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Book Solving and Estimating Indeterminate DSGE Models

Download or read book Solving and Estimating Indeterminate DSGE Models written by Mr.Roger Farmer and published by International Monetary Fund. This book was released on 2013-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.

Book Solving and Estimating Indeterminate DSGE Models

Download or read book Solving and Estimating Indeterminate DSGE Models written by Roger E. A. Farmer and published by . This book was released on 2013 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.

Book Solving and Estimating Indeterminate DSGE Models

Download or read book Solving and Estimating Indeterminate DSGE Models written by Mr.Roger Farmer and published by International Monetary Fund. This book was released on 2013-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.

Book DSGE Models in Macroeconomics

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

Book The Price Puzzle and Indeterminacy in an Estimated DSGE Model

Download or read book The Price Puzzle and Indeterminacy in an Estimated DSGE Model written by Anatoliy Belaygorod and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend Lubik and Schorfheide's (2004) likelihood-based estimation of dynamic stochastic general equilibrium (DSGE) models under indeterminacy to encompass a sample period including both determinacy and indeterminacy by implementing the change-point methodology (Chib, 1998). The most striking finding about the indeterminacy regime, which is estimated to coincide with the Great Inflation of the 1970s, is that it exhibits the price puzzle, in that the inflation rate rises immediately and in a sustained manner following a positive interest rate shock. Thus, the price puzzle might have been a genuine phenomenon under indeterminacy, rather than a false finding to be excised through specification search and parameter restrictions.

Book Estimating a Small DSGE Model Under Rational and Measured Expectations

Download or read book Estimating a Small DSGE Model Under Rational and Measured Expectations written by and published by . This book was released on 2007 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Solution and Estimation Methods for DSGE Models

Download or read book Solution and Estimation Methods for DSGE Models written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Estimation of DSGE models when the data are persistent

Download or read book Estimation of DSGE models when the data are persistent written by Yuriy Gorodnichenko and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Stochastic General Equilibrium (DSGE) models are often solved and estimated under specific assumptions as to whether the exogenous variables are difference or trend stationary. However, even mild departures of the data generating process from these assumptions can severely bias the estimates of the model parameters. This paper proposes new estimators that do not require researchers to take a stand on whether shocks have permanent or transitory effects. These procedures have two key features. First, the same filter is applied to both the data and the model variables. Second, the filtered variables are stationary when evaluated at the true parameter vector. The estimators are approximately normally distributed not only when the shocks are mildly persistent, but also when they have near or exact unit roots. Simulations show that these robust estimators perform well especially when the shocks are highly persistent yet stationary. In such cases, linear detrending and first differencing are shown to yield biased or imprecise estimates.

Book Indeterminacy and Fundamental Reduced Form Representations of DSGE Models

Download or read book Indeterminacy and Fundamental Reduced Form Representations of DSGE Models written by Marco Maria Sorge and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic stochastic general equilibrium (DSGE) models are known to exhibit indeterminacy--that is, equilibrium nonuniqueness--under realistic parameterizations. This paper studies how the potential for indeterminacy impacts on the possibility of recovering a DSGE model's structural shocks via empirical vector autoregressions (VARs), which in turn requires the model's reduced form representation to be fundamental. By means of a simple example, we first establish that indeterminacy is neither necessary nor sufficient for (non)fundamental representations to arise. We then investigate the relationship between indeterminacy and nonfundamentalness in the context of a general class of linearized DSGE models, which nests the New Keynesian framework as a special case. It is shown that an indeterminate equilibrium model may generically admit a fundamental moving average representation, even when its determinate counterpart always involves nonfundamentalness. As a main implication, checking for existence of a VAR representation of a DSGE model's equilibria cannot be regarded as an indirect test for the indeterminacy hypothesis.

