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Computing DSGE Models with Recursive Preferences
Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2009
This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991). Models with these preferences have recently become popular, but we know little about...
Persistent link: https://www.econbiz.de/10004991936
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jorda, Oscar; Taylor, Alan M.; Schularick, Moritz - National Bureau of Economic Research (NBER) - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks' balance sheets doubled in the course of the 20th century, driven by a sharp rise of...
Persistent link: https://www.econbiz.de/10010969257
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Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B. - National Bureau of Economic Research (NBER) - 2014
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We...
Persistent link: https://www.econbiz.de/10010950792
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Inflation in the Great Recession and New Keynesian Models
Del Negro, Marco; Giannoni, Marc P.; Schorfheide, Frank - National Bureau of Economic Research (NBER) - 2014
It has been argued that existing DSGE models cannot properly account for the evolution of key macroeconomic variables during and following the recent great recession. We challenge this argument by showing that a standard DSGE model with financial frictions available prior to the recent crisis...
Persistent link: https://www.econbiz.de/10011212816
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Disentangling the Channels of the 2007-2009 Recession
Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2012
This paper examines the macroeconomic dynamics of the 2007-09 recession in the United States and the subsequent slow recovery. Using a dynamic factor model with 200 variables, we reach three main conclusions. First, although many of the events of the 2007-2009 collapse were unprecedented, their...
Persistent link: https://www.econbiz.de/10011271418
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Whither News Shocks?
Basu, Susanto; Barsky, Robert B.; Lee, Keyoung - National Bureau of Economic Research (NBER) - 2014
answer to this question using semi-structural VARs, where “news” is defined as the innovation in the expectation of TFP at a … prices, consumption, consumer confidence and inflation, robustly predict three outcomes. First, following a news shock, TFP … variables subsequently rise, as does TFP. Depending on the specification of the reduced form VAR, the activity variables may …
Persistent link: https://www.econbiz.de/10011271450
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Posterior Predictive Analysis for Evaluating DSGE Models
Faust, Jon; Gupta, Abhishek - National Bureau of Economic Research (NBER) - 2012
While dynamic stochastic general equilibrium (DSGE) models for monetary policy analysis have come a long way, there is considerable difference of opinion over the role these models should play in the policy process. The paper develops three main points about assessing the value of these models....
Persistent link: https://www.econbiz.de/10009654189
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Uncertainty and Economic Activity: Evidence from Business Survey Data
Bachmann, Ruediger; Elstner, Steffen; Sims, Eric R. - National Bureau of Economic Research (NBER) - 2010
What is the impact of time-varying business uncertainty on economic activity? Using partly confidential business survey data from the U.S. and Germany in structural VARs, we find that positive innovations to business uncertainty lead to prolonged declines in economic activity. In contrast, their...
Persistent link: https://www.econbiz.de/10008628459
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DSGE Models in a Data-Rich Environment
Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10005714295
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A Re-examination of the Predictability of Economic Activity Using the Yield Spread
Hamilton, James; Kim, Dong Heon - National Bureau of Economic Research (NBER) - 2000
This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution … premium. We find that both factors are relevant for predicting real GDP growth but the respective contributions differ. We … volatility displays important correlations with both the term structure of interest rates and GDP, it does not appear to account …
Persistent link: https://www.econbiz.de/10005828476