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Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models in the case of Austria's recession in 2009. For this purpose, 8 DSGE models with different characteristics (small and … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which …
Persistent link: https://www.econbiz.de/10011561187
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Great recession, slow recovery and muted fiscal policies in the US
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the … subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate … increase in expenditure-to- GDP ratios was apparently determined by the adverse non-policy shocks that caused the recession. …
Persistent link: https://www.econbiz.de/10011434680
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The scarring effects of deep contractions
Aikman, David; Drehmann, Mathias; Juselius, Mikael; … - 2022
We find that deep contractions have highly persistent scarring effects, depressing the level of GDP at least a decade hence. Drawing on a panel of 24 advanced and emerging economies from 1970 to the present, we show that these effects are nonlinear and asymmetric: there is no such persistence...
Persistent link: https://www.econbiz.de/10013382160
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Did CNBC Contribute to the Great Moderation or the Great Recession?
Gouri Suresh, Shyam - 2013
We construct a multi-agent system (MAS) model of cyclical growth in which aggregate fluctuations result from variations in activity at firm level. The latter, in turn, result from changes in the state of long run expectations (SOLE) or “animal spirits” and their effect on firms' investment...
Persistent link: https://www.econbiz.de/10013084314
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Limited Asset Market Participation and the Euro Area Crisis. An Empirical DSGE Model
Albonico, Alice - 2018
cycle features. The Bayes factor and the forecasting performance show that the LAMP model is preferred to its representative …
Persistent link: https://www.econbiz.de/10012907972
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Detecting Crisis Vulnerability Using Yield Spread Interconnectedness
Garcia Alvarado, Fernando - 2021
augmented after the last international financial crisis. Further, the results from a probit model considering domestic term …
Persistent link: https://www.econbiz.de/10013240432
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Financial structure, cycle, and instability
Ninomiya, Kenshiro - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-23
The subprime loan mortgage crisis has revived scholarly interest in Minsky's financial instability hypothesis. The related mathematical models present two types of Minskian financial structures. We construct macrodynamic models that consider both structures and discuss financial instability and...
Persistent link: https://www.econbiz.de/10013459612
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Deflation Probability and the Scope for Monetary Loosening in the United Kingdom
Haberis, Alex - 2016
In this paper, we use an estimated DSGE model of the UK economy to investigate perceptions of the effectiveness of monetary policy since the onset of the 2007–08 financial crisis in a number of measures of deflation probability — the Survey of Economic Forecasts, financial-market option...
Persistent link: https://www.econbiz.de/10012979756
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Dynamic prediction pools: An investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …
Persistent link: https://www.econbiz.de/10011340986
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …
Persistent link: https://www.econbiz.de/10010414783