at stimulating investment

Funke, Michael; Terasa, Raphael - 2026

Germany has introduced a comprehensive package of staggered business tax breaks to accelerate business investment and give new momentum to economic growth. The key components of the so-called investment booster program are a temporary tax write-off on machinery and other equipment investments to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015586899

Markov-switching DSGE modeling in RISE

Maih, Junior; Hashimzade, Nigar; Kirsanov, Oleg; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604809

Macroeconomic effects of carbon-intensive energy price changes : a model comparison

Burgert, Matthias; Darracq Pariès, Matthieu; Durand, Luigi - 2026

This paper presents a novel model comparison to examine the challenges posed by changes in carbon-intensive energy prices for monetary policy. The employed environmental monetary models have a detailed multi-sector structure. The comparison assesses the effects of both a temporary and a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606830

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Macroeconomic effects of carbon-intensive energy price changes : a model comparison

Burgert, Matthias; Darracq Pariès, Matthieu; Durand, Luigi - 2025

Book / Working Paper

Macroeconomic effects of carbon-intensive energy price changes : a model comparison

Burgert, Matthias; Darracq Pariès, Matthieu; Durand, Luigi - 2025

Book / Working Paper

European temporary migration in a two country DSGE model

Budnik, Katarzyna - 2026

Free movement of labour across borders can influence business cycle dynamics in the affected countries. This paper studies the macroeconomic implications of temporary migration using a two-country dynamic stochastic general equilibrium model calibrated to represent the "old" EU Member States...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641348

Reserve requirement ratio and capital flows : a regime-switching DSGE estimation for China

Hu, Ruopu - 2026 - This version: March 31, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647392

Sequential solution for DSGE models with deep neural networks

Ferrari, Massimo Minesso; Frenzel, Carla - 2026

This paper develops a sequential deep learning algorithm for solving dynamic stochastic general equilibrium (DSGE) models. The algorithm trains a deep neural network to approximate the model's policy functions across four progressive phases: steady-state anchoring, exploration around the steady...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650845

An energy New Keynesian DSGE model for South Africa

Cassiem, Abdul; Liu, Guangling - 2026

This paper develops an energy New Keynesian dynamic stochastic general equilibrium model to study the impact of climate change on the South African economy. The model incorporates an energy producer within a standard sticky-price framework and links environmental damages to macroeconomic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651827

Foreign exchange intervention and financial stability

Agénor, Pierre-Richard; Jackson, Timothy P.; Silva, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574482

The models and analysis behind the Bank of Finland's forecasts for the Finnish economy

Sariola, Mikko; Viertola, Hannu - 2026

The Bank of Finland produces forecasts for the Finnish economy using advanced modelling tools. Central to this process is its Aino model, which is a dynamic stochastic general equilibrium (DSGE) model that integrates various aspects of the Finnish economy. The forecasts support policy decisions...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666638

Estimation of DSGE models by non-Gaussian vector autoregressions

Martinoli, Mario; Di Francesco, Damiano; Moneta, Alessio; … - 2026

We propose a new impulse response matching procedure for estimating the parameters of dynamic stochastic general equilibrium models from observed macroeconomic time series. The estimator is based on an indirect inference framework in which the auxiliary model is a structural vector...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667205

Forbearance vs foreclosure in a general equilibrium model

Barbaro, Bianca; Tirelli, Patrizio - 2021

We build a business cycle model characterized by endogenous firms dynamics, where banks may prefer debt renegotiation, i.e. non-performing exposures, to outright borrowers default. We find that debt renegotiations only do not have adverse effects in the event of financial crisis episodes, but a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012488660

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Forbearance vs Foreclosure in a General Equilibrium Model

Barbaro, Bianca; Tirelli, Patrizio - 2023

Book / Working Paper

A Bayesian DSGE approach to modelling cryptocurrency

Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014472446

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A Bayesian DSGE approach to modelling cryptocurrency

Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, … - 2023

Book / Working Paper

Should the loss-aversion behavior be significant for central bankers evidence from behavioral economics

Erfani, Alireza; Talebbeydokhti, Azadeh - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015400824

Fiscal and macroprudential policies during an energy crisis

Priftis, Romanos; Schoenle, Raphael - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432183

The Impact of Shadow Banking on the Transmission of Monetary Policy in Iran: A DSGE Model Approach

Zarei, Mehran; Esfandiari, Marziyeh; Mirjalili, Seyed … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015484210

FX interventions as a form of unconventional monetary policy

Cwik, Tobias; Winter, Christoph - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564483

A Bayesian estimation of monetary policy effects on macroeconomic dynamics in Sierra Leone: A new Keynesian DSGE approach

Daboh, Foday; Abraham Jackson, Emerson; Tamuke, Edmund - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605039

Iterative refinement of the QZ decomposition for solving linear DSGE models

Huber, Johannes; Meyer-Gohde, Alexander - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015466989

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Iterative refinement of the QZ decomposition for solving linear DSGE models

