Narrow search
Showing 1 - 10 of 76
Cover Image
Evaluating An Estimated New Keynesian Small Open Economy Model
Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - C.E.P.R. Discussion Papers - 2007
This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for...
Persistent link: https://www.econbiz.de/10005661438
Cover Image
Testing a DSGE Model of the EU Using Indirect Inference
Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2008
VAR auxiliary equation describing their data; the test is based on the Wald statistic. We find that their model generates …
Persistent link: https://www.econbiz.de/10005791817
Cover Image
Fiscal Volatility Shocks and Economic Activity
Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2011
We study the effects of changes in uncertainty about future fiscal policy on aggregate economic activity. Fiscal deficits and public debt have risen sharply in the wake of the financial crisis. While these developments make fiscal consolidation inevitable, there is considerable uncertainty about...
Persistent link: https://www.econbiz.de/10009246602
Cover Image
Reading the Recent Monetary History of the U.S., 1959-2007
Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2010
In this paper we report the results of the estimation of a rich dynamic stochastic general equilibrium (DSGE) model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. We use the results of this estimation to examine the recent monetary history of the...
Persistent link: https://www.econbiz.de/10008468509
Cover Image
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2010
This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. In particular, we focus on situations where many weak instruments exist and/or the factor structure is weak. Theoretical results, simulation experiments and...
Persistent link: https://www.econbiz.de/10008468588
Cover Image
The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
Fernández-Villaverde, Jesús; Koijen, Ralph; … - C.E.P.R. Discussion Papers - 2010
We solve a dynamic stochastic general equilibrium (DSGE) model in which the representative household has Epstein and Zin recursive preferences. The parameters governing preferences and technology are estimated by means of maximum likelihood using macroeconomic data and asset prices, with a...
Persistent link: https://www.econbiz.de/10008468700
Cover Image
Frequentist Inference in Weakly Identified DSGE Models
Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2009
We show that in weakly identified models (1) the posterior mode will not be a consistent estimator of the true parameter vector, (2) the posterior distribution will not be Gaussian even asymptotically, and (3) Bayesian credible sets and frequentist confidence sets will not coincide...
Persistent link: https://www.econbiz.de/10008528534
Cover Image
Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data
Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2010
This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the time-varying volatility of U.S. aggregate data. Of special interest to us is understanding the sources of the great moderation of business cycle fluctuations that the U.S. economy...
Persistent link: https://www.econbiz.de/10008530358
Cover Image
The Econometrics of DSGE Models
Fernández-Villaverde, Jesús - C.E.P.R. Discussion Papers - 2009
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...
Persistent link: https://www.econbiz.de/10005123868
Cover Image
On the Fit and Forecasting Performance of New Keynesian Models
Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - C.E.P.R. Discussion Papers - 2005
the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions … the resulting specification (DSGE-VAR) changes as a function of delta. Furthermore, we learn about the precise nature of …-fitting DSGE-VAR. We find that the degree of misspecification in large-scale DSGE models is no longer so large to prevent their use …
Persistent link: https://www.econbiz.de/10005124071