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Estimation of DSGE models : maximum likelihood vs. Bayesian methods

Mickelsson, Glenn - 2015

DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter...

Persistent link: https://www.econbiz.de/10011407664

Business cycle drivers in Nigeria : some insights from an estimated DSGE model

Omotosho, Babatunde S. - In: West African journal of monetary and economic integration 19 (2019) 1, pp. 1-34

This paper develops a two-agent New Keynesian model, which is suitable for identifying the drivers of business cycle fluctuations in small open, resource-rich, resource-dependent emerging economies. We confront the model with Nigerian data on eleven macro-economic variables using the Bayesian...

Persistent link: https://www.econbiz.de/10013348435

Collateral Constraints and Macroeconomic Asymmetries

Guerrieri, Luca - 2016

Using Bayesian methods, we estimate a nonlinear general equilibrium model where occasionally binding collateral constraints on housing wealth drive an asymmetry in the link between housing prices and economic activity. The estimated model shows that, as collateral constraints became slack during...

Persistent link: https://www.econbiz.de/10013003897

Is risk the fuel of the business cycle? : financial frictions and oil market disturbances

Schult, Christoph - Leibniz-Institut für Wirtschaftsforschung Halle - 2024

I estimate a dynamic stochastic general equilibrium (DSGE) model for the United States that incorporates oil market shocks and risk shocks working through credit market frictions. The findings of this analysis indicate that risk shocks play a crucial role during the Great Recession and the...

Persistent link: https://www.econbiz.de/10014474905

News shocks under financial frictions : a comment on Görtz et al. (2022)

Ash, Thomas; Nikolaishvili, Giorgi; Struby, Ethan - 2023

. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter … ahead forecast error variance (FEV) of TFP. Their estimated impulse responses functions show that a positive news shock … significantly decreases credit market spreads and increases credit market supply. They also find that a shock that explains the …

Persistent link: https://www.econbiz.de/10014335049

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

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

Slow recoveries, endogenous growth and macroprudential policy

Bonciani, Dario; Gauthier, David; Kanngiesser, Derrick - 2021

Banking crises have severe short and long‑term consequences. We develop a general equilibrium model with financial frictions and endogenous growth in which macroprudential policy supports economic activity and productivity growth by strengthening bank’s resilience to adverse financial...

Persistent link: https://www.econbiz.de/10013230237

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of international economics 105 (2017), pp. 205-216

Persistent link: https://www.econbiz.de/10011751898

Business cycles in emerging markets : the role of liability dollarization and valuation effects

Notz, Stefan; Rosenkranz, Peter - 2014

Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. The purpose of this paper is to investigate the importance of certain credit market imperfections...

Persistent link: https://www.econbiz.de/10010402774