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Fundamental shock selection in DSGE models
Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2015
DSGE models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We analyze the consequences of introducing nonfundamental shocks for the estimation of DSGE model parameters and propose a method to select the structural shocks driving...
Persistent link: https://www.econbiz.de/10010517720
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Selecting primal innovations in DSGE models
Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2017
DSGE models are typically estimated assuming the existence of certain primal shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are "non-existent" and propose a method to select the primal shocks driving macroeconomic uncertainty. Forcing these...
Persistent link: https://www.econbiz.de/10012030335
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On the sources of business cycles : implications for DSGE models
Andrle, Michal; Brůha, Jan; Solmaz, Serhat - 2017
What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue that most business cycle fluctuations a re d riven b y o ne major factor. The...
Persistent link: https://www.econbiz.de/10011647948
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What's up with the Phillips curve?
Del Negro, Marco; Lenza, Michele; Primiceri, Giorgio E.; … - 2020
The business cycle is alive and well, and real variables respond to it more or less as they always did. Witness the Great Recession. In ation, in contrast, has gone quiescent. This paper studies the sources of this disconnect using VARs and an estimated DSGE model. It finds that the disconnect...
Persistent link: https://www.econbiz.de/10012241237
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Are asset price data informative about news shocks? : a DSGE perspective
Iskrev, Nikolay - 2018
Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...
Persistent link: https://www.econbiz.de/10011864177
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Unusual shocks in our usual models
Ferroni, Filippo; Fisher, Jonas D. M.; Melosi, Leonardo - 2022
and apply it to study the macroeconomic effects of the Covid shock. The initial outbreak is represented as the onset of a … new shock process where the shock loads on wedges associated with the model's usual shocks. Realizations of the Covid … shock come with news about its propagation, allowing us to disentangle the role of beliefs about the future of the pandemic …
Persistent link: https://www.econbiz.de/10013375147
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Dynamic identification in VARs
Beaudry, Paul; Collard, Fabrice; Fève, Patrick; Guay, Alain - 2022
Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In...
Persistent link: https://www.econbiz.de/10013469606
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Brazilian macroeconomic dynamics redux : shocks, frictions, and unemployment in SAMBA model
Fasolo, Angelo Marsiglia; Araujo, Eurilton; Jorge, … - In: Latin American journal of central banking : LAJCB 5 (2024) 2, pp. 1-36
This paper documents the recent changes in the structure and estimation procedures of the SAMBA model, providing a complete description of the decision problems that each economic agent faces, the first order conditions that solve those problems, and the new techniques employed to estimate the...
Persistent link: https://www.econbiz.de/10015055215
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A DSGE model with endogenous term structure
Falagiarda, Matteo; Marzo, Massimiliano - 2012
In this paper, we propose a DSGE model with the term structure of interest rates drawing on the framework introduced by Andrés et al. (2004) and Marzo et al. (2008). In particular, we reproduce segmentation in financial markets by introducing bonds of different maturities and bond adjustment...
Persistent link: https://www.econbiz.de/10011731368
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On the Sources of Business Cycles : Implications for DSGE Models
Andrle, Michal - 2017
What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue that most business cycle fluctuations are driven by one major factor. The...
Persistent link: https://www.econbiz.de/10012956242