This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound constraint on the nominal interest rate. Our experiments show that most of the parameter estimates in a standard sticky-price DSGE...

This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound constraint on the nominal interest rate. Our experiments show that most of the parameter estimates in a standard sticky-price DSGE...

We examine whether the news shocks, as explored in Beaudry and Portier(2004), can be a major source of aggregate fluctuations. For this purpose, we extend a standard dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005), and Smets and Wouters (2003, 2007) by...

How do we evaluate the effects of unconventional monetary policy measures? To answer this question, we propose a simple structural model that enables us to identify the effects of liquidity facilities during financial turmoil. Specifically, we develop a model that examines the effects of the...

"We estimate the output gap that is consistent with a standard New Keynesian dynamic stochastic general equilibrium (DSGE) model, where the output gap is defined as a deviation of output from its flexible-price equilibrium, using Bayesian methods. Our output gap illustrates the U.S. business...

This paper presents an equilibrium selection procedure for linear rational expectations models under equilibrium indeterminacy. In the procedure, a specific equilibrium is chosen such that the perceived law of motion for agents with adaptive learning rules converges to the particular solution....

Recent studies document the deteriorating performance of forecasting models during the Great Moderation, which conversely implies that forecastability was higher in the preceding era when the economy was unexpectedly volatile. We explain this phenomenon in the context of equilibrium...