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Hopf bifurcation in the Clarida, Gali, and Gertler model
Barnett, William A.; Eryilmaz, Unal - Volkswirtschaftliche Fakultät, … - 2012
We explore bifurcation phenomena in the open-economy New Keynesian model developed by Clarida, Gali and Gertler (2002). We find that the open economy framework can bring about more complex dynamics, along with a wider variety of qualitative behaviors and policy responses. Introducing parameters...
Persistent link: https://www.econbiz.de/10011109244
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An analytical and numerical search for bifurcations in open economy New Keynesian models
Barnett, William; Eryilmaz, Unal - Volkswirtschaftliche Fakultät, … - 2012
We explore bifurcation phenomena in the open-economy New Keynesian model developed by Gali and Monacelli (2005). We find that the open economy framework brings about more complex dynamics, along with a wider variety of qualitative behaviors and policy responses. Introducing parameters related to...
Persistent link: https://www.econbiz.de/10011111540
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Evaluating point and density forecasts of DSGE models
Wolters, Maik Hendrik - Volkswirtschaftliche Fakultät, … - 2012
This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook...
Persistent link: https://www.econbiz.de/10009422087
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Multivariate Forecasting with BVARs and DSGE Models
Berg, Tim Oliver - Volkswirtschaftliche Fakultät, … - 2015
In this paper I assess the ability of Bayesian vector autoregressions (BVARs) and dynamic stochastic general equilibrium (DSGE) models of different size to forecast comovements of major macroeconomic series in the euro area. Both approaches are compared to unrestricted VARs in terms of...
Persistent link: https://www.econbiz.de/10011185694
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VAR forecasting using Bayesian variable selection
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009
This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …
Persistent link: https://www.econbiz.de/10008593003
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Hierarchical shrinkage in time-varying parameter models
Miguel, Belmonte; Gary, Koop; Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2011
In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
Persistent link: https://www.econbiz.de/10009147878
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Hierarchical shrinkage priors for dynamic regressions with many predictors
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2011
-- 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009004835
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2012
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …
Persistent link: https://www.econbiz.de/10011112017
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Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?
Ghent, Andra - Volkswirtschaftliche Fakultät, … - 2006
I generate priors for a VAR from four competing models of economic fluctuations: a standard RBC model, Fisher’s (2006) investment-specific technology shocks model, an RBC model with capital adjustment costs and habit formation, and a sticky price model with an unaccommodating monetary...
Persistent link: https://www.econbiz.de/10005836550
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Forecasting U.S. Recessions with a Large Set of Predictors
Fornaro, Paolo - Volkswirtschaftliche Fakultät, … - 2015
In this paper, I use a large set of macroeconomic and financial predictors to forecast U.S. recession periods. I adopt Bayesian methodology with shrinkage in the parameters of the probit model for the binary time series tracking the state of the economy. The in-sample and out-of-sample results...
Persistent link: https://www.econbiz.de/10011204428