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Estimating nonlinear heterogeneous agents models with neural networks

Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models … predictions of the model. We leverage the recent advancements in machine learning to develop a solution and estimation method … method is much more efficient than existing global solution methods and that the estimation converges to the true parameter …

Persistent link: https://www.econbiz.de/10013257224

System Priors for Econometric Time Series

Andrle, Michal - 2017

The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about...

Persistent link: https://www.econbiz.de/10012966549

Constrained discretion and central bank transparency

Bianchi, Francesco; Melosi, Leonardo - 2016

We develop and estimate a general equilibrium model to quantitatively assess the effects and welfare implications of central bank transparency. Monetary policy can deviate from active inflation stabilization and agents conduct Bayesian learning about the nature of these deviations. Under...

Persistent link: https://www.econbiz.de/10011560575

The role of news about TFP in U.S. recessions and booms

Faccini, Renato; Melosi, Leonardo - 2018

We develop a general equilibrium model to study the historical contribution of TFP news to the U.S. business cycle. Hiring frictions provide incentives for firms to start hiring ahead of an anticipated improvement in technology. For plausibly calibrated hiring costs, employment gradually rises...

Persistent link: https://www.econbiz.de/10011822212

Robust Bayesian analysis for econometrics

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2021 - This draft: 23 Aug 2021

We review the literature on robust Bayesian analysis as a tool for global sensitivity analysis and for statistical decision-making under ambiguity. We discuss the methods proposed in the literature, including the different ways of constructing the set of priors that are the key input of the...

Persistent link: https://www.econbiz.de/10012607980

Modeling the evolution of expectations and uncertainty in general equilibrium

Bianchi, Francesco; Melosi, Leonardo - 2013

We develop methods to solve general equilibrium models in which forward-looking agents are subject to waves of pessimism, optimism, and uncertainty that turn out to critically affect macroeconomic outcomes. Agents in the model are fully rational, conduct Bayesian learning, and they know that...

Persistent link: https://www.econbiz.de/10010197242

Shock from Graying : Is the Demographic Shift Weakening Monetary Policy Effectiveness

Imam, Patrick A. - 2013

effectiveness may moderate in graying societies. It then uses Bayesian estimation techniques for the U.S., Canada, Japan, U.K., and …

Persistent link: https://www.econbiz.de/10013075540

Solving and Estimating Indeterminate DSGE Models

Farmer, Roger E. A. - 2013

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

Persistent link: https://www.econbiz.de/10013073782

Signaling effects of monetary policy

Melosi, Leonardo - 2016

We develop a dynamic general equilibrium model in which the policy rate signals the central bank's view about macroeconomic developments to price setters. The model is estimated with likelihood methods on a U.S. data set that includes the Survey of Professional Forecasters as a measure of price...

Persistent link: https://www.econbiz.de/10011559878

Financial Factors : Implications for Output Gaps

Rabanal, Pau - 2015

We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level, between 2000-2013. After joining the monetary union, a decline in some...

Persistent link: https://www.econbiz.de/10013016603