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A note on news about the future : the impact on DSGE models and their VAR representation
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2016
In this paper we investigate the role of news shocks in aggregate fluctuations by comparing the empirical performance of models with and without the feature of the news shocks. We found a trivial difference between the two models. That is, the model with news shocks explains the variation as...
Persistent link: https://www.econbiz.de/10011688781
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How should news shocks be specified under rational expectations?
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2017
A number of studies have found that news shocks account for a large part of the aggregate fl uctuations of the main macroeconomic variables.We show that when taking rational expectations into consideration there is a limit on the size of the variance of the news shocks,which has not been...
Persistent link: https://www.econbiz.de/10011758913
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Involuntary unemployment and the business cycle
Christiano, Lawrence J.; Trabandt, Mathias; Walentin, Karl - 2010
integrate the model into a medium sized DSGE model with capital and show that the resulting model does as well as existing … shocks. - DSGE ; unemployment ; business cycles ; monetary policy ; Bayesian estimation …
Persistent link: https://www.econbiz.de/10003973491
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Involuntary unemployment and the business cycle
Christiano, Lawrence J.; Trabrandt, Mathias; Walentin, Karl - 2012
integrate the model into a medium sized DSGE model with capital and show that the resulting model does as well as existing … shocks. -- DSGE ; unemployment ; business cycles ; monetary policy ; Bayesian estimation …
Persistent link: https://www.econbiz.de/10003960484
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The Chicago Fed DSGE Model
Brave, Scott A.; Campbell, Jeffrey R.; Fisher, Jonas D. M. - 2012
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the … accelerator mechanism. -- New Keynesian model ; DSGE ; forecasting ; policy analysis …
Persistent link: https://www.econbiz.de/10009581477
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The Chicago Fed DSGE Model
Brave, Scott A. - 2012
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10013101439
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DSGE Models for Monetary Policy Analysis
Christiano, Lawrence J. - 2014
Monetary DSGE models are widely used because they fit the data well and can be used to address important monetary … policy questions. We provide a selective review of these developments. Policy analysis with DSGE models requires using data …
Persistent link: https://www.econbiz.de/10013069243
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Information Aggregation in a DSGE Model
Hassan, Tarek A. - 2016
We introduce the information microstructure of a canonical noisy rational expectations model (Hellwig, 1980) into the framework of a conventional real business cycle model. Each household receives a private signal about future productivity. In equilibrium, the stock price serves to aggregate and...
Persistent link: https://www.econbiz.de/10013006600
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Macroeconomic Effects of Political Risk Shocks
Hacioglu Hoke, Sinem - 2019
We investigate the macroeconomic effects of political risk in an information-rich SVAR. Using an external instrument based on an index of US partisan conflict for identification, we find that reduced political risk has expansionary impact: it is immediately priced into stock prices; increases...
Persistent link: https://www.econbiz.de/10012857721
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Mining and Energy Boom, Dutch Disease and Informality in Colombia : A DSGE Approach
Ballesteros, Carlos - 2016
The paper develops a Dynamic Stochastic General Equilibrium (DSGE) model, which assesses the macroeconomic and labor …
Persistent link: https://www.econbiz.de/10012984806