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Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … BVARs and DSGE-VARs. Compared to the SPF, the DSGE model generates better output forecasts at longer horizons, but less …

Persistent link: https://www.econbiz.de/10011605156

Bank capital structure and the credit channel of central bank asset purchases

Darracq Pariès, Matthieu; Hałaj, Grzegorz; Kok, … - 2016

-section of individual bank portfolio decisions. For this purpose, an augmented version of the DSGE model of Gertler and Karadi … liquidity constraints as well as different credit and market risk characteristics. The deep parameters of the DSGE model which …

Persistent link: https://www.econbiz.de/10011605961

The optimal conduct of central bank asset purchases

Darracq Pariès, Matthieu; Kühl, Michael - 2016

We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the …

Persistent link: https://www.econbiz.de/10011606018

Temporary shocks and unavoidable transitions to a high-unemployment regime

Den Haan, Wouter J. - 2003

This paper develops a model with multiple steady states (low tax and unemployment rate versus high tax and unemployment rate) in which equilibrium selection is not conditioned on a sunspot variable. Instead, large enough shocks initiate unavoidable transitions from one regime to the other. The...

Persistent link: https://www.econbiz.de/10011604285

A theory of pruning

Lombardo, Giovanni; Uhlig, Harald - 2014

Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be attractive, but bear the danger of generating explosive solutions in originally stationary models. Kim-Kim-Schaumburg-Sims (2008) proposed pruning to deal with this challenge for...

Persistent link: https://www.econbiz.de/10011605741

Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Ha±aj, Grzegorz - 2023

Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...

Persistent link: https://www.econbiz.de/10014374594

A Theory of Pruning

Lombardo, Giovanni - 2014

Persistent link: https://www.econbiz.de/10013051660

Interbank Asset-Liability Networks with Fire Sale Management

Feinstein, Zachary; Halaj, Grzegorz - 2023

Interconnectedness is an inherent feature of the modern financial system. While it con-tributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks’ capitalization. This has recently been seen during...

Persistent link: https://www.econbiz.de/10014351223

Monetary policy and fears of financial instability

Brousseau, Vincent; Detken, Carsten - 2001

Exploiting a specific sunspot equilibrium in a standard forward-looking New Keynesian model, we present an example of a possible conflict between short-term price stability and financial stability. We find a conflict because the sunspot process consists of a self-fulfilling belief linking the...

Persistent link: https://www.econbiz.de/10011604135

A toolkit for computing Constrained Optimal Policy Projections (COPPs)

de Groot, Oliver; Mazelis, Falk; Motto, Roberto; … - 2021

This paper presents a toolkit1 for generating optimal policy projections. It makes five contributions. First, the toolkit requires a minimal set of inputs: only a baseline projection for target and instrument variables and impulse responses of those variables to policy shocks. Second, it solves...

Persistent link: https://www.econbiz.de/10012605251

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