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A note on news about the future : the impact on DSGE models and their VAR representation

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2016

In this paper we investigate the role of news shocks in aggregate fluctuations by comparing the empirical performance of models with and without the feature of the news shocks. We found a trivial difference between the two models. That is, the model with news shocks explains the variation as...

Persistent link: https://www.econbiz.de/10011688781

How should news shocks be specified under rational expectations?

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2017

A number of studies have found that news shocks account for a large part of the aggregate fluctuations of the main macroeconomic variables.We show that when taking rational expectations into consideration there is a limit on the size of the variance of the news shocks,which has not been...

Persistent link: https://www.econbiz.de/10011787165

How should news shocks be specified under rational expectations?

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2017

A number of studies have found that news shocks account for a large part of the aggregate fl uctuations of the main macroeconomic variables.We show that when taking rational expectations into consideration there is a limit on the size of the variance of the news shocks,which has not been...

Persistent link: https://www.econbiz.de/10011758913

State-dependent pricing and its implications for monetary policy

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2019

Strong evidence now exists both in macro and micro data that price/wage durations are depent on the state of the economy and especially inflation. We embed this dependence in a macro model of the US that otherwise does well in matching the economy's behaviour in the last three decades; it now...

Persistent link: https://www.econbiz.de/10012429994

State-dependent pricing and its implications for monetary policy

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2019

Persistent link: https://www.econbiz.de/10012009505

How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - In: Journal of Economic Dynamics and Control 35 (2011) 12, pp. 2078-2104

a VAR representation of the data. We find that the model is strongly rejected. While an alternative (New Classical …

Persistent link: https://www.econbiz.de/10010871042

How good are out of sample forecasting Tests on DSGE models?

Minford, Patrick; Xu, Yongdeng; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … on a widely-used DSGE model to investigate the power of these tests. We find that in specification testing they have weak … power relative to an in-sample indirect inference test; this implies that a DSGE model may be badly mis-specified and still …

Persistent link: https://www.econbiz.de/10011084547

Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference

Le, Vo; Meenagh, David; Minford, Patrick; Wickens, Michael - In: Open Economies Review 21 (2010) 1, pp. 23-44

Persistent link: https://www.econbiz.de/10009403195

Some problems in the testing of DSGE models

Minford, Patrick; Wickens, Michael - 2009

We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other …

Persistent link: https://www.econbiz.de/10010288773

Two orthogonal continents: Testing a two-country DSGE model of the US and the EU using indirect inference

Meenagh, David; Meenagh, David; Minford, Patrick; … - 2009

there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR …

Persistent link: https://www.econbiz.de/10010288793