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On the sources of business cycles : implications for DSGE models

Andrle, Michal; Brůha, Jan; Solmaz, Serhat - 2017

What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue that most business cycle fluctuations a re d riven b y o ne major factor. The...

Persistent link: https://www.econbiz.de/10011647948

Unusual shocks in our usual models

Ferroni, Filippo; Fisher, Jonas D. M.; Melosi, Leonardo - 2022

and apply it to study the macroeconomic effects of the Covid shock. The initial outbreak is represented as the onset of a … new shock process where the shock loads on wedges associated with the model's usual shocks. Realizations of the Covid … shock come with news about its propagation, allowing us to disentangle the role of beliefs about the future of the pandemic …

Persistent link: https://www.econbiz.de/10013375147

Multiple filtering devices for the estimation of cyclical DSGE model

Canova, Fabio; Ferroni, Filippo - In: Quantitative economics : QE ; journal of the … 2 (2011) 1, pp. 73-98

We propose a method to estimate time invariant cyclical dynamic stochastic general equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural...

Persistent link: https://www.econbiz.de/10011755937

On the Sources of Business Cycles : Implications for DSGE Models

Andrle, Michal - 2017

Persistent link: https://www.econbiz.de/10012956242

What drives the business cycle in a small open economy? : evidence from an estimated DSGE Model of the Danish economy

Pedersen, Jesper; Ravn, Søren Hove - 2013

Estimated DSGE models have become the standard workhorse model for empirically based macroeconomic analysis in recent years. In this paper, we present an estimated DSGE model for Denmark. The model has been estimated using Bayesian methods and a dataset consisting of 23 macroeconomic variables....

Persistent link: https://www.econbiz.de/10010224820

Forecasting and policy making

Wieland, Volker; Wolters, Maik H. - 2012

Persistent link: https://www.econbiz.de/10010394237

The Role of Financial Frictions During the Crisis : An Estimated DSGE Model

Merola, Rossana - 2013

After the recent banking crisis in 2008, financial market conditions have turned out to be a relevant factor for economic fluctuations. This paper provides a quantitative assessment of the impact of financial frictions on the U.S. business cycle. The analysis compares the original Smets and...

Persistent link: https://www.econbiz.de/10013071832

Uncertainty, Financial Frictions and Nominal Rigidities : A Quantitative Investigation

Cesa-Bianchi, Ambrogio - 2017

shock to the variance of aggregate total factor productivity(macro uncertainty) and to the dispersion of entrepreneurs …

Persistent link: https://www.econbiz.de/10012944962

Financial frictions : micro vs macro volatility

Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021

We introduce frictional ﬁnancial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...

Persistent link: https://www.econbiz.de/10012705511

Financial frictions and the real economy

Pietrunti, Mario - 2017

This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model -...

Persistent link: https://www.econbiz.de/10011976236

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