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On Approximating DSGE Models by Series Expansions
Lombardo, Giovanni - 2010
We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...
Persistent link: https://www.econbiz.de/10013136525
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Forecasting with DSGE Models
Christoffel, Kai Philipp - 2010
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus …
Persistent link: https://www.econbiz.de/10013144596
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Bayesian Prior Elicitation in DSGE Models : Macro- vs. Micro-Priors
Lombardi, Marco J.; Nicoletti, Giulio - 2021
Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally …
Persistent link: https://www.econbiz.de/10013316112
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Involuntary unemployment and the business cycle
Christiano, Lawrence; Trabandt, Mathias; Walentin, Karl - 2010
integrate the model into a medium sized DSGE model with capital and show that the resulting model does as well as existing …
Persistent link: https://www.econbiz.de/10011605248
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Potential Output in DSGE Models
Vetlov, Igor - 2011
In view of the increasing use of Dynamic Stochastic General Equilibrium (DSGE) models in the macroeconomic projections … within DSGE models. Furthermore, it provides historical estimates of potential output/output gaps on the basis of selected … DSGE models developed by the European System of Central Banks' staff. These estimates are compared to the corresponding …
Persistent link: https://www.econbiz.de/10013124588
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Capital Regulation in a Macroeconomic Model with Three Layers of Default
Clerc, Laurent - 2015
We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending....
Persistent link: https://www.econbiz.de/10013019587
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Real Estate Markets and Macroprudential Policy in Europe
Hartmann, Philipp - 2015
Boom-bust cycles in real estate markets have been major factors in systemic financial crises and therefore need to be at the forefront of macroprudential policy. The geographically differentiated nature of real estate market fluctuations implies that these policies need to be granular across...
Persistent link: https://www.econbiz.de/10013020662
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A Quantitative Perspective on Optimal Monetary Policy Cooperation between the US and the Euro Area
Adjemian, Stephane - 2008
-founded macroeconometric frame-work. First, using Bayesian techniques, we estimate a two-country dynamic stochastic general equilibrium (DSGE …
Persistent link: https://www.econbiz.de/10012772411
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The External Finance Premium in the Euro Area : A Useful Indicator for Monetary Policy?
Gelain, Paolo - 2010
In this paper I estimate a New Keynesian Dynamic Stochastic General Equilibrium model for the Euro Area, which closely follows the structure of the model developed by Smets and Wouters (2003, 2005, 2007), with the addition of the so-called financial accelerator mechanism developed in Bernanke,...
Persistent link: https://www.econbiz.de/10013145340
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Involuntary Unemployment and the Business Cycle
Christiano, Lawrence J. - 2010
integrate the model into a medium sized DSGE model with capital and show that the resulting model does as well as existing …
Persistent link: https://www.econbiz.de/10013143337