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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs
Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role … that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in … crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities …
Persistent link: https://www.econbiz.de/10011518833
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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs
Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - In: Journal of financial stability 26 (2016), pp. 216-227
Persistent link: https://www.econbiz.de/10011705507
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Great recession, slow recovery and muted fiscal policies in the US
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...
Persistent link: https://www.econbiz.de/10011434680
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In search of the Euro area fiscal stance
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper investigates the role of fiscal policies over the aggregate EMU business cycle. Previous studies, based on the assumption of non-separability between public and private consumption, obtain a large public consumption multiplier, a small fraction of non-Ricardian households and,...
Persistent link: https://www.econbiz.de/10011529025
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Forecasting with instabilities : an application to DSGE models with financial frictions
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015
This paper examines whether the presence of parameter instabilities in dynamic stochastic general equilibrium (DSGE …) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial …
Persistent link: https://www.econbiz.de/10011349997
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DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with … used to rank competing DSGE theories that aim to explain the same observed data (Geweke, 2005). Finally, motivated by the …
Persistent link: https://www.econbiz.de/10010339762
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Reverse mode differentiation for DSGE models
Duncan, Alfred - 2021 - This version: July 2021
This paper provides a reverse mode derivative for DSGE models. Reverse mode differentiation enables the efficient …
Persistent link: https://www.econbiz.de/10012625302
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DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation
Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018
stochastic general equilibrium (DSGE) model. We use the DSGE model priors to determine the moments of an independent Normal …-Wishart prior for the VAR parameters. Two hyper-parameters control the tightness of the DSGE-implied priors on the autoregressive … maximize the marginal likelihood of the Bayesian VAR provides a method for isolating subsets of DSGE parameter priors that are …
Persistent link: https://www.econbiz.de/10011886093
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Combined density nowcasting in an uncertain economic environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10010465155
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In Search of the Euro Area Fiscal Stance
Albonico, Alice - 2016
This paper investigates the role of fiscal and monetary policies over the aggregate EMU business cycle, with a specific focus on fiscal policies. We estimate large multipliers for public consumption and transfers. In spite of this, fiscal policies were substantially muted. This result is...
Persistent link: https://www.econbiz.de/10013000151