Download or read book On the Estimation and Incorporation of Policy Uncertainty in a New Keynesian Dynamic Stochastic General Equilibrium Model written by and published by . This book was released on 2016 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Putting the New Keynesian Model to a Test written by Roland Straub and published by International Monetary Fund. This book was released on 2006-05 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, New Keynesian dynamic stochastic general equilibrium (NK DSGE) models have become increasingly popular in the academic literature and in policy analysis. However, the success of these models in reproducing the dynamic behavior of an economy following structural shocks is still disputed. This paper attempts to shed light on this issue. We use a VAR with sign restrictions that are robust to model and parameter uncertainty to estimate the effects of monetary policy, preference, government spending, investment, price markup, technology, and labor supply shocks on macroeconomic variables in the United States and the euro area. In contrast to the NK DSGE models, the empirical results indicate that technology shocks have a positive effect on hours worked, and investment and preference shocks have a positive impact on consumption and investment, respectively. While the former is in line with the predictions of Real Business Cycle models, the latter indicates the relevance of accelerator effects, as described by earlier Keynesian models. We also show that NK DSGE models might overemphasize the contribution of cost-push shocks to business cycle fluctuations while, at the same time, underestimating the importance of other shocks such as changes to technology and investment adjustment costs.

Download or read book An Estimated New Keynesian Dynamic Stochastic General Equilibrium Model of the Euro Area written by Marco Ratto and published by . This book was released on 2005 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Maximum Likelihood Estimations of Dynamic Stochastic General Equilibrium Models written by Gulnur Kozak and published by . This book was released on 2008 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on maximum likelihood estimation of Dynamic Stochastic General Equilibrium (DSGE) models. The first essay focuses on a monetary DSGE model of term structure, while the second essay explores and compares three different versions of New Keynesian DSGE models. In Chapter 1, a general background is given for the DSGE models, and their estimation techniques along with a review of the term structure models and New Keynesian models. The first essay, which is a joint work with Hwagyun Kim, empirically evaluates the relationships between money, inflation, output growth, and the interest rates of different maturities using a monetary DSGE model of term structure, featuring inflation targeting behavior, asset market segmentation, and external habit extended for nominal economy. This model can generate liquidity effect, average upward sloping yield curve, and time-varying bond risk premia for bearing inflation and real shocks. By exploiting the term structure equations derived from the model, the deep parameters of the model describing risk preference, inflation targeting behavior, and market segmentation between bond traders and non-traders are estimated. The model is estimated under alternative specifications: latent factors; macroeconomic factors; and both latent and macroeconomic factors. The empirical findings show that all the methods give consistent estimates of the parameters, and conclude that asset market segmentation, inflation targeting, and time-varying risk aversion are significant to account for the term structure dynamics. They also suggest that monetary factors and monetary policy are important to understand both short-run and long-run behaviors of bond prices. In the second essay, three different versions of New Keynesian DSGE models are developed, and their structural parameters are estimated by maximum likelihood estimation. Specifically, the role of velocity of money on the dynamics of real variables is empirically examined by constructing a money in the utility model and two special cases of transactions cost model. Wealth effects, previously ignored in many transactions cost models, are taken into consideration in one of the cases examined here, and comparisons are made between the transactions cost model that includes the wealth effects and the transactions cost model that ignores the wealth effects entirely. The equivalence of money in the utility model and transactions cost model with wealth effects is also quantitatively examined. The results show that there is no evidence of quantitative equivalence between these two models. Although the magnitude of impulse responses are different among the models studied here, all three models give consistent estimates for the structural parameters. The empirical findings from the maximum likelihood estimates of all three models' parameters also suggest that the velocity of money is a very important part of the IS and Phillips curves of all three models developed here, and should be included in IS and Phillips curves when examining the inflation and output dynamics.

Download or read book Optimal Monetary Policy Under Uncertainty in DSGE Models written by Lars E. O. Svensson and published by . This book was released on 2008 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the design of optimal monetary policy under uncertainty in a dynamic stochastic general equilibrium models. We use a Markov jump-linear-quadratic (MJLQ) approach to study policy design, approximating the uncertainty by different discrete modes in a Markov chain, and by taking mode-dependent linear-quadratic approximations of the underlying model. This allows us to apply a powerful methodology with convenient solution algorithms that we have developed. We apply our methods to a benchmark New Keynesian model, analyzing how policy is affected by uncertainty, and how learning and active experimentation affect policy and losses.

Download or read book Bayesian Estimation of DSGE Models written by Edward P. Herbst and published by Princeton University Press. This book was released on 2015-12-29 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.

