Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models …, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against … that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and …

Dynamic Stochastic General Equilibrium (DSGE) models are often solved and estimated under specific assumptions as to …

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior … examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to …

Stochastic General Equilibrium (DSGE) models are the leading framework that macroeconomists have for dealing with this challenge … in an open and transparent manner. This paper reviews the state of DSGE models before the financial crisis and how DSGE … modelers responded to the crisis and its aftermath. In addition, we discuss the role of DSGE models in the policy process …

While dynamic stochastic general equilibrium (DSGE) models for monetary policy analysis have come a long way, there is … points about assessing the value of these models. First, we document that DSGE models continue to have aspects of crude … analysis in the DSGE context against long-standing objections. We use the iconic Smets-Wouters model for illustrative purposes …

(DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last … under consideration by estimating a benchmark DSGE model with real and nominal rigidities. I conclude by offering some …

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not … dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non …-core variables are obtained by applying their measurement equations to DSGE model-generated forecasts of the state variables. Using a …

This paper provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE …

We review the current state of the estimation of DSGE models. After introducing a general framework for dealing with … DSGE models, the state-space representation, we discuss how to evaluate moments or the likelihood function implied by such … that show much promise, but that have not been fully explored yet by the DSGE community. We conclude by outlining three …