Download or read book Policy Analysis Using DSGE Models written by Argia M. Sbordone and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many central banks have come to rely on dynamic stochastic general equilibrium, or DSGE, models to inform their economic outlook and to help formulate their policy strategies. But while their use is familiar to policymakers and academics, these models are typically not well known outside these circles. This article introduces the basic structure, logic, and application of the DSGE framework to a broader public by providing an example of its use in monetary policy analysis. The authors present and estimate a simple New Keynesian DSGE model, highlighting the core features that this basic specification shares with more elaborate versions. They then apply the estimated model to study the sources of the sudden increase in inflation that occurred in the first half of 2004. One important lesson derived from this exercise is that the management of expectations can be a more effective tool for stabilizing inflation than actual movements in the policy rate. This result is consistent with the increasing focus on the pronouncements of central bankers regarding their future actions.
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 Monetary Policy Analysis with Potentially Misspecified Models written by Marco Del Negro and published by . This book was released on 2014 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along the lines of Christiano, Eichenbaum, and Evans (JPE2005) and Smets and Wouters (JEEA2003). We first quantify the degree of model misspecification and then illustrate its implications for the performance of different interest-rate feedback rules. We find that many of the prescriptions derived from the DSGE model are robust to model misspecification.
Download or read book DSGE Models in Macroeconomics written by Nathan Balke and published by Emerald Group Publishing. This book was released on 2012-11-29 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy
Download or read book Handbook of Monetary Economics written by Benjamin M. Friedman and published by . This book was released on 1990 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Practical Tools for Policy Analysis in DSGE Models with Missing Channels written by Dario Caldara and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book DSGE models for monetary policy analysis written by Lawrence J. Christiano and published by . This book was released on 2010 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary DSGE models are widely used because they fit the data well and they can be used to address important monetary policy questions. We provide a selective review of these developments. Policy analysis with DSGE models requires using data to assign numerical values to model parameters. The chapter describes and implements Bayesian moment matching and impulse response matching procedures for this purpose.
Download or read book Monetary Policy Analysis with Potentially Misspecified Models written by Marco Del Negro and published by . This book was released on 2007 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores policy analysis approaches that are either based on a generalized shock structure for the DSGE model or the explicit modelling of deviations from cross-equation restrictions. Using post-1982 U.S. data we first quantify the degree of misspecification in a state-of-the-art DSGE model and then document the performance of different interest-rate feedback rules. We find that many of the policy prescriptions derived from the benchmark DSGE model are robust to the various treatments of misspecifications considered in this paper, but that quantitatively the cost of deviating from such prescriptions varies substantially.
Download or read book Financial Crises in DSGE Models written by Mr.Jaromir Benes and published by International Monetary Fund. This book was released on 2014-04-04 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of financial cycles. A companion paper studies the simulation properties of MAPMOD.
Download or read book DSGE Models for Monetary Policy Analysis written by Lawrence J. Christiano and published by . This book was released on 2014 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary DSGE models are widely used because they fit the data well and can be used to address important monetary policy questions. We provide a selective review of these developments. Policy analysis with DSGE models requires using data to assign numerical values to model parameters. The paper describes and implements Bayesian moment matching and impulse response matching procedures for this purpose.
Download or read book Monetary and Fiscal Policy through a DSGE Lens written by Harold L. Cole and published by Oxford University Press. This book was released on 2020-02-24 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Monetary and Fiscal Policy Through a DSGE Lens, Harold L. Cole develops and extends versions of a classic quantitative model of economic growth to take on a wide range of topics in monetary and fiscal policy. Bridging the gap between current undergraduate and graduate texts in the field, this comprehensive book covers the basic elements of advanced macroeconomics and equips readers to understand the debate on key policy questions. By using the simple DSGE, or dynamic stochastic general equilibrium, framework to build a series of quantitative models, the book combines a gradual introduction to advanced analytic methods with computer programming and quantitative policy analysis. In a clear discussion of the sophisticated interaction between theory and data, Cole explains how to gauge how well a model captures key elements in the data and how to reverse engineer a model to data. The book covers costs of inflation, optimal monetary policy, the impact of labor and capital taxes, and optimal fiscal policy. It systematically discusses technical material including the new Keynesian liquidity shock models, standard analytic methods, such as Lagrangian methods, and computational methods using Matlab and Python. With a strong computational emphasis, the volume teaches how to program up and solve systems of non-linear equations and develop models to study the macroeconomy. Knowing how to deeply understand and analyze models and develop computational code to evaluate the implications of those models is essential for students of macroeconomics. This book connects the standard undergraduate material to the elaborate models of advanced graduate courses with systematic and logical coverage of the basics of advanced modern macroeconomics.
Download or read book An Estimated DSGE Model for Integrated Policy Analysis written by Kaili Chen and published by International Monetary Fund. This book was released on 2023-06-30 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a New Keynesian small open economy model which allows for foreign exchange (FX) market frictions and a potential role for FX interventions for a large set of emerging market economies (EMEs) and some inflation targeting (IT) advanced economy (AE) countries serving as a control group. Next, we use the estimated model to examine the empirical support for the view that interest rate policy may not be sufficient to stabilize output and inflation following capital outflow shocks, and the extent to which FX interventions (FXI) can improve policy tradeoffs. Our results reveal significant structural differences between AEs and EMEs—in particular FX market depth—leading to different transmission of capital outflow shocks which justifies occasional use of FXI in some EMEs in certain situations. Our analysis also highlights the critical importance of accounting for the endogeneity of FXI behavior when assessing FX market depth and policy tradeoffs associated with volatile capital flows in past episodes.
Download or read book An Estimated DSGE Model for Monetary Policy Analysis in Low Income Countries written by Shanaka J. Peiris and published by International Monetary Fund. This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates monetary policy-tradeoffs in low-income countries using a dynamic stochastic general equilibrium (DSGE) model estimated on data for Mozambique taking into account the sources of major exogenous shocks, and level of financial development. To our knowledge this is a first attempt at estimating a DSGE model for Sub-Saharan Africa excluding South Africa. Our simulations suggests that a exchange rate peg is significantly less successful than inflation targeting at stabilizing the real economy due to higher interest rate volatility, as in the literature for industrial countries and emerging markets.
Download or read book Assessing Dsge Models with Capital Accumulation and Indeterminacy written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2012-03-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.
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 296 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 Understanding DSGE Filters in Forecasting and Policy Analysis written by Michal Andrle and published by International Monetary Fund. This book was released on 2013-05-08 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, a decomposition of the flexible-price output gap, or a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution is feasible. The intuitive nature and analytical clarity of the suggested procedures are appealing for policy-related and forecasting models.
Download or read book DSGE Models and Central Banks written by Camilo Ernesto Tovar Mora and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and forecasting. This paper reviews some issues and challenges surrounding the use of these models at central banks. It recognises that they offer coherent frameworks for structuring policy discussions. Nonetheless, they are not ready to accomplish all that is being asked of them. First, they still need to incorporate relevant transmission mechanisms or sectors of the economy; second, issues remain on how to empirically validate them; and finally, challenges remain on how to effectively communicate their features and implications to policy makers and to the public. Overall, at their current stage DSGE models have important limitations. How much of a problem this is will depend on their specific use at central banks.
