precautionary oil demand shock. The paper''s aim is to model macroeconomic consequences of these shocks within a new Keynesian DSGE … and their distinct effects. Kilian (2009) analyzes the effects of an oil supply shock, an aggregate demand shock, and a …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … resultant heteroskedastic linearized DSGE model preserves the satisfactory simulation and forecasting performance of its nested …

The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate …

We build and estimate open economy two-bloc DSGE models to study the transmission and impact of shocks in Russia, Saudi …

When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently … assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we … relax these two assumptions and estimate a fairly simple monetary DSGE model on a richer data set. Using post-1983 U …

Even prior to the extreme volatility just observed, output growth volatility-following protracted decline … country to transmit rapidly to other countries, creating the potential for heightened global volatility. The higher …

high frequency. The model yields predictions on biweekly patterns of the federal funds rate’s volatility and on its …. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …