Similar Search Results

Under the same (Chole)sky : DNK models, timing restrictions and recursive identification of monetary policy shocks

Angelini, Giovanni; Sorge, Marco M. - 2021

-based nonfundamentalness, thereby hampering shock identification via VAR methods. This notwithstanding, restricted DNK models are shown to …Recent structural VAR studies of the monetary transmission mechanism have voiced concerns about the use of recursive … feature (i) invertible equilibrium representations for the observables and (ii) fast-converging VAR coefficient matrices under …

Persistent link: https://www.econbiz.de/10012501242

Navigating with NEMO

Kravik, Erling Motzfeldt; Mimir, Yasin - 2019

historical shock and forecast-error-variance decompositions, and assessing its forecasting performance against a suite of …

Persistent link: https://www.econbiz.de/10012115010

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

Financial Shocks, Financial Frictions and Financial Intermediaries in DSGE Models : Comments on the Recent Literature

Arend, Mario - 2010

intermediaries in the Dynamic Stochastic General Equilibrium models (DSGE models) and to discuss the empirical evidence on the …

Persistent link: https://www.econbiz.de/10013142856

Computation of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 3 April 2016

We construct the first algorithm for the perfect foresight solution of otherwise linear models with occasionally binding constraints, with fixed terminal conditions, that is guaranteed to return a solution in finite time, if one exists. We also provide a proof of the inescapability of the "curse...

Persistent link: https://www.econbiz.de/10011452243

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/10011787141

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

Monetary Policy and Inequality in the UK

Mumtaz, Haroon; Theophilopoulou, Angeliki - 2015

The UK has experienced a dramatic increase in earnings and income inequality over the past four decades. We use detailed micro level information to construct historical measures of inequality from 1968 to 2008. We study whether monetary policy shocks played a significant role in explaining this...

Persistent link: https://www.econbiz.de/10010480347

A model for international spillovers to emerging markets

Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2019

This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to …

Persistent link: https://www.econbiz.de/10011995390

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