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Estimating Dynamic Equilibrium Models with Stochastic Volatility

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2012

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to...

Persistent link: https://www.econbiz.de/10011252335

Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2010

performance of the U.S. economy during the 1990s was a result of good shocks; and 4) the response of monetary policy to inflation …

Persistent link: https://www.econbiz.de/10008627133

Fiscal Volatility Shocks and Economic Activity

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 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/10009251509

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2013

This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and...

Persistent link: https://www.econbiz.de/10010969411

Reading the Recent Monetary History of the U.S., 1959-2007

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2010

fall of the great American inflation from the late 1960s to the early 1980s and of the great moderation of business cycle … outcomes across these periods is attributed to the time-varying volatility of shocks. The history for inflation is more nuanced …, as a more vigorous stand against it would have reduced inflation in the 1970s, but not completely eliminated it. In …

Persistent link: https://www.econbiz.de/10008601690

Nonlinear Adventures at the Zero Lower Bound

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2012

Motivated by the recent experience of the U.S. and the Eurozone, we describe the quantitative properties of a New …

Persistent link: https://www.econbiz.de/10011271396

How Structural Are Structural Parameters?

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F - National Bureau of Economic Research (NBER) - 2007

households. Moreover, we show how the movements in the pricing parameters are correlated with inflation. Thus, our results cast …

Persistent link: https://www.econbiz.de/10005084900

Estimating Macroeconomic Models: A Likelihood Approach

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F - National Bureau of Economic Research (NBER) - 2006

This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those...

Persistent link: https://www.econbiz.de/10005725243