Book Assessing DSGE Models with Indeterminacy  Capital Accumulation and Different Taylor Rules

Download or read book Assessing DSGE Models with Indeterminacy Capital Accumulation and Different Taylor Rules written by Vadim Khramov and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies New Keynesian DSGE models with capital accumulation, different Taylor rules, and the potential for indeterminacy. It is shown that investment activity creates additional channels for monetary policy influence, which allow for the reconsideration of some of the key findings of previous papers. First, while most canonical Keynesian models fail to replicate the high levels of autocorrelation among primary economic variables, the simulated results of this paper show that models with capital accumulation can, in fact, generate substantial persistencies. Secondly, using a Bayesian approach, this paper estimates different modifications of the models with capital accumulation on U.S. data from 1960:I to 2008:I. The results of this paper differ from the findings of earlier papers. In contrast to Lubik and Schorfheide (2004) and Clarida, Gali and Gertler (2000), this paper finds that the response of monetary policy to inflation is substantially lower, the response of the monetary policy rule to output is higher, household's risk aversion increased substantially over time, and the targeted inflation rate was substantially lower for the post-1982 period. Finally, a Bayesian comparison of the models declared that models with indeterminacy dominate determinate models for various periods of U.S. history.

Book A Framework for Solving Non Linear DSGE Models

Download or read book A Framework for Solving Non Linear DSGE Models written by Ricardo Masini and published by . This book was released on 2019 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a framework to solve non-linear DSGE models combining approximation and estimation techniques. Instead of relying on a fixed grid, we use Monte Carlo methods to draw samples from the state space, which are used to estimate an approximation for the value or policy functions of interest. By using estimators from high-dimensional statistics we can attenuate the curse of dimensionality while maintaining flexibility, theoretical guarantees for convergence and upper bound for the errors. In particular, we propose two different methods: a regularized projection and a support vector machine algorithm. To illustrate these solution procedures, we apply the first algorithm to solve a standard growth model, which has a known linear solution, and show that it achieves good accuracy, correctly shrinking the coefficients of a polynomial basis. Moreover, we use the support vector machine algorithm to solve a New Keynesian model with a Zero Lower Bound (ZLB) and compare our results with the ones from the Smolyak Method, which is widely used in the literature. We show that the latter overestimate the impact of the ZLB in the economy, achieving a lower accuracy than the one from our solution.

Book Estimation and Evaluation of DSGE Models

Download or read book Estimation and Evaluation of DSGE Models written by Frank Schorfheide and published by . This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future research

Book Solving DSGE Models   When Local Approximations Fail

Download or read book Solving DSGE Models When Local Approximations Fail written by Nikolai Gräber and published by . This book was released on 2019 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the effect of persistent growth risks on the solution accuracy of dynamic stochastic general equilibrium models. We compare the reliability of perturbation and projection based solution methods for various model economies. We find that a perturbation based solution method does not suffice whenever the economy is exposed to risks with long-lasting effects. Besides slightly misstating macroeconomic moments the perturbation based solution strongly understates the mean risk-free rate and the wealth-consumption ratio. Further, we identify parameters driving the approximation error and compare different degrees of approximation. We show that projection methods do a better job at approximating asset pricing and welfare quantities than perturbation methods even for low order polynomials.

Book The Econometrics of DSGE Models

Download or read book The Econometrics of DSGE Models written by Jesús Fernández-Villaverde and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has decided to estimate these models using Bayesian methods. Third, I briefly introduce some of the techniques required to compute and estimate these models. Fourth, I illustrate the techniques under consideration by estimating a benchmark DSGE model with real and nominal rigidities. I conclude by offering some pointers for future research.

Book Evaluating and Estimating a DSGE Model for the United Kingdom

Download or read book Evaluating and Estimating a DSGE Model for the United Kingdom written by Richard Harrison and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Estimating Nonlinear DSGE Models by the Simulated Method of Moments

Download or read book Estimating Nonlinear DSGE Models by the Simulated Method of Moments written by Francisco J. Ruge-Murcia and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: