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News Shocks
Barsky, Robert - 2009
We implement a new approach for the identification of news shocks about future technology. In a VAR featuring a measure … of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to … technology innovations that best explains future variation in technology. In the data, news shocks account for the bulk of low …
Persistent link: https://www.econbiz.de/10013156463
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Anticipated Alternative Instrument-Rate Paths in Policy Simulations
Laseen, Stefan - 2010
This paper specifies a new convenient algorithm to construct policy projections conditional on alternative anticipated policy-rate paths in linearized dynamic stochastic general equilibrium (DSGE) models, such as Ramses, the Riksbank's main DSGE model. Such projections with anticipated...
Persistent link: https://www.econbiz.de/10012757526
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DSGE Model-Based Forecasting of Non-Modelled Variables
Schorfheide, Frank - 2010
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...
Persistent link: https://www.econbiz.de/10012757579
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The Econometrics of DSGE Models
Fernández-Villaverde, Jesús - 2010
In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has...
Persistent link: https://www.econbiz.de/10012757950
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Monetary Policy Trade-Offs in an Estimated Open-Economy DSGE Model
Adolfson, Malin - 2010
This paper studies the transmission of shocks and the trade-offs between stabilizing CPI inflation and alternative measures of the output gap in Ramses, the Riksbank's empirical dynamic stochastic general equilibrium (DSGE) model of a small open economy. The main results are, first, that the...
Persistent link: https://www.econbiz.de/10012758144
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Strategic Interaction Among Heterogeneous Price-Setters in an Estimated DSGE Model
Coibion, Olivier - 2010
We consider a DSGE model in which firms follow one of four price-setting regimes: sticky prices, sticky-information, rule-of-thumb, or full-information flexible prices. The parameters of the model, including the fractions of each type of firm, are estimated by matching the moments of the...
Persistent link: https://www.econbiz.de/10012758402
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Optimal Monetary Policy in an Operational Medium-Sized DSGE Model
Adolfson, Malin - 2010
We show how to construct optimal policy projections in Ramses, the Riksbank's open-economy medium-sized DSGE model for forecasting and policy analysis. Bayesian estimation of the parameters of the model indicates that they are relatively invariant to alternative policy assumptions and supports...
Persistent link: https://www.econbiz.de/10012759208
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Current Account Dynamics and Monetary Policy
Ferrero, Andrea - 2010
We explore the implications of current account adjustment for monetary policy within a simple two-country DSGE model. Our framework nests Obstfeld and Rogoff's (2005) static model of exchange rate responsiveness to current account reversals. It extends this approach by endogenizing the dynamic...
Persistent link: https://www.econbiz.de/10012759418
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Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
Del Negro, Marco - 2010
The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...
Persistent link: https://www.econbiz.de/10012759604
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An Asset-Pricing View of External Adjustment
Pavlova, Anna - 2010
Recent evidence on the importance of cross-border equity flows calls for a rethinking of the standard theory of external adjustment. We introduce equity holdings and portfolio choice into an otherwise conventional open-economy dynamic equilibrium model. Our model is simple and admits a...
Persistent link: https://www.econbiz.de/10012759778