Huber, Johannes; Meyer-Gohde, Alexander - 2025

Book / Working Paper

Monetary policy shocks and narrative restrictions : rules matter

Castelnuovo, Efrem; Pellegrino, Giovanni; Særkjær, … - 2025

Imposing restrictions on policy rule coefficients in vector autoregressive (VAR) models enhances the identification of monetary policy shocks obtained with sign and narrative restrictions. Monte Carlo simulations and empirical analyses for the United States and the Euro area support this result....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015548854

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Monetary policy shocks and narrative restrictions : rules matter

Castelnuovo, Efrem; Pellegrino, Giovanni; Særkjær, … - 2025

Book / Working Paper

Frequency and severity of current account reversals : an analysis with a rational expectations regime switching DSGE model

Hamano, Masashige; Murakami, Yuki - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015323637

Default risk, risk premium, and corporate resilience : the role of regulatory and stabilization policies

Firano, Zakaria; Karaouch, Doha - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324374

How does news-driven monetary policy frictions affect nonperforming loans? : taking Chinese commercial banks as an example

Zhang, Heng-Guo; Wang, Shihong; Xie, Yuchi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371997

Fat-tailed DSGE models : a survey and new results

Dave, Chetan; Sorge, Marco M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372567

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Fat tailed DSGE models : a survey and new results

Dave, Chetan; Sorge, Marco M. - 2023

Book / Working Paper

Monetary and fiscal policies in Brazil and the behavioral approach

Freitas, Raphael José Pereira - 2025

Purpose This study aims to elucidate the dynamics of monetary and fiscal policy interactions in Brazil, focusing on the impacts of positive shocks in government consumption and interest rates. By comparing rational and behavioral agent responses, it clarifies how these frameworks influence gross...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372631

Complementarities between capital buffers and dividend prudential target

Di Virgilio, Domenica; Duarte, Maia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372876

Trend Inflation in the Japanese pre-2000s : a Markov-Switching DSGE

Kato, Ryo; Maih, Junior; Nishihama, Shin-Ichi - 2025

In Japan, the inflation rate declined to near-zero, whereas the monetary policy faced a zero lower bound (ZLB) in the 1990s. We examine whether trend inflation had fallen to near-zero prior to the ZLB. To achieve this, we estimate Japanese pre-2000 trend inflation developing a Markov-switching...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333298

Flow-specific capital controls for China

Garcia-Barragan, Fernando; Kiu, Guangling - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333588

Essays on dynamic macroeconomics : from structural parameter estimation to the evaluation of central bank policies

Castellanos Silván, Juan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334636

Can Modern Monetary Theory fit the post-Crisis US facts? : evidence from a full DSGE model

Liu, Chunping; Minford, Patrick; Ou, Zhirong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338034

Fiscal and macroprudential policies during an energy crisis

Priftis, Romanos; Schoenle, Raphael - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015583428

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Fiscal and macroprudential policies during an energy crisis

Priftis, Romanos; Schoenle, Raphael - 2025

Book / Working Paper

Differentiable, filter free Bayesian estimation of DSGE models using mixture density networks

Naubert, Christopher - 2025 - Last updated: January 16, 2025

I develop a methodology for Bayesian estimation of globally solved, non-linear macroeconomic models. A novel feature of my method is the use of a mixture density network to approximate the distribution of initial states. I use the methodology to estimate a medium-scale, two-agent New Keynesian...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015187509

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2025

We develop a new model of cycles and crises in emerging markets, featuring an occasionally binding borrowing constraint and stochastic volatility, and estimate it with quarterly data for Mexico since 1981. We propose an endogenous regime‐switching formulation of the occasionally binding...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190160

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Estimating macroeconomic models of financial crises: an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

Book / Working Paper

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

Book / Working Paper

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

Book / Working Paper

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

Book / Working Paper

Estimating Macroeconomic Models of Financial Crises : An Endogenous Regime-Switching Approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2022

Book / Working Paper

Estimating Macroeconomic Models of Financial Crises : An Endogenous Regime Switching Approach

Benigno, Gianluca - 2020

Book / Working Paper

Estimating Macroeconomic Models of Financial Crises : An Endogenous Regime-Switching Approach

Benigno, Gianluca - 2020

Book / Working Paper

Beyond one-size-fits-all : designing monetary policy for diverse models and frequencies

Dück, Alexander; Verona, Fabio - 2025

We offer a contribution to the analysis of optimal monetary policy. The standard approach to determine what policy rule a central bank should follow is to take a single structural model and minimize the unconditional volatilities of inflation and real activity. In this paper, we propose monetary...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015181886

Is there PPP in the data? : new evidence from a structural DSGE model

Minford, Patrick; Ou, Zhirong; Zhu, Zheyi - 2025

There has been a long-running debate in international macroeconomics about whether there is purchasing power parity (PPP) in the data. But while the literature has been dominated by reduced-form evidence focusing on the real exchange rate dynamics including its long-run behaviour, little...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329671

The drivers of inflation in Korea : insights from a small open DSGE model

Kim, Kyunghun - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418135

The natural rate of interest and convergence

Ertl, Martin; Rabitsch, Katrin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418793

Time-varying inflation target and unbiased Taylor rule estimation

Brault, Joshua; Haque, Qazi; Phaneuf, Louis - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420431