Download or read book Methods to Estimate Dynamic Stochastic General Equilibrium Models written by Francisco Javier Ruge-Murcia and published by Montréal : Centre interuniversitaire de recherche en économie quantitative. This book was released on 2003 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Estimated New Keynesian Dynamic Stochastic General Equilibrium Model of the Euro Area written by and published by . This book was released on 2005 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Policy Interactions Uncertainty and Credit Cycles in Financial Dynamic Stochastic General Equilibrium Models written by Elchin Mustafayev and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Simulating a New Keynesian Dynamic Stochastic General Equilibrium Model written by Trey Sands and published by . This book was released on 2011 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Monetary Policy in an Estimated New Keynesian Model with Heterogeneous Sectors written by Yue Tan and published by . This book was released on 2017 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: I develop a multisector New Keynesian dynamic stochastic general equilibrium model incorporating heterogeneities in the sector size, price stickiness, price indexation, and the price markup. I estimate a 12-sector version with post-1984 U.S. data using Bayesian techniques. The estimates suggest that over the sample period the Federal Reserve (the Fed) did not respond to changes in the prices of gasoline and other energy goods or changes in the price of health care, yet responded relatively more aggressively to changes in the prices of housing and utilities. I obtain multiple welfare-maximizing monetary policy schemes via simulation. The optimal schemes suggest that the Fed should focus on the prices of housing and utilities as well as the prices of food and beverages when responding to inflation. However, the welfare gains are small, suggesting that the current inflation target adopted by the Fed is almost indistinguishable from the optimal one in terms of welfare. On the other hand, more aggressive targeting of the output gap can offer much larger welfare improvement.

Download or read book Money and Monetary Policy in Dynamic Stochastic General Equilibrium Models written by Arnab Bhattacharjee and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare two methods of motivating money in New Keynesian dynamic stochastic general equilibrium models - money-in-the-utility function and the cash-in-advance (CIA) constraint - as well as two ways of modeling monetary policy: the interest rate feedback rule and money growth rules. As an aid to model selection, we use a new econometric measure of the distance between model and data variance/covariance matrices. The proposed measure is useful in distinguishing between alternative general equilibrium models. Drawing on our econometric analysis, we argue that the CIA model, closed by a money growth rule, comes closest to the data.

Download or read book Evaluation and Indirect Inference Estimation of Inattentive Features in a New Keynesian Framework written by Jenyu Chou and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the standard New Keynesian (NK) Dynamic Stochastic General Equilibrium (DSGE) model under the condition with and without inattentive features, where inattentiveness is modelled in the form of sticky information and imperfect information data revision. All models are tested with the Indirect Inference method, and our test result based on real-time data suggests that the model with sticky information passes the test and consistently outperforms the baseline NK model with full information and rational expectation, while the model with imperfect information data revision fails to pass the test. Furthermore, we show that none of the models passes the test when Survey of Professional Forecaster data are used for model evaluation. Overall, our findings provide important implications on the modelling of expectation formation in the DSGE framework.

Download or read book Post Keynesian Dynamic Stochastic General Equilibrium Theory written by Roger E. A. Farmer and published by . This book was released on 2017 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains the connection between ideas developed in my recent books and papers and those of economists who self-identify as Post Keynesians. My own work is both neoclassical and "old Keynesian". Much of my published work assumes that people have rational expectations and that "animal spirits" should be modeled as a new fundamental. I adopt a general equilibrium framework to model the macroeconomy. But although I write from a neo-classical tradition the themes I explore in my published writing have much in common with heterodox economics. This paper explains the common elements between these seemingly disparate traditions. I make the case for unity between Post-Keynesian and General Equilibrium Theory under the banner of Post-Keynesian Dynamic Stochastic General Equilibrium Theory.

Download or read book Putting the New Keynesian DSGE model to the real time forecasting test written by Marcin Kolasa and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy Under Rule of Thumb Consumers and External Habits written by Giovanni Di Bartolomeo and published by . This book was released on 2006 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and estimates a simple New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model with rule-of-thumb consumers and external habits. Our theoretical model has a closed-form solution which allows the analytical derivation of its dynamical and stability properties. These properties are analyzed and discussed in the light of their implications for the efficacy and the calibration of the conduct of the monetary policy. The model is then evaluated empirically, employing numerical simulations based on Monte Carlo Bayesian estimates of the structural parameters and impulse response analyses based on weakly identified SVECMs. The estimates are repeated for each of the G7 national economies. Providing single country estimates and simulations, we derive some indications on the relative efficacy of monetary policy and of its potential asymmetric effects resulting from the heterogeneity of the estimated models.

Download or read book Nonlinear Dynamic Stochastic General Equilibrium Models written by and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: