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What does a technology shock do? A VAR analysis with model-based sign restrictions
Dedola, Luca; Neri, Stefano - 2006
, with both real and nominal frictions, and with sufficiently wide ranges for their parameterers. This identification …
Persistent link: https://www.econbiz.de/10011604751
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Back to square one: identification issues in DSGE models
Canova, Fabio; Sala, Luca - 2006
observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t … identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to … detect identification failures and apply them to a state-of-the-art model. …
Persistent link: https://www.econbiz.de/10011604629
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Back to square one: identification issues in DSGE models
Canova, Fabio; Sala, Luca - European Central Bank - 2006
observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t … identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to … detect identification failures and apply them to a state-of-the-art model. JEL Classification: C13, C51, C52, E32 …
Persistent link: https://www.econbiz.de/10005530774
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Surprising comparative properties of monetary models: Results from a new data base
Taylor, John B.; Wieland, Volker - 2009
In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new data base of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and...
Persistent link: https://www.econbiz.de/10010303733
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Monetary policy and the asset risk-taking channel
Abbate, Angela; Thaler, Dominik - 2015
Motivated by VAR evidence, we develop a monetary DSGE model where an agency problem between bank financiers, stemming from limited liability and unobservable risk taking, distorts banks' incentives leading them to choose excessively risky investments. A monetary policy expansion magnifies these...
Persistent link: https://www.econbiz.de/10011419996
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Fat-tail distributions and business-cycle models
Ascari, Guido; Fagiolo, Giorgio; Roventini, Andrea - 2012
Recent empirical findings suggest that macroeconomic variables are seldom normally distributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) densities, with Laplace fat tails. In this...
Persistent link: https://www.econbiz.de/10010328373
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On the scientific status of economic policy: A tale of alternative paradigms
Fagiolo, Giorgio; Roventini, Andrea - 2008
In the last years, a number of contributions has argued that monetary - and, more generally, economic - policy is finally becoming more of a science. According to these authors, policy rules implemented by central banks are nowadays well supported by a theoretical framework (the New Neoclassical...
Persistent link: https://www.econbiz.de/10010328656
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A note on the uniqueness of solutions to rational expectations models
Heiberger, Christopher; Klarl, Torben; Maußner, Alfred - 2012
Klein (2000) advocates the use of the Schur decomposition of a matrix pencil to solve linear rational expectations (RE) models. Meanwhile his algorithm has become a center piece in several computer codes that provide approximate solutions to (non-linear) dynamic stochastic general equilibrium...
Persistent link: https://www.econbiz.de/10010332644
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System reduction and the accuracy of solutions of DSGE models: A note
Heiberger, Christopher; Klarl, Torben; Maußner, Alfred - 2012
Many algorithms that provide approximate solutions for dynamic stochastic general equilibrium (DSGE) models employ the generalized Schur factorization since it allows for a flexible formulation of the model and exempts the researcher from identifying equations that give raise to infinite...
Persistent link: https://www.econbiz.de/10010332647
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Fat-Tail Distributions and Business-Cycle Models
Ascari, Guido; Fagiolo, Giorgio; Roventini, Andrea - 2012
Recent empirical findings suggest that macroeconomic variables are seldom normally dis- tributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) den- sities, with Laplace fat tails. In...
Persistent link: https://www.econbiz.de/10010335247