Narrow search
Showing 1 - 10 of 3,296
Cover Image
Forecasting the Spanish economy with an augmented VAR-DSGE model
Fernández-de-Córdoba, Gonzalo; Torres, José L. - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 3, pp. 379-399
estimationmethods of the DSGE model with the forecasts produced by a VAR and a Bayesian VAR. Second, we propose a new method for … combining DSGE and VAR models (in what we have called Augmented VARDSGE) through the expansion of the variable space where the … VAR operates with artificial series obtained from a DSGE model. The results indicate that the out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10010317125
Cover Image
Forecasting with DSGE models
Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...
Persistent link: https://www.econbiz.de/10011605231
Cover Image
Priors from DSGE models for dynamic factor analysis
Bäurle, Gregor - 2008
We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...
Persistent link: https://www.econbiz.de/10010316078
Cover Image
Selecting primal innovations in DSGE models
Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2017
DSGE models are typically estimated assuming the existence of certain primal shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are "non-existent" and propose a method to select the primal shocks driving macroeconomic uncertainty. Forcing these...
Persistent link: https://www.econbiz.de/10012030335
Cover Image
On identification of Bayesian DSGE models
Koop, Gary; Pesaran, Mohammad Hashem; Smith, Ron P. - 2011
In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...
Persistent link: https://www.econbiz.de/10010276281
Cover Image
On identification of Bayesian DSGE models
Koop, Gary; Pesaran, Hashem; Smith, Ron P. - 2011
In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...
Persistent link: https://www.econbiz.de/10010278760
Cover Image
The ECB's monetary analysis revisited
Berger, Helge; Harjes, Thomas; Stavrev, Emil - 2008
Monetary aggregates continue to play an important role in the ECB's policy strategy. This paper revisits the case for money, surveying the ongoing theoretical and empirical debate. The key conclusion is that an exclusive focus on non-monetary factors alone may leave the ECB with an incomplete...
Persistent link: https://www.econbiz.de/10010299145
Cover Image
The information content of money in forecasting Euro area inflation
Berger, Helge; Stavrev, Emil - 2008
This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using...
Persistent link: https://www.econbiz.de/10010299146
Cover Image
Testing a DSGE model of the EU using indirect inference
Meenagh, David; Minford, Patrick; Wickens, Michael - 2008
VAR auxiliary equation describing their data. We find that their model generates excessive variance compared with the data …
Persistent link: https://www.econbiz.de/10010288868
Cover Image
The increased importance of asset price misalignments for business cycle dynamics
Bask, Mikael; Madeira, João - 2011
We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders...
Persistent link: https://www.econbiz.de/10010321374