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Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
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Modeling persistent interest rates with volatility-induced stationarity
Hansen, Anne Lundgaard - 2019
It is well-known that interest rates are extremely persistent, yet they are best modeled and understood as stationary processes. These properties are contradictory in the workhorse Gaussian affine term structure model in which persistent data often result in unit roots that imply...
Persistent link: https://www.econbiz.de/10012111254
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Connecting macroeconomic theory to the data : methods and applications
Bäurle, Gregor - 2009
Persistent link: https://www.econbiz.de/10003919869
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Dynamic stochastic general equilibrium models under a liquidity trap and self-organizing state space modeling
Yano, Koiti (contributor) - 2009
Persistent link: https://www.econbiz.de/10003816309
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Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models
Cavicchioli, Maddalena - In: Computational economics 55 (2020) 1, pp. 61-86
Persistent link: https://www.econbiz.de/10012222592
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Financial frictions and the volatility of monetary policy in a DSGE model
Nguyen, Anh D. M. - 2015
Persistent link: https://www.econbiz.de/10012175729
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The behaviour of the Romanian economy analysed based on a dynamic stochastic general equilibrium model
Hudea, Oana Simona - In: Economic research 32 (2019) 1,2, pp. 1645-1666
Persistent link: https://www.econbiz.de/10012390639
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The golden rule of public finance under active monetary stance : endogenous setting for a developing economy
Shvets, Serhii - In: Investment management and financial innovations 17 (2020) 2, pp. 216-230
Persistent link: https://www.econbiz.de/10012303138
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Chapter 2. DSGE Model-Based Forecasting
Negro, Marco Del; Schorfheide, Frank - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 57-140). 2013
Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements …
Persistent link: https://www.econbiz.de/10014025547
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Equilibrium dynamics in an endogenous growth model of money and banking
Chang, Juin-jen; Chang, Wen-ya; Lai, Ching-chong; Wang, Ping - In: Journal of money, credit and banking : JMCB 39 (2007) 7, pp. 1683-1710
Persistent link: https://www.econbiz.de/10003549215