Narrow search
Showing 1 - 10 of 272,648
Cover Image
Generalized exogenous processes in DSGE : a Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2018 - This version: September 24, 2018
processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically … the unknown ARMA orders and their associated parameter spaces of varying dimensions. In estimating the technology process … models. Sampling from noninvertibleMA representations, a negative response of hours to a positive technology shock is …
Persistent link: https://www.econbiz.de/10011901706
Cover Image
News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models
Avdjiev, Stefan - 2014
The existing literature on estimated structural News Driven Business Cycle (NDBC) models has focused almost exclusively on macroeconomic data and has largely ignored asset prices. In this paper, we present evidence that including data on asset prices in the estimation of a structural NDBC model...
Persistent link: https://www.econbiz.de/10013067113
Cover Image
State-dependent monetary policy regimes
Zakipour-Saber, Shayan - 2019
deviations of inflation or output from their respective targets or a monetary policy shock. The main contribution of this paper …
Persistent link: https://www.econbiz.de/10011975606
Cover Image
Solution-Driven Specification of DSGE Models
Blasques, Francisco - 2013
theory. A prototypical application reveals the importance of this method in improving the specification of functional … nonlinearities that are consistent with economic theory. The solution-driven specification is also shown to have the potential to …
Persistent link: https://www.econbiz.de/10013082985
Cover Image
BEMGIE : Belgian Economy in a Macro General and International Equilibrium model
De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar; … - 2023
This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...
Persistent link: https://www.econbiz.de/10014233574
Cover Image
Are asset price data informative about news shocks? : a DSGE perspective
Iskrev, Nikolay - 2018
Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...
Persistent link: https://www.econbiz.de/10011864177
Cover Image
Bayesian modelling of VAR precision matrices using stochastic block networks
Huber, Florian; Koop, Gary; Marcellino, Massimiliano; … - 2024
Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done but, in the vast majority of cases, without considering the network structure of the shocks and by placing the prior...
Persistent link: https://www.econbiz.de/10015395756
Cover Image
Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015
method to jointly sample from an ARMA process of unknown order along with the associated parameters. We apply the method to … hours to a positive technology shock is within the posterior credible set when noninvertible MA representations are admitted. …
Persistent link: https://www.econbiz.de/10011335461
Cover Image
Generalized Exogenous Processes in DSGE: A Bayesian Approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
method to jointly sample from an ARMA process of unknown order along with the associated parameters. We apply the method to … hours to a positive technology shock is within the posterior credible set when noninvertible MA representations are admitted. …
Persistent link: https://www.econbiz.de/10011207678
Cover Image
Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2018
processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically … the unknown ARMA orders and their associated parameter spaces of varying dimensions. In estimating the technology process … models. Sampling from noninvertibleMA representations, a negative response of hours to a positive technology shock is …
Persistent link: https://www.econbiz.de/10011902326